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\\ ==== Next talks ====
[[en:seminaires:GTFinanceProbaNumeriques:index|Financial and Actuarial Mathematics, Numerical Probability]]\\
Thursday May 23, 2024, 10AM, CACIB Montrouge\\
**Julien Guyon & Bouazza Saadeddine** (CERMICS & CACIB) //Séance GT chez CACIB Montrouge//
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Julien Guyon : term-structure du ATM skew



 Bouazza Saadeddine : Calibration through regression.
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[[en:seminaires:GTFinanceProbaNumeriques:index|Financial and Actuarial Mathematics, Numerical Probability]]\\
Thursday May 30, 2024, 11AM, Jussieu, Salle Paul Lévy, 16-26 209\\
**Sergey Nadtochiy** (Illinois Institute of Technology) //Cascade equation for Stefan problem as a mean field game//
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The solutions to Stefan problem with Gibbs-Thomson law (i.e., with surface tension effect) are well known to exhibit singularities which, in particular, lead to jumps of the associated free boundary along the time variable. The correct times, directions and sizes of such jumps are well understood under the assumption of radial symmetry, under which the free boundary is a sphere with varying radius. The characterization of such jumps in a general multidimensional setting has remained an open question until recently. In our ongoing work with M. Shkolnikov and Y. Guo, we have derived a separate (hyperbolic) partial differential equation — referred to as the cascade equation — whose solutions describe the jumps of the solutions to the Stefan problem without any symmetry assumptions. It turns out that a solution of the cascade equation corresponds to a maximal element of the set of all equilibria in a family of (first-order local) mean field games. In this talk, I will present and justify the cascade equation, will show its connection to the mean field games, and will prove the existence of a solution to the cascade equation. If time permits, I will also show how these results can be used to construct a solution to the Stefan problem itself.
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[[en:seminaires:GTFinanceProbaNumeriques:index|Financial and Actuarial Mathematics, Numerical Probability]]\\
Thursday June 6, 2024, 11:30AM, Jussieu, Salle Paul Lévy, 16-26 209\\
**Filippo De Feo** (LUISS) //To be announced.//
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[[en:seminaires:GTFinanceProbaNumeriques:index|Financial and Actuarial Mathematics, Numerical Probability]]\\
Thursday June 13, 2024, 11AM, Jussieu, Salle Paul Lévy, 16-26 209\\
**René Aid** (Paris dauphine PSL) //Dynamic regulation of carbon emissions market//
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We deal with optimal dynamic carbon emission regulation of a set of firms. The regulator dynamically allocates emission allowances to each firm. Firms face idiosyncratic, as well as common, economic shocks on emissions, and they have linear quadratic abatement costs. Firms can trade allowances so as to minimize total expected costs, which arise from abatement, trading, and terminal penalty. We find a closed-form expression of the non-unique optimal dynamic allocation policies that allow a desired expected emission reduction. The optimal policies are fully responsive, and therefore induce a constant abatement effort and a constant price of allowances. We apply these results to an extension where the regulator wishes also to limit carbon inflation. Joint work with Maria Arduca, Sara Biagini and Luca Taschini.
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[[en:seminaires:GTFinanceProbaNumeriques:index|Financial and Actuarial Mathematics, Numerical Probability]]\\
Thursday June 20, 2024, 11AM, Jussieu, Salle Paul Lévy, 16-26 209\\
**Susana Gomes** (University of Warwick) //To be announced.//
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\\ ==== Previous talks ====
\\ === Year 2024 ===

{{page>.:gtfinanceprobanumeriques2024}}

\\ === Year 2023 ===

{{page>.:gtfinanceprobanumeriques2023}}

\\ === Year 2022 ===

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