London-Paris Bachelier Workshop

The London-Paris Bachelier Workshop on Mathematical Finance is a two-day conference bringing together the researchers from the two communities. As in the previous editions of the workshop, the aim is to continue the discussions about recent research developments and to encourage cross-channel research collaborations.

The eight edition of the workshop takes place in Paris from Thursday 19 (afternoon) to Friday 20 September 2024 at the Henri Poincaré Institute (IHP).

Invited speakers are :

• Laura Ballotta (Bayes Business School), Multivariate Additive Subordination with Applications in Finance
• Cyril Benezet (ENSIIE), Learning conditional distributions on continuous spaces
• Phillipe Bergault (Université Paris Dauphine), Mean Field Games in a Stackelberg problem with an informed major player
• Laurence Carassus (Université de Reims), No free lunch for markets with multiple numeraires
• David Itkin (London School of Economics, Imperial College London), Robust Maximization of Growth with Stochastic Factors and Price Stability
• Charles-Albert Lehalle (Ecole polytechnique), Synthetic Data Generation For Portfolios Optimisation: Traps and counter mea- sures
• Yating Liu (Université Paris Dauphine), A statistical approach for simulating the density solution of a McKean-Vlasov equation
• Johannes Muhle-Karbe (Imperial College London), A comparison of FX fixing methodologies
• Teemu Pennanen (King’s College London), Dynamic programming and duality in convex stochastic optimization
• Peter Tankov (ENSAE Paris), Optimal stopping and divestment timing under scenario ambiguity and learning
• Camilo Garcia Trillos (University College London), A Conjugate Approach to solve a Stochastic Abatement Problem

In addition, some talks will be given by PhD students and young researchers from both communities:

• Alicia Bassière (ENSAE Paris), A mean-field game of electricity market dynamics
• Nathan De Carvalho (Université Paris Cité), Trading with propagators and constraints: applications to optimal execution and battery storage
• Anna De Crescenzo (Université Paris Cité), Nonlinear Graphon mean-field systems
• Timothée Fabre (Centrale-Supélec), Learning the Spoofability of Limit Order Books With Interpretable Probabilistic Neural Networks
• Natascha Hey (Ecole polytechnique), Trading with Concave Cross-Impact and Impact Decay
• Mingwei Lin (LSE), Equilibrium and market impact with uncertain insiders in limit order market
• Yueying Sun (LSE), Mandate Models and the Inelastic Market Hypothesis
• Jiajie Tao (University College London), High Rank Path Development: an approach of learning the filtration of stochas- tic processes
• Waleed Taoum (King’s College London), Statistical modeling of SOFR term structure
• Ruben Wiedemann (Imperial College London), Operator Deep Smoothing for Implied Volatility

The book of abstracts is now available!

Program

THURSDAY 19th September 2pm - 2:30pm: Charles-Albert Lehalle 2:30pm - 3pm: Camilo Garcia Trillos 3pm - 3:30pm: Cyril Benezet 3:30pm - 4pm: David Itkin 4pm - 4:30pm: Coffee break 4:30pm - 5:30pm: Contributed Session n°1 4:30pm - 4:50pm: Jiajie Tao 4:50pm - 5:10pm: Alicia Bassière 5:10pm - 5:30pm: Yueying Sun 5:30pm-5:50pm: Timothée Fabre 5:50pm - 6:20pm: Teemu Pennaneni

FRIDAY 20th September 9am - 9:30am: Peter Tankov 9:30am - 10am: Laura Ballota 10am - 10:30am: Yating Liu 10:30am-11am: Coffee break 11am - 12am: Contributed Session n°2 11.am - 11.20am: Natascha Hey 11.20am - 11:40am: Waleed Taoum 11:40am - 12am: Nathan De Carvalho 12.00pm - 12:30pm: Philippe Bergault 2:00pm - 2:30pm: Laurence Carassus 2:30pm - 3:50pm: Contributed Session n°3 2:30pm - 2:50pm: Ruben Wiedemann 2:50pm - 3:10pm: Anna De Crescenzo 3:10pm - 3:30pm: Mingwei Lin 3:30pm - 4:00pm: Johannes Muhle-Karbe

