Section: Dissemination

Teaching - Supervision - Juries

Teaching

- A. Alfonsi:

• Modéliser, Programmer et Simuler, second year course at the Ecole des Ponts, France.

• Calibration, Volatilité Locale et Stochastique, third-year course at ENSTA (Master with Paris I).

• Traitement des données de marché : aspects statistiques et calibration, lecture for the Master at UPEMLV.

• Mesures de risque, Master course of UPEMLV and Paris VI.

- V. Bally:

• Mini course (6 hours) for Phd and Post Doc students, Ritzumeikan University, Japan, September 2013.

• "The Malliavin calculus and applications in finance", 30 hours, Master 2 Finance University Marne la Vallée,

• "Risk methods in acuarial science", 36 hours, Master IMIS, University Marne la Vallée.

- R. Dumitrescu:

• Evaluation d'actifs financiers par absence d'opportunité d'arbitrage (3rd year ENSAE, M2 MASEF Dauphine and M2 Modélisation aléatoire Paris Diderot).

• Calcul stochastique appliqué à la finance (2nd year ENSAE).

• Algèbre linéaire (L2, Paris Dauphine).

- B. Jourdain:

• Course "Probability theory and statistics", 1st year ENPC.

• Course "Introduction to probability theory", 1st year, Ecole Polytechnique.

• Course "Stochastic numerical methods", 3rd year, Ecole Polytechnique.

• Projects in finance and numerical methods, 3rd year, Ecole Polytechnique.

- B. Jourdain, B. Lapeyre:

• Course "Monte-Carlo methods in finance", 3rd year ENPC and Master Recherche Mathématiques et Application, university of Marne-la-Vallée

- J.-F. Delmas, B. Jourdain:

• Course "Jump processes with applications to energy markets", 3rd year ENPC and Master Recherche Mathématiques et Application, university of Marne-la-Vallée

- D. Lamberton: Master course “Calcul stochastique et applications en finance", Université Paris-Est Marne-la-Vallée.

- B. Lapeyre:

• Monte-Carlo methods in finance, 3rd year ENPC and Master Recherche Mathématiques et Application, University Paris-Est Marne-la-Vallée

• "Finance : mathematical and numerical aspects", 2nd year ENPC, professor, 15 hours/year

- J. Lelong:

• Oct. 2012 – May 2013 : supervisor of 2 third year students from Ensimag to work on an adaptive Monte Carlo method for jump diffusion models. See the research report “Importance sampling for jump processes and applications to finance” I am co-responsible for the Financial Engineering major at Ensimag.

• Lectures on “Parallel programming in financial mathematics” at Ensimag (third year course)

• Lectures on “Monte-Carlo methods in financial engineering” at Ensimag (third year course)

• Lectures on “Numerical methods for pricing American options” at Ensimag (third year course)

• Lectures on “Martingales and stochastic approximation” at Ensimag (third year course)

• Lectures on “Interest rate and Foreign exchange derivatives” at Ensimag (third year course)

• Lectures on “Numerical programming in C++” at Ensimag (second year course)

• Supervision of third year students for a long term project on “Pricing structured products”

• Supervision of second year students for long term projects on numerical finance.

- A. Sulem:

• Master of Mathematics, "Numerical methods in Finance", Luxembourg University, 20 hours

• Master course, Université Paris IX-Dauphine, Department "Mathématiques et Informatique de la Décision et des Organisations" (MIDO), Master MASEF, 21 hours “Numerical Methods for PDEs in Finance"

Supervision

• PhD theses defended in 2013:

  - José Infante Acevedo, Méthodes et modèles numériques appliquées aux risques du marché et à l'évaluation financière, Université Paris-Est, December 9 2013, Adviser: A. Alfonsi and T. Lelièvre.

  -Ayech Bouselmi, "Processus de Lévy et options américaines", University of Marne la Vallée, December 11 2013, Adviser : D. Lamberton.

  - Maxence Jeunesse, "Etude de deux problèmes de contrôle stochastique : Put Americain avec dividendes discrets et principe de programmation dynamique avec contraintes en probabilités", Université Paris-Est, 29 january 2013, Adviser: B. Jourdain.

• PhD in progress:

  - Clément Rey: ENPC and UPMLV. Weak error analysis of discretization schemes for some financial processes. Advisers: A. Alfonsi and V. Bally (from Oct. 2012).

  - Pierre Blanc: Modeling the price impact of limit and market orders. Adviser: A. Alfonsi. (from Nov. 2012).

  - Anis Al Gerbi : Discretization of stochastic differential equations and systemic risk modeling. Adviser B. Jourdain (from Sept. 2013).

  - J. Reygner, Longtime behaviour of particle systems : applications in physics, finance and PDEs, Advisers: B. Jourdain and L. Zambotti (from Sept. 2011).

  - A. Kritoglou, Stochastic modelling for ferromagnetic materials, Since sept. 2013 : Advisers: J. Lelong and S. Labbé (from Sept. 2013).

  - R. Dumitrescu, Reflected BSDEs with jumps, 2nd year : Advisers: A. Sulem and R. Elie (from Sept. 2012).

  - Victor Rabiet, On a class of jump type stochastic equations, Adviser : V. Bally (from Sept. 2009).

  - Paolo Pigato, Lawer bounds for the density of the solution of SDE's under the weak Hörmander condition, and applications in finance, Advisers: V. Bally and A. Dai Pra.

  - Ernesto Palidda (Since September 2010), Crédit Agricole, Operation Research group, Adviser: B. Lapeyre (from Sept. 2010).

  - Marouen Iben Taarit (from September 2013), Cifre industrial contract Natixis/ENPC, Adviser: B. Lapeyre.

  - Jyda Mint Moustapha (Since November 2012), IFSTTAR, Adisers: D. Daucher and B. Jourdain.

Participation to PhD committees

• A. Alfonsi

  • Florian Klöck, "Regularity of Market Impact Models, Time-Dependent Impact, Dark Pools and Multivariate Transient Impact", University of Mannheim, June 18 2013.

  • Timothée Papin,"Pricing of corporate loan: Credit risk and Liquidity cost", Université Paris-Dauphine, September 25 2013

• A. Sulem:

  • Myriana Grigorova, Quelques liens entre la théorie de l'intégration non-additive et les domaines de la finance et de l'assurance, (President of the committee), Laboratoire de Probabilités et Modèles Aléatoires (LPMA), Université Paris VII, October 18 2013

  • Fabien Guilbaud, Contrôle optimal dans des carnets d'ordres limites, (President of the committee), LPMA, Université Paris VII, 1 February 2013