Section: Dissemination

Teaching - Supervision - Juries

Teaching

• License

  A. Alfonsi, “Modéliser, Programmer et Simuler”, second year course at the Ecole des Ponts.

  R. Dumitrescu, Applied courses (Travaux Dirigés) in Linear Algebra, 35h, L2, Université Paris Dauphine

  R. Elie, Algebra (UPEMLV, L2), Probability (UPEMLV, L3)

  B. Jourdain, "Probability theory and statistics", first year, ENPC, France

  B. Jourdain, Introduction to probability theory", first year, Ecole Polytechnique, France

• Master

  - A. Alfonsi , “Calibration, Volatilité Locale et Stochastique”, third-year course at ENSTA (Master with Paris I).

  - A. Alfonsi , "Traitement des données de marché : aspects statistiques et calibration”, lecture for the Master at UPEMLV.

  - A. Alfonsi , “Mesures de risque”, Master course of UPEMLV and Paris VI.

  - V. Bally, "The Malliavin calculus and applications in finance", 30h, Master 2 Finance, Université Marne la Vallée

  - V. Bally, " Interest Rates", 20h, Master 2 Finance, Université Marne la Vallée

  - V. Bally, " Risk methodes in actuarial science", 36h, Master IMIS, Université Marne la Vallée

  - R. Dumitrescu, Applied courses (Travaux Dirigés) Asset pricing by absence of arbitrage opportunities (Master 2 MASEF) , 35h, Université Paris Dauphine

  - R. Elie : Imperfect markets modeling M2 Master MASEF (Paris-Dauphine), Stochastic calculus (UPEMLV, ENSAE); Introduction to mathematical finance (UPEMLV), Statistics for big data and applications (ENPC)

  - B. Jourdain, B. Lapeyre , "Monte-Carlo methods in finance", 3rd year ENPC and Master Recherche Mathématiques et Application, University Paris- Est Marne-la-Vallée ;

  - J.-F. Delmas, B.Jourdain, "Jump processes with applications to energy markets", 3rd year ENPC and Master Recherche Mathématiques et Application, University Paris- Est Marne-la-Vallée

  - B. Jourdain, Stochastic numerical methods", 3rd year, Ecole Polytechnique, France

  - B. Jourdain, projects in finance and numerical methods, 3rd year, Ecole Polytechnique, France

  - 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), 18h.

  - A. Sulem , Master of Mathematics, University of Luxemburg, 22 h lectures and responsible of the module "Numerical Methods in Finance".

Supervision

• PhD

  - J. Mint Moustapha : "Modelling and simulation of vehicle traffic : statistical analysis of insertion models and probabilistic simulation of a kinetic model, Université Paris Est, November 13 2014, Adviser: B. Jourdain [73] .

  - J. Reygner : "Longtime behaviour of particle systems : applications in physics, finance and PDEs" , Université Pierre et Marie Curie, November 24 2014, advisers: B. Jourdain and L. Zambotti [81]

• PhD in progress :

  - Anis Al Gerbi, "Discretization of stochastic differential equations and systemic risk modeling", Paris-Est Cermics, Adviser: B. Jourdain

  - Pierre Blanc, "Price impact on marker orders and limit order books (from Nov. 2012), Ecole des Ponts, Adviser : A. Alfonsi

  - Rui Chen, "Stochastic Control of mean field systems and applications to systemic risk, from September 2014, Université Paris-Dauphine, Adviser A. Sulem

  - Roxana Dumitrescu, "Stochastic control with nonlinear expectation, stochastic targets and applications to risk optimization", from September 2012, Université Paris-Dauphine, Adviser A. Sulem and R. Elie.

  - Paulo Pigato, "Lower bounds for the density of the solution of SDE's under the weak Hörmander condition, and applications in finance", Advisers: V. Bally and A. Dai Pra, University of Padova.

  - Victor Rabiet : "On a class of jump type stochastic equations", Université Paris-Est Marne la Vallée, Advisers: V. Bally (75 %) and E. Locherbach

  - Clément Rey (from Oct. 2012), " High order discretization schemes for singular diffusions", Ecole des Ponts, Advisers : A. Alfonsi and Vlad Bally.

  - Benjamin Schannes, 2014, "Statistical learning and actuarial applications", Adviser: R. Elie.

Juries

• R. Elie: Report on the PhD thesis of Christoph Mainberger, "Essays on Supersolutions of BSDEs and Equilibrium Pricing in Generalized Capital Asset Pricing Models", Humboldt, Berlin

  R. Elie: Report on the PhD thesis of Xuzhe Zhao, Multi-modes switching problems via BSDEs, Université du Mans

  R. Elie: PhD thesis of Adrian Iuga, "Analyse et modélisation du processus de formation de prix à travers les échelles. Market Impact", Université Paris-Est

  R. Elie: HDR: Idris Kharroubi, Représentations et approximations probabilistes en contrôle stochastique et finance mathématique, Université Paris-Dauphine

• B. Jourdain: Report on the Habilitation thesis “Contributions à l'étude du comportement en temps long de processus stochastiques”, of Fabien Panloup, Institut de Mathématiques de Toulouse, Université Paul Sabatier, December 4th 2014

  B. Jourdain: Report on the Habilitation thesis "Contributions aux méthodes numériques pour le filtrage et l'optimisation stochastique" of Nadia Oudjane, University Paris 7, Defense on 22 January 2015.

• A. Sulem : Committee for the recrutment of an Assistant Professor ("Maitre de conférences") in Financial Mathematics and numerical probability, Laboratoire de probabilités (LPMA), Université Paris-Diderot, May 2014.