The London-Paris Workshop organising committee

In collaboration with the Paris Bachelier Group and the London Mathematical Finance Group:

• Eduardo Abi Jaber
• Roxana Dumitrescu
• Zorana Grbac
• Caroline Hillairet
• Alexandre Pannier
• Andreas Søjmark
• Yufei Zhang

Sponsors

Laboratoire de Probabilités, Statistique et Modélisation (LPSM)
Centre d’Economie de la Sorbonne (CES) Université Paris 1 Panthéon-Sorbonne
Institut Henri Poincaré (IHP)
Chaire "Risques Financiers"
Chaire "Futures of Quantitative Finance"
Chaire "Banque de marchés de demain : enjeux modélisation et calcul"
ANR DREAMeS

The seventh edition of this joint Workshop will take place in London on Monday 18 and Tuesday 19 September 2023. All information can be found on the web page.

London-Paris Bachelier Workshop on Mathematical Finance is a two-day conference bringing together the researchers from the two communities. Its main purpose is to exchange information about recent research developments being carried out in the two communities, and to encourage cross-channel research collaborations.

This sixth edition of the workshop takes place in Paris on Thursday 15 and Friday 16 September 2022 at the Henri Poincaré Institute (IHP) in Amphitheater Hermite. The workshop starts at 2pm on Thursday, September 15 and ends at 5pm on Friday, September 16. The meeting is intended to be similar in scope and structure to the very successful previous editions of the workshop held in 2014, 2015, 2016, 2017 and 2021, alternating between Paris and London.

Eleven invited talks given by distinguished researchers from each side of the channel are planned:

• Eduardo Abi Jaber (Ecole Polytechnique)
• Albina Danilova (London School of Economics)
• Fabrice Djete (Ecole Polytechnique)
• Romuald Elie (Deepmind & Université Gustave Eiffel)
• Adeline Fermanian (Mines ParisTech)
• Ying Jiao (Université Claude Bernard Lyon 1)
• Idris Kharroubi (Sorbonne Université)
• Eyal Neuman (Imperial College London)
• Alex Tse (University College London)
• Linus Wunderlich (Queen Mary University London)
• Yufei Zhang (London School of Economics)

In addition, eleven more contributing talks will be given by PhD students and young researchers from both communities, selected by the Scientific Committee:

• Ofelia Bonesini (Università di Padova)
• Lorenzo Croissant (Université Paris Dauphine)
• Domagoj Demeterfi (Queen Mary University London)
• Justin Gwee (London School of Economics)
• Annika Kemper (Bielefeld University)
• Marcos Leutscher (ENSAE)
• Zhesheng Liu (London School of Economics)
• Antonio Ocello (Sorbonne Université)
• Bouazza Saadeddine (Crédit Agricole CIB)
• Lionel Sopgoui (Université Paris Cité, Imperial College London, Groupe BPCE)
• Wanqing Wang (Ecole Polytechnique)

New! The book of abstracts is now available!
The list of registered participants is now available!

Program:

Thursday, 15 September 2pm - 2:30pm: Adeline Fermanian 2:30pm - 3pm: Linus Wunderlich 3pm - 3:30pm: Romuald Elie 3:30pm - 4pm: Eyal Neuman 4pm - 4:30pm: Coffee break 4:30pm - 5:15pm: Contributed Session n°1 4:30pm - 4:45pm: Lorenzo Croissant 4:45pm - 5pm: Domagoj Demeterfi 5pm - 5:15pm: Wanqing Wang 5:15pm - 5:45pm: Idris Kharroubi

Friday, 16 September 9am - 9:30am: Alex Tse 9:30am - 10am: Ying Jiao 10am - 10:30am: Yufei Zhang 10:30am - 12:30pm: Contributed Session n°2 10:30am - 10:45am: Bouazza Saadeddine 10:45am - 11am: Marcos Leutscher 11am - 11:30am: Coffee break 11:30am - 11:45am: Lionel Sopgoui 11:45am - 12pm: Ofelia Bonesini 12pm - 12:30pm: Albina Danilova 12:30pm - 1pm: Eduardo Abi Jaber 1pm - 2:30pm: Lunch break 2:30pm - 3:30pm: Contributed Session n°3 2:30pm - 2:45pm: Antonio Ocello 2:45pm - 3pm: Zhesheng Liu 3pm - 3:15pm: Annika Kemper 3:15pm - 3:30pm: Justin Gwee 3:30pm - 4pm: Fabrice Djete

Registration to the workshop is free but mandatory. Please send an email at cyril[dot]benezet[a]ensiie[dot]fr entitled London-Paris Bachelier Workshop - Registration.

