Section: Dissemination

Teaching - Supervision - Juries

• Licence :

  • A. Alfonsi

    `Probabilités”, first year course at the Ecole des Ponts.

  • B. Jourdain

    - "Introduction to probability theory", 1st year, Ecole Polytechnique

    - "Mathematical finance", 2nd year ENPC

  • V. Bally

    Hilbertien Analysis L3 (36h)

• Master

  • A. Alfonsi:

    - “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.

    - Professeur chargé de cours at Ecole Polytechnique.

  • V. Bally

    - Interest rates (20h) M2 filière finance

    - Malliavin calculus and applications in finance (30h) M2 filière finance

    - "Risk analysis " M2 filière actuariat (45h)

  • B. Jourdain, B. Lapeyre ; course "Monte-Carlo methods", 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

  • B. Lapeyre: Monte-Carlo methods in quantitative finance, Master of Mathematics, University of Luxembourg,

  • D. Lamberton: Calcul stochastique pour la finance, master 1 course, Université Paris-Est Marne-la-Vallée

  • A. Sulem :

    - "Finite difference for PDEs in Finance", Master 2 MASEF, Université Paris IX-Dauphine, Département Mathématiques et Informatique de la Décision et des Organisations (MIDO), 27 h.

    - "PDE methods in Finance", Master of Mathematics, University of Luxembourg, 22 h lectures and responsible of the module "Numerical Methods in Finance".

• Doctorat :

  A. Sulem : "Stochastic Control with Applications to Mathematical Finance", International summer school in "Financial Mathematics and Actuarial Science", Doctoral lectures, (30 heures), Atlantic Association for Research in the Mathematical Sciences, University of Prince Edward Island (UPEI), Canada, July https://aarms.math.ca/summer-school

• HdR : J. Lelong, Quelques contributions aux méthodes numériques probabilistes et à la modélisation stochastique, Université Grenoble-Alpes, September 2017.

• PhD in progress :

  - Adel Cherchali, “Numerical methods for the ALM”, funded by Fondation AXA, starting from September 2017, Supervisor: A. Alfonsi

  - Rafaël Coyaud, “Deterministic and stochastic numerical methods for multimarginal and martingale constraint optimal transport problems”, starting from October 2017, Supervisor: A. Alfonsi

  - Rui Chen (Fondation Sciences Mathématiques de Paris grant), "Stochastic Control of mean field systems and applications to systemic risk, from September 2014, Université Paris-Dauphine, Supervisor: A. Sulem.

  - Marouen Iben Taarit , “ On CVA and XVA computations ”, CIFRE Natixis/ENPC, Supervisor: Bernard Lapeyre

  - Giulia Terenzi , "American options in complex financial models", Université Paris-Est Marne-la-Vallée, Supervisors: Damien Lamberton and Lucia Caramellino, from University Tor Vergata, Rome

  - Alexandre Zhou (started November 2015) "Analysis of stochastic particle methods applied to finance", Supervisor: B.Jourdain

  - Oumaima Bencheikh (started November 2017) "Acceleration of probabilistic particle methods", Supervisor: B. Jourdain

• Damien Lamberton

  "Opponent" for the PhD thesis defense of Hannah Dyrssen (student of Erik Ekstrom) at Uppsala University (Sweden), May 2017.

• Benjamin Jourdain

  Referee for the PhD thesis and participation to the jury for the defense of the PhD thesis of

  - Victor Reutenauer, defended on March 22, University Côte d'Azur

  - Daphné Giorgy, defended on June 2, University Pierre and Marie Curie

  - Radu Maftei, defended on December 14, University Côte d'Azur

• Agnès Sulem

  - Participation to the committee for the recrutment of a Professeur in "applied mathematics, finance and numerical probability", Laboratoire de probabilités (LPMA), Université Paris VI, 2017 - Participation to the committee for the recrutment of a Assistant professor in "économy, finance et game theory", Université Paris-Dauphine, 2017.

  - Participation to the jury (Chair) for the defense of the PhD thesis of Amine Ismail, Robust modeling of volatility and application to derivatives pricing and portfolio optimization, December 15 2017, Université Paris-Diderot - Paris 7.

  - Participation to the jury (Chair) for the defense of the PhD thesis of Jiang Pu, Contrôle optimal et applications en finance: exécution optimale, couverture d'options et choix de portefeuille, September 25 2017, Université Paris-Diderot - Paris 7.