Section: Dissemination

Promoting Scientific Activities

Scientific Events: Organisation

Member of the Organizing Committees

• A. Alfonsi

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

• V. Bally

  Organizer of the seminar of the LAMA laboratory of Université Paris-Est.

• A. Sulem

  Co-organizer of the seminar Inria-MathRisk /Université Paris Diderot LPSM “Numerical probability and mathematical finance”. https://www.lpsm.paris/mathfipronum/gt

Journal

Member of the Editorial Boards

• B. Jourdain

  Associate editor of:

  • ESAIM : Proceedings and Surveys

  • Stochastic Processes and their Applications (SPA)

• D. Lamberton

  Associate editor of:

  • Mathematical Finance,

  • Associate editor of ESAIM Probability & Statistics

• A. Sulem

  Associate editor of:

  • Journal of Mathematical Analysis and Applications (JMAA)

  • International Journal of Stochastic Analysis (IJSA)

  • SIAM Journal on Financial Mathematics (SIFIN)

Reviewer - Reviewing Activities

• B. Jourdain: Reviewer for Mathematical Reviews

• A. Sulem: Reviewer for Mathematical Reviews

Invited Talks

• Aurélien Alfonsi

  • 4th of April, 2019: "Lifted and Geometric Differentiability of the Squared Quadratic Wasserstein Distance", Séminaire MAD-Stat, Toulouse School of Economics.

  • 16th of May, 2019: "Approximation of OT problems with marginal moments contraints", Séminaire de probabilités et mathématiques financières, Evry.

  • 20th of June, 2019: "A generic construction for high order approximation schemes of semigroups using random grids", Mathematical and Computational Finance Seminar, Oxford.

  • 27th of September, 2019: "A generic construction for high order approximation schemes of semigroups using random grids", Séminaire Bachelier.

  • 24th of October, 2019: "A generic construction for high order approximation schemes of semigroups using random grids", GT Finance mathématique, probabilités numériques et statistique des processus, LPSM.

• Vlad Bally

  • The 22nd Conference of the Romanian Society of Probability and Statistics, Bucharest, May 10-11, Talk "Convergence in the CLT in distribution norms"

  • Analyse stochastique et thèmes connexes. 6-9 mai 2019, Bucarest, Roumanie. Talk "Regularity and estimates for the function solution of the 2D Bolzmann equation"

  • Perturbation Techniques in Stochastic Analysis and its Applications. Luminy 11-15 March. Talk "Regularity and estimates for the function solution of the 2D Bolzmann equation"

  • Conference Unirandom on random nodal sets, Rennes 9-13 September.

  • Conference on asymptotic expansions and Malliavin calculus. Talk:"Regularization lemmas and convergence in total variation".

• Benjamin Jourdain

  • Vienna Seminar in Mathematical Finance and Probability, 10 October 2019 : Differentiability of the squared quadratic Wasserstein distance

  • Inria-CWI workshop, Amsterdam, 17-18 September 2019 : Sampling of probability measures in the convex order and computation of robust option price bounds

  • MCMC 2019, Sydney, 8-12 July 2019 : Weak error analysis for some mean-field SDEs

  • Nine talks on contemporary optimal transport problems, Strasbourg, 4-5 July 2019: The inverse transform martingale coupling

  • 9th general AMAMEF conference, Paris, 11-14 June 2019 : The inverse transform martingale coupling

  • Nancy probability and statistics seminar, 9 May 2019 : A new family of martingale couplings in dimension one

  • Conference Perturbation Techniques in Stochastic Analaysis and its Applications, Marseille 11-15 March 2019 : 3h lectures entitled Stochastic Differential Equations with mean-field rank-based coefficients

• Agnès Sulem

  • Conference on Stochastic Analysis and Applications Risør, Norway, August 26-30 2019. Nonlinear pricing in incomplete markets with default.

  • Complex Networks 2919, December 10-12, 2019, Lisbon. (Conference with referee process), A Dynamic Contagion Risk Model With Recovery Features.

Research Administration

• A. Alfonsi

  • Deputy director of CERMICS laboratory until August,

  • Director of the CERMICS since September.

  • In charge of the Master “Finance and Data” at the Ecole des Ponts.

• V. Bally

  • Member of the LAMA committee

  • Responsible of the Master 2, option finance.

• Benjamin Jourdain

  • Head of the doctoral school MSTIC, University Paris-Est until February 2019

• D. Lamberton

  • Vice-president for research at Université Paris-Est Marne-la-Vallée

• A. Sulem

  • Member of the Scientific Committee of AMIES

  • Corresponding member of the Operational Committee for the assesment of Legal and Ethical risks (COERLE) at Inria Paris research center

  • Member of the Committee for Inria international Chairs