Scientific Committee

• Laura Ballotta (City University of London)
• Stéphane Crépey (Université Paris Cité)
• Emmanuel Gobet (Ecole Polytechnique)
• Kostas Kardaras (London School of Economics)
• Agnès Sulem (INRIA, Paris)
• Peter Tankov (ENSAE)
• Almut Veraart (Imperial College London)

Organizing Committee

In collaboration with the Paris Bachelier Group and the London Mathematical Finance Group:

• Cyril Benezet (ENSIIE)
• Jean-François Chassagneux (Université Paris Cité)
• Roxana Dumitrescu (King's College London)
• Zorana Grbac (Université Paris Cité)
• Daniel Schwarz (University College London)

Sponsors

Chaire "Risques financiers"
Chaire "Banque de marchés de demain, enjeux modélisation et calcul"

The fifth edition of this joint Workshop will take place online on 11-12 March 2021. All information can be found on the web page.

The fourth edition of this joint Workshop took place in London on 21-22 September 2017.

Speakers:

• Anna AKSAMIT (Oxford University),
• Cristin BUESCU (King's College London),
• Umut CETIN (London School of Economics),
• Jean François CHASSAGNEUX (Université Paris Diderot)
• Stefano DE MARCO (École Polytechnique),
• Roxana DUMITRESCU (King’s College London),
• Paul GASSIAT (Université Dauphine),
• Blanka HORVATH (Imperial College London),
• Lane HUGHSTON (Brunel University London),
• Arne LOKKA (London School of Economics),
• Thibaut MASTROLIA (École Polytechnique),
• Mohamed MRAD (Université Paris XIII),
• Eyal NEUMAN (Imperial College London),
• Paolo PIGATO (INRIA),
• Sergio PULIDO (ENSIIE – Université d'Évry),
• Daniel SCHWARZ (University College London),

Schedule:

Thursday, 29 September (at Fédération Française de Banque) 14h00 - 14h30 Welcome and registration 14h30 - 16h00 Talks 1, 2, 3 16h00 - 16h30 Coffee break 16h30 - 18h00 Talks 4, 5, 6

Friday, 30 September (at Institut Henri Poincaré) 9h00 - 10h30 Talks 7, 8, 9 10h30 - 11h00 Coffee break 11h00 - 12h30 Talks 10, 11, 12 12h30 - 14h30 Poster session and lunch 14h30 - 16h30 Talks 13, 14, 15, 16 16h30 - 18h00 Discussion session and coffee break

The detailed program, with titles and abstracts, can be downloaded here.

Poster presentation:

• Eduardo ABI JABER (Université Paris Dauphine)
• Matteo BASEI (Université Paris Diderot)
• Jacopo CORBETTA (École des Ponts ParisTech)
• Côme HURÉ (Université Paris Diderot)
• David KRIEF (Université Paris Diderot)
• Mikail KUSNETSOV (London School of Economics)
• Hao LIU (Imperial College London)
• Maxime MORARIU-PATRICHI (Imperial College London)
• Udomsak RAKWONGWAN (King's College London)
• Guillaume SALL (Université Pierre et Marie Curie)
• Luciane SBARAINI BONATTO (King's College London)
• Fangwei SHI (Imperial College London)

Location:
Thursday, 29 September 2016 : Féderation Bancaire Française, 18 rue la Fayette, 75009 Paris. https://goo.gl/maps/41UqdGCPJRs
Friday, 30 September 2016 : Institut Henri Poincaré, amphithéâtre Hermite, 11 rue Pierre et Marie Curie, 75005 Paris. https://goo.gl/maps/yfzfqbFX6K32

Participation:
Thanks to our sponsors, there is no registration fee. Coffee breaks and lunch on Friday will be available to all participants. If you are interested in participating to the conference, please send an e-mail to fontana [at] math.univ-paris-diderot.fr

Organizing Committee (in collaboration with the Bachelier Paris group):

• Bruno BOUCHARD (Université Paris Dauphine)
• Luciano CAMPI (London School of Economics)
• Claudio FONTANA (Université Paris Diderot)
• Emmanuel GOBET (École Polytechnique)
• Lane HUGHSTON (Brunel University London)
• Antoine JACQUIER (Imperial College London)
• Teemu PENNANEN (King's College London)
• Johannes RUF (University College London)
• Xiaolu TAN (Université Paris Dauphine)

The second edition of this joint Workshop will take place in London. All information can be found on the web page.

