Section: Dissemination

Promoting Scientific Activities

Scientific events organisation

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

• R. Dumitrescu: Co-organizer of the young researchers in Mathematics Seminar of Université Paris Dauphine.

• 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.

Journal

Member of the editorial boards

• 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)

Reviewer - Reviewing activities

The members of the team reviewed numerous papers for numerous journals.

Invited talks

• A. Alfonsi

  - "Dynamic optimal execution in a mixed–market–impact Hawkes price model", Workshop on "The Mathematics of High Frequency Financial Markets", IPAM, Los Angeles, April 13 2015:

  - "Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme", AMS-EMS-SPM conference, Porto, June 10 2015:

  - "Dynamic optimal execution in a mixed–market–impact Hawkes price model", séminaire de la chaire Risques financiers, June 12 2015:

  - "Optimal execution in a Hawkes price model", London-Paris Bachelier Workshop on Mathematical Finance 2015, Sept 26 2015

• R. Dumitrescu

  - Financial Mathematics Seminar, Univ Marne-la-Vallée, ENPC and Inria, 12 January

  - Stochastic Analysis Seminar, Imperial College London, 17 March

  - Financial Mathematics Seminar, Univ Evry, 26 March.

• B. Jourdain

  - Conference in honor of Vlad Bally, le Mans, 6-9 October 2015 : Strong convergence properties of the Ninomiya Victoir scheme and applications to multilevel Monte Carlo

  - Workshop on NASPDE 2015, Inria Sophia, 22-23 September 2015 : Multitype sticky particles and diagonal hyperbolic systems of PDEs

  - Workshop BIRS Free-energy calculations, a mathematical perspective, Oaxaca 19-24 july 2015 : Analysis of discrete space versions of the self-healing umbrella sampling and well-tempered metadynamics algorithms

  - Workshop Probabilistic Numerical Methods for Non-Linear PDEs, Imperial College London , 29 june-1st july 2015 : On a stochastic particle approximation of the Keller-Segel equation - Workshop Numerical Probability and Applications to Finance, Enit Tunis, 30 april 2015 : Strong convergence properties of the Ninomiya Victoir scheme and applications to multilevel Monte Carlo

  - Maxwell Colloquium, Edimbourg, 6 february 2015 : Multitype sticky particles and diagonal hyperbolic systems of PDEs

• C. Labart : MCM2015, Linz, Austria, July 2015.

• J. Lelong : MCM2015, Linz, Austria, July 2015.

• D. Lamberton:

  - Workshop Numerical Probability and Applications to Finance, Tunis, April 2015. "On the Canadian approximation of the American put".

  - Workshop in honor of Vlad Bally, Stochastic Calculus, Monte Carlo Methods and Mathematical Finance, Le Mans October 2015. "On the binomial approximation of the American put".

• R. Elie

  - 7th general AMAMEF and Swissquote conference, Lausanne, 2015

  - Workshop Advanced methods in Mathematical Finance, Angers, France, 2015

  - Workshop on current challenges in financial mathematics and economics, London, 2015

  - Workshop on smart energy and stochastic optimization, ENPC, Paris, 2015

  - South East Asia conference in Mathematical Finance, Siem Reap, Cambodia, 2015

  - 9^th Bachelier Colloquium, Metabief, France, 2015

  - seminar, Imperial College, London, 2015

• A. Lionnet - MS-EMS-SPM International Meeting, special session on Stochastic Numerical Methods for Non-linear Equations. Porto, June 10-13.

  - 2nd IMA conference on mathematics in finance. Manchester, 18–19 June.

  - Workshop on Probabilistic numerical methods for nonlinear PDEs at Imperial College. London, June 29 – July 1.

  - The 2015 conference on Stochastic Processes and Applications. Oxford, July 13–17.

• A. Sulem

  - International Conference "Stochastics and Computational Finance 2015- from academia to industry", July 6-10, 2015, ISEG - University of Lisbon, keynote speaker, http://www.scf2015.com

  - Conference on Mathematical Finance and Partial Differential Equations, Rutgers University, New Brunswick, New Jersey, May 2015, Plenary speaker, http://www.finmath.rutgers.edu/mfpde2015/

  - Second conference on " Stochastics of Environmental and Financial Economics", April 20-24, 2015, Academy of Science in Oslo, Plenary speaker,

  http://www.mn.uio.no/math/english/research/groups/stochastic-analysis/events/conferences/StochEnviron-april2015/index.html

  - Conference in honor of Prof. V. Bally, "Stochastic Calculus and Malliavin Calculus, Monte-Carlo Methods and Mathematical Finance", Université du Mans, 6-9 Octobre 2015. http://lmm.univ-lemans.fr/spip.php?article129

Research administration

• A. Alfonsi: In charge of the Master “Finance and Application” at the Ecole des Ponts.

• V. Bally: Member of the scientific committee of Université Paris-Est Marne-la-Vallée; member of the scientific committee and responsible of the theme "Stochastic equations and PDEs" of ; Responsible of the Probability team of LAMA (until April) and organizer of the seminar of the LAMA laboratory. Labex Bezout;

• R. Dumitrescu : creation of the ALUMNI of Fondation des Sciences Mathematiques de Paris

• 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: member of the Committee for technology development , Inria Paris-Rocquencourt