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 :

  - Aurélien Alfonsi

  • “Données Haute Fréquence en finance”, lecture for the Master at UPEMLV.

  • “Mesures de risque”, Master course of UPEMLV and Sorbonne Université.

  • Professeur chargé de cours at Ecole Polytechnique.

  - Vlad Bally

  • "Taux d'Intêret", M2 Finance.

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

  • "Analyse du risque" M2 Actuariat,

  • "Processus Stochastiques" M2 Recherche

  - Benjamin Jourdain

  • course "Mathematical finance", 2nd year ENPC

  • course "Monte-Carlo Markov chain methods and particle algorithms", Research Master Probabilités et Modèles Aléatoires, Sorbonne Université

  - B. Jourdain, B. Lapeyre

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

  - D. Lamberton

  • "Calcul stochastique pour la finance", master 1 course, Université Paris-Est Marne-la-Vallée

  - B. Lapeyre

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

  - A. Sulem

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

Supervision

• PhD: Rui Chen, "Dynamic Optimal Control for Distress in Large Financial Networks and Mean field Systems with Jumps", Université Paris-Dauphine, defended on July 19th 2019, Supervisor: Agnès Sulem [10].

• 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, started in September 2017, Supervisor: Aurélien Alfonsi

  • Rafaël Coyaud, “Deterministic ans stochastic numerical methods for multimarginal and martingale constraint optimal transport problems”, started in October 2017, Supervisor: Aurélien Alfonsi

  • Oumaima Bencheikh (started November 2017) "Acceleration of probabilistic particle methods", supervised by B.Jourdain

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

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

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

Juries

• Aurélien Alfonsi:

  • Report and jury of the PhD thesis of Rui Chen, July 19, Paris Dauphine.

  • Report and jury of the PhD thesis of Babacar Diallo, December 9, Evry University.

• Benjamin Jourdain:

  • Report and jury of the PhD of Yating Liu, defended on December 3, Sorbonne University

  • PhD of Victor Marx, defended on October 25, University Nice Côte d'Azur

  • PhD of Nicolas Thomas, defended on June 20, Sorbonne University

• Agnès Sulem:

  • Report and jury of the HdR thesis "Gestion optimale de Portefeuille: Du contrôle Sensible au Risque, à la Finance Comportementale et à la Science des Données Sebastien Lleo, CNAM, Paris, 4 February 2019

  • PhD of Cyril Benezet, defended on 5 November 2019, LPSM, Université Paris-Diderot, (Chair of the Committee)

  • Member of the Committee for the recruitment of a Professor in applied mathematics, finance and numerical probability, Laboratoire de probabilités (LPSM), Université Paris-Diderot, Spring 2019.