Séminaire Doctorants (9h00-11h00)
9h00-9h20 : Edouard MOTTE (Catholic University of Louvain) The Volterra Stein-Stein model with stochastic interest rates
9h20-9h40 : Othmane ZARHALI (Université Paris Dauphine - CNRS) From rough to multifractal volatility, topics around the Log S-fBM model
9h40-10h00 : Yadh HAFSI (Université Paris-Saclay, LaMME) Optimal Execution under Incomplete Information
10h00-10h20 : Break
10h20-10h40 : Fallou NIAKH (ENSAE IP Paris, CREST) P2P Risk Basis management for renewable production parametric insurance
10h40-11h00 : Hamza BODOR (Centre d'économie de la Sorbonne) Deep Learning Meets Queue-Reactive: A Framework for Realistic Limit Order Book Simulation
Séminaire Doctorants (9h00-11h00)
9h00-9h20 : Antoine LOTZ (Université Paris Dauphine & EDF Lab) A central limit theorem for locally stationary Hawkes processes
9h20-9h40 : Elie ATTAL (CMAP, Ecole Polytechnique) From Hyper Rougness to Jumps as H → -1/2.
9h40-10h00 : Lamia LAMRANI (Université Paris-Saclay, CentraleSupélec) Holdout method error and optimal split for large covariance matrix estimation
10h00-10h20 : Break
10h20-10h40 : Thomas PEYRAT (CREST-IMT-Exiom Partners) A Multivariate Self-Exciting Processes with Dependencies for actuarial applications
10h40-11h00 : Benoît ORIOL (CEREMADE and Société Générale) Non-linear shrinkage of weighted sample covariances
Séminaire Doctorants (9h00-11h00)
9h00-9h20 : Nathan DE CARVALHO (LPSM, Université Paris Cité and Engie Global Markets) Generalized KKT conditions for continuous time control problems with inequality constraints: application battery modelling
9h20-9h40 : Lorenzo CROISSANT (ENSAE) Near-continuous Time Reinforcement Learning with Continuous States
9h40-10h00 : Fanny CARTELLIER (CREST, ENSAE Paris, Institut Polytechnique de Paris) Can investors curb greenwashing?
10h00-10h20 : Break
10h20-10h40 : Azar LOUZI (LPSM, Université Paris Cité) Multilevel Stochastic Approximation of the Value-at-Risk and Expected Shortfall
10h40-11h00 : Songbo WANG, (CMAP, Ecole polytechnique) Uniform-in-time propagation of chaos
Séminaire Doctorants (9h00-11h00)
9h00-9h20 : Matthias RAKOTOMALALA (CMAP Ecole Polytechnique) Forward Backward Systems on Riemannian Manifolds and Controlled Dynamic Random Geometric Graphs, an Approach to Strategic Networks in Mean Field Games.
9h20-9h40 : Mohamed HAMDOUCHE (LPSM, Université Paris Cité) Policy gradient learning methods for stochastic control with exit time and applications to share repurchase pricing
9h40-10h00 : Hervé ANDRES (Milliman & CERMICS) Path-dependent implied volatility surfaces
10h00-10h20 : Break
10h20-10h40 : Anna DE CRESCENZO (LPSM, Université Paris Cité) L2-approach to graphon mean-field systems
10h40-11h00 : Ali BAOUAN, (CMAP Ecole polytechnique) Crediting football players for creating dangerous actions in an unbiased way: the generation of threat (GoT) indices.
Séminaire Doctorants (9h00-11h00)
9h00-9h20 : Kexin SHAO (Inria Mathrisk, Cermics Ecole des ponts; Ceremade Université ParisDauphine.) Non-decreasing martingale coupling
9h20-9h40 : Florin SUCIU (CEREMADE, Université Paris Dauphine-PSL) Self-interacting approximation to McKean-Vlasov long-time limit: a Markov chain Monte Carlo method
9h40-10h00 : Emmanouil SFENDOURAKIS (CMAP, Ecole polytechnique) Understanding the worst-kept secret of high-frequency trading
10h00-10h20 : Break
10h20-10h40 : Charles MEYNARD (CMAP, Ecole polytechnique) Noise through an additional variable for mean field games master equation on finite state space
10h40-11h00 : Xiaoyuan (Shaun) LI, (Université Paris 1 Panthéon-Sorbonne.) The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles
Séminaire Doctorants (9h00-11h00)
9h00-9h20 : Dorinel BASTIDE (LaMME, Université d’Evry, Université Paris-Saclay GS Math.) Stochastic modeling of financial networks dominated by clearing central counterparties and applications to bank stress test exercises
9h20-9h40 : Jules DELEMOTTE (CMAP Ecole polytechnique) Evaluating the Skew-Stickiness Ratio in stochastic and rough volatility models
9h40-10h00 : Louis-Amand GERARD (CES, Paris 1 Panthéon-Sorbonne) Signature volatility models: fast pricing and hedging with Fourier
10h00-10h20 : Break
10h20-10h40 : Christian YEO, (LPSM Sorbonne Université and ENGIE Global Markets) Convex ordering for stochastic control: the swing contracts case
10h40-11h00 : Lionel Sopgoui, (LPSM Université Paris Cité, Direction des risques BPCE, and Department of Mathematics Imperial College London.) Impact of Climate transition on Recovery and on Loss Given Default with stochastic collaterals.
Séminaire Doctorants (9h00-11h00)
9h00-9h20 : Edoardo LOMBARDO (Ecole des Ponts ParisTech / Università degli studi di Roma Tor Vergata) High order approximation of (log)Heston semigroup with application to rough Heston Model.
9h20-9h40 : Redouane SILVENTE (ENSAE Paris, CREST) Optimal control of storage and intraday price formation in electricity markets
9h40-10h00 : Adil Rengim CETINGOZ (Université Paris 1, Panthéon-Sorbonne/Amundi Asset Management) Asset and Factor Risk Budgeting: A Balanced Approach
10h00-10h20 : Break
10h20-10h40 : Nisrine MADHAR (LPSM, Université Paris Cité) Tail-Related Risk Measures Estimation using Stochastic Simulation of Extremes
10h40-11h00 : Nathan SAULDUBOIS (CMAP, Ecole polytechnique) First order Martingale model risk hedging