Speakers:

• Talk 1: Stefan Ankirchner (Iena University), A generalized Donsker theorem and approximating SDEs with irregular coefficients
• Talk 2: Dorje Brody (Brunel University London), Social discounting and the long rate of interest
• Talk 3: Aleš Černý (City University London), Good-deal price bounds for a log contract
• Talk 4: Zorana Grbac (Université Paris Diderot), Discrete-tenor interest rate models based on polynomial preserving processes
• Talk 5: Caroline Hillairet (Ecole Polytechnique), Ramsey rule with progressive utility in long term yield curves modeling
• Talk 6: Benjamin Jourdain (Ecole des Ponts Paristech), Capital distribution in the mean-field Atlas model
• Talk 7: Kostas Kardaras (London School of Economics), Continuous perpetuities and time-reversal of diffusions
• Talk 8: Idris Kharroubi (Université Paris Dauphine), Optimal switching in finite horizon under state constraints
• Talk 9: Ahmed Kebaier (University Paris Nord), Importance sampling and statistical Romberg method for Lévy processes
• Talk 10: Andrea Macrina (University College London), Rational multi-curve models with counterparty-risk valuation adjustments
• Talk 11: Alex Mijatović (Imperial College London), Markov chain approximations to scale functions of Lévy processes
• Talk 12: Gilles Pagès (Université Pierre et Marie Curie), Multilevel Richardson-Romberg extrapolation
• Talk 13: Teemu Pennanen (King's College London), Optimal investment and contingent claim valuation in illiquid markets
• Talk 14: Martijn Pistorius (Imperial College London), Limit theorem for spectral risk-measures
• Talk 15: Shiqi Song (Université d'Evry), Credit risk model in reduction
• Talk 16: Xiaolu Tan (Université Paris Dauphine), Exact simulation of multi-dimensional SDEs
• Talk 17: Mihail Zervos (London School of Economics), Optimal stopping of one-dimensional Itô diffusions with generalized drift

Schedule:

Thursday, 25 September (at Institut Henri Poincaré) 14h00 - 14h30 Welcome and registration 14h30 - 16h00 Talks 1, 2, 3 (chair: L. Campi) 16h00 - 16h30 Coffee break 16h30 - 17h30 Talks 4, 5 (chair: T. Pennanen) 17h30 - 17h45 Short break 17h45 - 18h45 Talks 6, 7 (chair: L. Hughston) 18h45 - 19h45 Poster session (and drinks) 20h30 Dinner (restricted invitation)

Friday, 26 September (at Fédération Française de Banque) 9h00 - 9h30 Arrival 9h30 - 11h00 Talks 8, 9, 10 (chair: S. Crepey) 11h00 - 11h30 Coffee break 11h30 - 12h30 Talks 11, 12 (chair: H. Pham) 12h30 - 14h30 Lunch 14h30 - 16h00 Talks 13, 14, 15 (chair: M. Jeanblanc) 16h00 - 16h30 Coffee break 16h30 - 17h30 Talks 16, 17 (chair: G. Pagès) 17h30 - 18h00 Departure

Poster presentation:

