Promoting Scientific Activities
Scientific events organisation
- R. Dumitrescu: Co-organizer of the young researchers in Mathematics Seminar of Université Paris Dauphine.
- A. Alfonsi: Co-organizer of the working group seminar of MathRisk “Méthodes stochastiques et finance”. http://cermics.enpc.fr/~alfonsi/GTMSF.html
Administrative and scientific responsabilites
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.
Scientific events selection
"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)
- 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.
- 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
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
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
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".
- 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
Member of the editorial board
Associate editor of SIAM Journal on Financial Mathematics (SIFIN) (since November 2014)
The members of the team reviewed numerous papers for various journals.