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\\ ==== Prochaines séances ====
[[seminaires:GTFinanceProbaNumeriques:index|Mathématiques financières et actuarielles, probabilités numériques]]\\
Jeudi 23 mai 2024, 10 heures, 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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[[seminaires:GTFinanceProbaNumeriques:index|Mathématiques financières et actuarielles, probabilités numériques]]\\
Jeudi 30 mai 2024, 11 heures, 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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[[seminaires:GTFinanceProbaNumeriques:index|Mathématiques financières et actuarielles, probabilités numériques]]\\
Jeudi 13 juin 2024, 11 heures, Jussieu, Salle Paul Lévy, 16-26 209\\
**René Aid** (Paris dauphine) //Non encore annoncé.//
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[[seminaires:GTFinanceProbaNumeriques:index|Mathématiques financières et actuarielles, probabilités numériques]]\\
Jeudi 20 juin 2024, 11 heures, Jussieu, Salle Paul Lévy, 16-26 209\\
**Susana Gomes** (University of Warwick) //Non encore annoncé.//
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\\ ==== Séances passées ====
\\ === Année 2024 ===

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\\ === Année 2023 ===

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\\ === Année 2022 ===

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