Section: Dissemination

Promoting Scientific Activities

• A. Alfonsi:

  - Co-organizer of the conference ”Advances in Financial Mathematics”, 10-13 January 2017, https://fin-risks2017.sciencesconf.org/.

  - Co-organizer of the working group seminar of MathRisk “Méthodes stochastiques et finance”.

• J. Lelong :

  - Member of the organizing committee of Les journées de Probabilités, 2017, France, Aussois.

  - Member of the organizing committee of CEMRACS, 2017, Marseille.

  - Member of the organizing committee of Les journées SMAI MODE 2018, Grenoble.

• A. Sulem

  Co-organizer of the seminar Inria-MathRisk /Université Paris 7 LPMA “Numerical probability and mathematical finance”. https://www.lpma-paris.fr/mathfipronum/gt

• 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

  - "Maximum Likelihood Estimation for Wishart processes", conference on "Mathematics of Quantitative Finance", Oberwolfach, March 1.

  - "Optimal Execution in a Hawkes Price Model and Calibration", Market Microstructure and High Frequency Data June 1-3, The University of Chicago, June 2.

  - "Maximum Likelihood Estimation for Wishart processes", Recent Developments in Numerical Methods with Applications in Statistics and Finance Mannheim, Germany, June 9.

  - "Sampling of probability measures in the convex order and approximation of Martingale Optimal Transport problems." New York, conference in honour of Jim Gatheral, NYU, October 15.

  - "Sampling of probability measures in the convex order and approximation of Martingale Optimal Transport problems." GT CMAP-ENSTA-ENSAE, November 27.

• V. Bally

  - LMS-EPSRC Durham Symposium 10-20 July. Regularity for the solution of jump equations using an interpolation method.

  - Conference of Stochastic Processes and their Applications (SPA2017) 24-28 July. Regularity for the solution of jump equations using an interpolation method.

  - Workshop on Piecewise Deterministic Markov Processes, 29.05-2.06 Gaussian noise versus Poisson Point Measures in PDMP's.

• B. Jourdain:

  - Workshop Stochastic Sampling and Accelerated Time Dynamics on Multidimensional Surfaces, IPAM, Los Angeles, 16-20 October : Convergence and efficiency of adaptive importance sampling techniques with partial biasing

  - Workshop Singular McKean-Vlasov dynamics, Sophia-Antipolis, 14-15 September : Existence to calibrated regime-switching local volatility model

  - Summer school CEMRACS, Marseille, 17-21 July : The Metropolis-Hastings algorithm, introduction and optimal scaling of the transient phase

  - Workshop Stochastic Computation, FOCM 2017, Barcelona, 10-12 July : Strong convergence properties of the Ninomiya-Victoir scheme and applications to multilevel Monte Carlo methods

  - Workshop BSDEs SPDEs, Edinburgh, 3-7 July : Existence to calibrated regime-switching local volatility model

  - Conference PDE/Probability Interactions : Kinetic Equations, Large Time and Propagation of Chaos, Marseille, 18-22 April : On a stochastic particle approximation of the Keller-Segel equation

  - Conference PDE and probability methods for interaction, Sophia-Antipolis, 30-31 March : Evolution of the Wasserstein distance between the marginals of two Markov processes

  - Applied Mathematics seminar of the Collège de France, February 24 : Multitype sticky particles and diagonal hyperbolic systems

  - Conference Advances in Financial Mathematics, Paris, 10-13 January : Existence to a calibrated regime-switching local volatility model

• J. Lelong

  High Performance Computing session during CEMRACS: 4 hours of lectures and 6 hours of hands–on sessions, Marseille.

• A. Sulem

  - Plenary talk at the Congrès SMAI 2017, 8ème biennale française des Mathématiques Appliquées et Industrielles, Ronce-les-bains, June 20017, http://smai.emath.fr/smai2017/index.php

  - "Recent advances in financial mathematics", conference organised by "Financial Risks Chair", Paris, Janvier 2017. https://fin-risks2017.sciencesconf.org/program

  - Worshop on Optimal Stopping in Complex environments, Bielefeld University, December 18-20 2017,

  https://sites.google.com/view/imwworkshop17/

  - Workshop on "Asymptotics of Stochastic Dynamics", University of Swansea, August, 29-21, 2017

  - Simulation of Stochastic graphs and applications symposium, International Conference on Monte Carlo techniques, Paris, July 5-8, 2017 https://montecarlo16.sciencesconf.org

• A. Alfonsi

  - Deputy director of the CERMICS since April 2017.

  - In charge of the Master “Finance and Application” at the Ecole des Ponts.

• D. Lamberton

  Vice-president for research at Université Paris-Est Marne-la-Vallée

• B. Jourdain

  - Head of the doctoral school MSTIC, University Paris-Est

• A. Sulem

  - Member of the Committee for technology development, Inria Paris

  - Corresponding member of the comité opérationel d'évaluation des risques légaux et éthniques (COERLE) at Inria Paris research center

  - Member of the Committee for Inria international Chairs