Section: Dissemination

Teaching - Supervision - Juries

Teaching

• Undergraduate programs

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

  • R. Dumitrescu, Applied courses (Travaux Dirigés) "introduction to finance", L2, Université Paris Dauphine

  • R. Elie

    - Machine learning for actuarial sciences , Institut des actuaires français

    - Arbitrage et valorisation d'options, ENSAE

    - Introduction to Python, TD L2 Université Paris-Est

  • B. Jourdain : - course "Probability theory and statistics", first year ENPC

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

    - "Stochastic numerical methods", 3rd year, Ecole Polytechnique

    - projects in finance and numerical methods, 3rd year, Ecole Polytechnique

  • A. Lionnet

    Stochastic Processes, ESIEA, Paris , 18h .

• Graduate programs

  • A. Alfonsi:

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

    - “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,

    - Advanced Probability (Master 1 Recherche Mathématiques et Application, University of Marne-la-Vallée

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

    - V. Bally, " Interest Rates", 20h, Master 2 Mathematical 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) in " Asset pricing by absence of arbitrage opportunity", Université Paris Dauphine

  • R. Elie - Imperfect markets modeling M2 Master MASEF (Paris-Dauphine)

    - Machine learning and applications, Master 2 Mathematics, , ENPC

    - Portfolio management and risk measures, Master Actuariat, Université Paris-Est

    - Arbitrage, volatility and portfolio management, Master 2 Math. Finance, Université Paris-Est

  • B. Jourdain, B. Lapeyre "Monte-Carlo methods", 3rd year ENPC and Master Recherche Mathématiques et Application, University of 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), 18h.

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

Supervision

• Anis Al Gerbi (started november 2013) "Discretization of stochastic differential equations and systemic risk modeling", supervised by B. Jourdain and E. Clément

• Pierre Blanc, "Price impact on marker orders and limit order books (from Nov. 2012), Ecole des Ponts, Adviser : A. Alfonsi defended on October 9th 2015.

• 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, Adviser A. Sulem

• Roxana Dumitrescu, (Fondation Sciences Mathématiques de Paris grant, RDMath Ile de France), Contributions au contrôle stochastique avec des espérances non linéaires et aux équations stochastiques rŕetrogrades , Advisers: A. Sulem with B. Bouchard and R. Elie, defended on September 28 2015, Université Paris-Dauphine.

• Antoine Ly, CIFRE agreement, Partner: Miliman, advisers: R. Elie and Arthur Charpentier, Applications du machine learning en Actuariat, started 2015, Advisers: R. Elie and Arthur Charpentier

• Sebastien Mollaret, CIFRE agreement, Partner: Natixis, Valorisation et couverture dans les modèles à changement de régime started 2015, Advisers: R. Elie.

• Ernesto Palidda, Advisers: A. Alfonsi and Bernard Lapeyre, Ecole des Ponts, defended on May 29 2015.

  - 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, defended October 2015, Université Paris-Est Marne la Vallée,

• Victor Rabiet : "On a class of jump type stochastic equations", Université Paris-Est Marne la Vallée, Advisers: V. Bally (75 %) and E. Locherbach, defended June 2015.

• Clément Rey (from Oct. 2012), " High order discretization schemes for singular diffusions", Ecole des Ponts, Advisers : A. Alfonsi and Vlad Bally, defended on December 4th 2015.

• Giulia Terenzi (from October 2015) "American options in complex financial models", Advisers : D. Lamberton and Lucia Caramellino, from University Tor Vergata, Rome.

• Alexandre Zhou (started November 2015) "Analysis of stochastic particle methods applied to finance", supervised by B.Jourdain

Juries

• B.Jourdain

  - Head of the HCERES visit committee of the Laboratoire de Mathématiques Raphael Salem, Rouen, November 20 2015

  - PhD of Victor Rabiet, defended on June 23 2015, University Paris-Est

  - PhD of Thi Quynh Giang NGUYEN, defended on October 19 2015, University Paris-Est

• A. Sulem

  - PhD Roxana Dumitrescu, September 2015, Université Paris-Dauphine

  - Referee (Rapporteur) HdR "Quelques contributions en finance mathématique, risque de liquidité et finance d'entreprise", Ly Vath Vathana, Université Evry Val d'Essonne, November 23 2015

  - Faculty opponent, PhD thesis "Aspects of Waiting and Contracting in Game Theory", Peter Helgesson, Chalmers University of Technology and University of Gothenburg, Sweden, June 5th 2015.

  - Sulem : Committe for the recrutment of a Professor of Insurance Mathematics, ETH Zurich January 2015

  - Committe for the recrutment of a Professor ( in Financial Mathematics and numerical probability, Laboratoire de probabilités, Université Paris-Diderot, May 2015

  - Committe for the recrutment of a researcher (chargé de recherche) Inria Paris-Rocquencourt, June 2015