Section: Dissemination

Promoting Scientific Activities

- A. Alfonsi: Co-organizer of the working group seminar of MathRisk “Méthodes stochastiques et finance”. http://cermics.enpc.fr/~alfonsi/GTMSF.html

• A. Alfonsi: In charge of the Master “Finance and Application” at the Ecole des Ponts.

• B. Jourdain: Head of the doctoral school MSTIC, University Paris-Est

• D. Lamberton: Vice-president for research at Université Paris-Est Marne-la-Vallée

• A. Sulem, Scientific Coordinator for the evaluation of the Inria theme Stochastic Approaches, Paris, March 2014.

• A. Alfonsi:

  • "Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme", Oberwolfach and Paris 13 seminar in May.

  • "Stochastic Local Intensity Loss Models with Interacting Particle Systems", Bachelier conference in June, Bruxelles.

  • "Dynamic optimal execution in a mixed-market-impact Hawkes price model", SIAM-SMAI Conference on Financial Mathematics: Advanced Modeling and Numerical Methods (June), Workshop "Stochastic analysis for risk modeling", CIRM (September) and Finance and Stochastics seminar, Imperial College.

  • Invitation Imperial College, Antoine Jacquier (19- 20 November)

• V. Bally

  - Statistics, jump processes and Malliavin calculus: recent applications, Barcelona June 2014

  - SPA - 2014, 37th conference on Stochastic Processes and their applications, Buenos Aires, July 2014.

  - invited lecture "Convergence in total variation distance using an interpolation method", Colloquium of the Mathematics department, Ritsumeikan University, Japan, December.

• R. Dumitrescu

  - Inria Junior Seminar, 13 February

  - Séminaire Jeunes Chercheurs, Université Paris Dauphine, 7 March

  - Colloque Mathématiques en Mouvement, Fondation des Sciences Mathématiques de Paris, 28 May

  - Conference Cycle Thématique en Mathématiques Financières, Paris, 20 June

  - Premier Séminaire Bachelier Paris-Londres, Paris, 25-26 September

• R. Elie

  Colloquium Bachelier, Metabief, January 2014

  Seminar Ecole Polytechnique, February 2014

  Seminar Marne la Vallée, March 2014

  Seminar ETH, Zurich, July 2014

  Seminar University of Santa Barbara (UCSB), September 2014

  Seminar University of Southern California, Los Angeles, September 2014

  Seminar of Risk analysis, Stanford University, October 2014

  Seminar on stochastics, Humboldt & TU, Berlin, December 2014

  - 2 weeks visit ETH Zurich, July 2014

  - 2 weeks visit, University of Santa Barbara (UCSB), September 2014

• B. Jourdain:

  Bachelier seminar, IHP, Paris, 4 April 2014 : Capital distribution and portfolio in the mean-field Atlas model

  Paris 13 university seminar, 21 May 2014: Estimation of the Wasserstein distance between the marginals of a diffusion and its Euler scheme

  Workshop Computational methods for statistical mechanics, ICMS Edimbourg 2-6 June 2014 : Optimal scaling of the transient phase of Metropolis Hastings algorithms

  Special session on Stochastic processes and spectral theory for partial differential equations and boundary value problems, AIMS 2014 Madrid, 7-11 July 2014 : A trajectorial interpretation of the dissipations of entropy and Fisher information for stochastic differential equations

  Workshop Advances in stochastic analysis for risk modeling, CIRM 8-12 September 2014 : Long-time behavior of the mean-field Atlas model

  London-Paris Bachelier workshop 25-26 september 2014 Paris : Long-time behavior of the mean-field Atlas model

  Seminar ENSTA-CMAP, 6 October 2014 : Capital distribution and portfolio performance in the mean-field Atlas model

  Seminar of the chair “Financial risks”, 21 november 2014 : Estimation of the Wasserstein distance between the marginals of a diffusion and its Euler scheme

• D. Lamberton

  Invited to give some lectures in the framework of the workshop in Quantitative Finance at the University of Bologna in May 2014. Title: "A short course on American options".

• A. Sulem

  - Plenary speaker, Mathematics of Systemic Risk, Pacific Institute for the Mathematical Sciences, University of British Columbia, Vancouver, Canada, July 27-31 2014, Title: "Control of interbank contagion under partial information"

  - Plenary speaker at Stochastics in Environmental and Financial Economics, Centre of Advanced Studies CAS of the Norwegian Academy of Sciences and Letters, Oslo, September 2014

  - Workshop "Stochastic analysis for risk modeling", CIRM, Lumigny, 8-12 September 2014. http://www.cirm.univ-mrs.fr/ , Title: “Dynamic Programming Principle for Combined Optimal Stopping and Stochastic Control with f-conditional Expectation”

  - Bachelier seminar, IHP, Paris, November 7 2014. Title: " Optimal control of interbank contagion under partial information", https://sites.google.com/site/seminairebachelierparis/

  - Seminar on stochastic methods and Finance, Inria Paris, October 6th, "Control of interbank contagion under partial information", http://cermics.enpc.fr/~alfonsi/GTMSF.html

• R. Elie

  Associate editor of SIAM Journal on Financial Mathematics (SIFIN) (since November 2014)

• D. Lamberton

  Associate editor of:

  - Mathematical Finance,

  - ESAIM Probability & Statistics

• A. Sulem

  Associate editor of

  • 2011- Present: Journal of Mathematical Analysis and Applications (JMAA)

  • 2009- Present: International Journal of Stochastic Analysis (IJSA)

  • 2008- Present: SIAM Journal on Financial Mathematics (SIFIN)