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Section: Dissemination

Teaching - Supervision - Juries

Teaching

  • Licence :

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

    - V. Bally : "Analyse Hilbertienne", Course L3, UPEMLV

  • Master :

    - A. Alfonsi:

    • “Données Haute Fréquence en finance”,Master lectures at UPEMLV.

    • `Traitement des données de marché : aspects statistiques et calibration”, Master lectures at UPEMLV.

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

    • Professeur chargé de cours at Ecole Polytechnique.

    - V. Bally

    • Course on "Taux d'Intêret", M2 Finance, UPEMLV

    • Course on "Calcul de Malliavin et applications en finance", M2 Finance, UPEMLV

    • Course on "Analyse du risque", M2 Actuariat, UPEMLV

    • Course on "Processus Stochastiques", M2 Recherche, UPEMLV

    - B. Jourdain

    • Course on "Mont-Carlo Markov chain methods and particle algorithms", Research Master Probabilités et Modèles Aléatoires, Sorbonne Université

    • B. Jourdain: course "Mathematical finance", M1, ENPC

    - B. Jourdain, B. Lapeyre

    • Course "Monte-Carlo methods", 3rd year ENPC and Master Recherche Mathématiques et Application, University of Marne-la-Vallée

    - J.-F. Delmas, B.Jourdain

    • course "Jump processes with applications to energy markets", 3rd year ENPC and Master Recherche Mathématiques et Application, University of Marne-la-Vallée

    - B. Lapeyre

    • Monte-Carlo methods in quantitative finance, Master of Mathematics, University of Luxembourg,

    - D. Lamberton

    • Calcul stochastique pour la finance, master 1 course, Université Paris-Est 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), 27 h.

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

Supervision

  • PhD Alexandre Zhou, "Theoretical and numerical study of problems nonlinear in the sense of McKean in finance", Ecole des Ponts, defended on October 17th 2018, supervised by B.Jourdain.

  • PhD Giulia Terenzi, "American options in complex financial models", université Marne la Vallée, defended on December 17th 2018, supervised by D. Lamberton and Lucia Caramellino, University Tor Vergata, Rome.

  • PhD Marouan Iben Taarit , “ On CVA and XVA computations ”, "Valorisation des ajustements Xva : de l’exposition espérée aux risques adverses de corrélation", CIFRE Natixis/ENPC, defended on January 8th, ENPC, Supervisor: Bernard Lapeyre.

  • PhD in progress :

    - Anas Bentaleb (started February 2018) : Mathematical techniques for expected exposure evaluation, Supervisor: B. Lapeyre.

    - Adel Cherchali, “Numerical methods for the ALM”, funded by Fondation AXA, starting from September 2017, Supervisor: A. Alfonsi

    - Rafaël Coyaud, “Deterministic ans stochastic numerical methods for multimarginal and martingale constraint optimal transport problems”, starting from October 2017, Supervisor: A. Alfonsi

    - 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, Supervisor: A. Sulem.

    - Sophian Mehalla (started November 2017), CIFRE agreement Milliman company/Ecole des Ponts (http://fr.milliman.com, Supervisor: B. Lapeyre

    - Oumaima Bencheikh (started November 2017) "Acceleration of probabilistic particle methods", Supervisor: B. Jourdain

    - Ezechiel Kahn (started September 2018) "Functional inequalities for random matrices models", supervised by B. Jourdain and D. Chafai

    - William Margheriti (started January 2018) "Numerical methods for martingale optimal transport problems", supervised by J.-F. Delmas and B. Jourdain

Juries

B. Jourdain :

Jury and report on

  • PhD of Hadrien De March, defended on June 29, university Paris Saclay

  • PhD of David Krief, defended on September 27, University Paris Diderot

A. Sulem

  • PhD of David Krief, defended on September 27, University Paris Diderot (Chair of the Committee)

  • PhD of Xiao Wei, November 27, University Paris Diderot

  • PhD Hadjer Moussaoui, December 14, Université de Toulon

  • HdR of Thomas Lim, ENSIIE, December 4, Université Evry Val d'Essonne

  • PEDR CNRS September 2018

  • PRIX Inria : Grand Prix Inria - Académie des Sciences; - Prix Jeune Chercheur - Académie des Sciences ; Prix Innovation - Dassault Système (Spring 2018)