• Anna Aksamit (University Evry), Non-arbitrage up to random horizon for semimartingale models
• Pierre Blanc (Ecole des Ponts Paristech), Dynamic optimal execution in a mixed-market-impact Hawkes price model
• Geraldine Bouveret (Imperial College London), Stochastic target problems with controlled probability of success -- a probabilistic approach
• Andréa Cosso (University Paris Diderot), Robust feedback switching control: dynamic programming and viscosity solutions
• Roxana Dumitrescu (University Paris Dauphine), Generalized Dynkin games and double reflected BSDEs with jumps
• Andrea Granelli (Imperial College London), Modelling the variance risk premium of equity indices: the role of dependence and contagion
• Eamon McMurray (Imperial College London), Smoothing properties of McKean-Vlasov SDE via Malliavin calculus
• Ivo Mihaylov (Imperial College London), Perturbation approach for Greeks
• Zhen-Jie Ren (Ecole Polytechnique), Large deviations for non-Markovian diffusions and an application in finance
• Yavor Stoev (London School of Economics), Equilibrium with imbalance of the derivative market

Location:
Thursday, 25 September 2016 : Institut Louis Bachelier.
Friday, 26 September 2016 : Féderation Bancaire Française, 18 rue la Fayette, 75009 Paris. https://goo.gl/maps/41UqdGCPJRs

Participation:
If you wish to participate, please send an email to emmanuel dot gobet at polytechnique dot edu

Organizing Committee (in collaboration with the Bachelier Paris group):

• Luciano Campi (London School of Economics)
• Emmanuel Gobet (Ecole Polytechnique)
• Lane Hughston (Brunel University London and University College London)
• Antoine Jacquier (Imperial College London)
• Teemu Pennanen (King's College London

Participants:

1. B. Acciaio, London School of Economics
2. A. Aksamit, University Evry
3. L. Alfonsi, Ecole des Ponts Paristech
4. S. Ankirchner, Iena University
5. J. Armstrong, King's College London
6. M. Ben Alaya, University Paris Nord
7. J. Bion-Nadal, Ecole Polytechnique
8. B. Bouchard, Université Paris Dauphine
9. E. Boguslavskaya, Brunel University London
10. D. Brody, Brunel University London
11. R. Brummelhuis, Birkbeck
12. L. Campi, London School of Economics
13. A. Černý, City University London
14. U. Cetin, London School of Economics
15. E. Chevalier, University Evry
16. A. Cosso, University Paris Diderot
17. S. Crepey, University Evry
18. S. De Marco, Ecole Polytechnique
19. R. Dumitrescu, Université Paris Dauphine
20. N. El Karoui, University Pierre et Marie Curie
21. R. Elie, Université Paris Est
22. C. Fontana, University Paris Diderot
23. M. Gaigi, Université d'Evry
24. V. Galano, Telecom Bretagne
25. Z. Grbac, Université Denis Diderot
26. G. Guo, Ecole Polytechnique
27. C. Hillairet, Ecole Polytechnique
28. L. Hughston, Brunel University London
29. M. Jeanblanc, Université d'Evry
30. Y. Jiao, ISFA Lyon
31. B. Jourdain, Ecole des Ponts Paristech
32. S. Kallblad, Ecole Polytechnique
33. K. Kardaras, London School of Economics
34. I. Kharroubi, Université Paris Dauphine
35. A. Kornprobst, Université Paris 1
36. T. Kruse, University Paris Diderot
37. G. Liang, King's College London
38. C. Litterer, Ecole Polytechnique
39. G. Liu, Ecole Polytechnique
40. V. Ly Vath, Université d'Evry
41. A. Macrina, University College London
42. D. Meier, Brunel University London
43. C. Ménassé, University Paris Diderot
44. A. Mijatović, Imperial College London
45. M. Mrad, University Paris Nord
46. G. Pagès, Université Pierre et Marie Curie
47. S. Pagliarani, Ecole Polytechnique
48. T. Pennanen, King's College London
49. H. Pham, University Paris Diderot
50. M. Pistorius, Imperial College London
51. M. Pontier, University Toulouse
52. Z. Ren, Ecole Polytechnique
53. R. Romero, Université d'Evry
54. M. Rosenbaum, Ecole des Ponts Paristech
55. A. Sagna, ENSIEE Evry
56. S. Song, Université d'Evry
57. X. Tan, Université Paris Dauphine
58. P. Tankov, Université Paris Diderot
59. R. Tekaya, Finoxia
60. N. Touzi, Ecole Polytechnique
61. T. Tran, Université Paris Dauphine
62. P. Turkedjiev, Ecole Polytechnique
63. L. Veraart, London School of Economics
64. X. Warin, Electricité de France
65. M. Zervos, London School of Economics