Section: Dissemination

Promoting Scientific Activities

• B. Jourdain (with B. Bouchard and E. Gobet): organization of the 2015-2016 thematic semester on Monte Carlo methods financed by the Institute Louis Bachelier, and the closing conference.

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

• A.Sulem : Co-organiser of the joint working group seminar MathRisk/LPMA, University Paris-Diderot :"Mathematical finance and numerical probability".

• journées MAS 2016, Grenoble.

• CEMRACS 2017

• Les Journées de Probabilités 2017

• session organizer at CANUM 2016

• Session organizer at “The International Conference on Monte Carlo techniques”, 2016, Paris

• R. Elie

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

• D. Lamberton

  Associate editor of

  • Mathematical Finance,

  • Associate editor of 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)

• A. Alfonsi

  • January 15th 2016: "Wishart processes: MLE estimation and interest rate modelling", North British Probability seminar, Edinburgh.

  • February 5th 2016: "Dynamic optimal execution in a mixed-market-impact Hawkes price model", Frontiers in Stochastic Modeling for Finance, Padua, Italy

  • October 7th 2016: "Maximum Likelihood Estimation for Wishart processes" WORKSHOP USPC-NUS Models and numerical methods for financial risk management, Paris Diderot.

  • November 17th 2016: "Extension and calibration of a Hawkes-based optimal execution model", SIAM Conference on Financial Mathematics & Engineering, Austin.

  • December 9th 2016: "Optimal Execution in a Hawkes Price Model and Calibration", Market Microstructure Confronting many viewpoints #4, Paris.

• B. Jourdain

  • Seminar of the chair“financial risks”, June 3rd 2016 : Strong convergence properties of the Ninomiya-Victoir scheme and applications to multilevel Monte Carlo

  • Seminar Mathrisk P7, September 22th 2016 : Existence for a calibrated regime-switching local volatility model

• C. Labart

  • Frontiers in stochastic modelling for finance, Padua and Venice, Italy, February 2016.

  • Closing International Conference of Thematic cycle on Monte-Carlo techniques, Paris, July 2016.

• J. Lelong

  • CANUM 2016

  • Seminar on Insurance Mathematics and Stochastic Finance at ETH Zurich, May 2016.

  • Journées MAS 2016.

  • Closing International Conference of Thematic cycle on Monte-Carlo techniques, Paris, July 2016

  • Frontiers in stochastic modelling for finance, Padua and Venice, Italy, February 2016

• A. Sulem

  • Stochastic analysis, control and games with applications to financial economics, University of Leeds, November 2016.

  • National University of Singapore/ Université Paris-Diderot workshop on quantitative finance, October 2016, Paris.

  • Abel Symposium 2016 "Computation and Combinatorics in Dynamics, Stochastics and Control", August 2016, Barony Rosendal, Norway. http://hans.munthe-kaas.no/AbelSymp2016/

  • Simulation of Stochastic graphs and applications, closing conference on “ Monte-Carlo techniques”, Paris, July 2016

  • Conference "Frontiers in Stochastic Modelling for Finance", Padua and Venice, Italy, February, 2016. https://www.maths.univ-evry.fr/conferences/padova2016/index_ws.htm

  • "Actuarial and Financial Mathematics Conference" (Plenary talk) , February 2016, Brussels, Belgium.

    http://www.afmathconf.ugent.be

• A. Zanette

  "Hybrid tree-finite difference methods for the Heston, Bates and Heston Hull-White models". SIMAI Politecnico di Milano 2016.

• A. Sulem : Member of the Committee for technology development, Inria Paris

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