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Section: Dissemination

Teaching - Supervision - Juries

Teaching

Undergraduate programs

  • A. Alfonsi: `Probabilités”, first year course at the Ecole des Ponts.

  • B. Jourdain :

    - course "Mathematical finance", 2nd year ENPC

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

  • B. Jourdain, B. Lapeyre course "Monte-Carlo methods", 3rd year ENPC and Master Recherche Mathématiques et Application, Université Paris-Est Marne-la-Vallée

Graduate programs

  • A. Alfonsi:

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

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

    - Professeur chargé de cours at Ecole Polytechnique

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

  • B.Jourdain

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

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

  • 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".

Doctoral programs

Supervision

  • PhD :

    Anis Al Gerbi : "Ninomiya-Victoir scheme: strong convergence, asymptotics for the normalized error and multilevel Monte Carlo methods", Université Paris-Est supervised by B. Jourdain and E. Clément, defended on October 10 2016

  • PhD in progress :

    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, Superviser: A. Sulem

    Marouen Iben Taarit , “ On CVA and XVA computations ”, CIFRE Natixis/ENPC, Adviser: Bernard Lapeyre

    Giulia Terenzi , "American options in complex financial models", Université Paris-Est Marne-la-Vallée, Supervisors: Damien 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

    - PhD of Khaled Salhi, defended on December 5, University of Lorraine

    - Reviewer for the PhD of Anthony Le Cavil, defended on December 9, University Paris-Saclay

  • A. Sulem

    PhD Richàrd Fischer, Modélisation de la dépendance pour des statistiques d'ordre et estimation non-paramétrique, (Modelling the dependence of order statistics and nonparametric estimation), (Jury chair), defended on September 30 2016, Ecole des Ponts.