## Financial and Actuarial Mathematics, Numerical Probability

#### Day, hour and place

Thurssay at 16:00, Jussieu, Salle Paul Lévy, 16-26 209 / Sophie Germain salle 1016

#### Contact(s)

### Next talks

Financial and Actuarial Mathematics, Numerical Probability

Thursday December 15, 2022, 4PM, Jussieu, Salle Paul Lévy, 16-26 209

**Nizar Touzi** (CMAP, Ecole Polytechnique) *Arrêt optimal en champ moyen*

Financial and Actuarial Mathematics, Numerical Probability

Thursday December 15, 2022, 5PM, Jussieu, Salle Paul Lévy, 16-26 209

**Olivier Bokanowski** (Univ. Paris Cité, LJLL) *Neural Networks for First Order HJB Equations*

Financial and Actuarial Mathematics, Numerical Probability

Thursday January 5, 2023, 4PM, Jussieu, Salle Paul Lévy, 16-26 209

**Ahmed Kebaier** (Université d'Evry) *To be announced.*

Financial and Actuarial Mathematics, Numerical Probability

Thursday January 5, 2023, 5PM, Jussieu, Salle Paul Lévy, 16-26 209

**Thomas Wagenhofer** (TU Berlin) *Weak error estimates for rough volatility models*

Our main result is that moments of these integrals have a weak error rate of order 3H+1/2 if H<1/6 and order 1 otherwise. For this we first derive a moment formula for both the discretization and the true stochastic integral. We then use this formula and properties of Gaussian random variables to prove our main theorems. Furthermore, we show that this convergence rate also holds for slightly more general payoffs and also provide a lower bound. Note that our rate of 3H+1/2 is in stark contrast to the strong error rate which is of order H.

Financial and Actuarial Mathematics, Numerical Probability

Thursday January 19, 2023, 4PM, Jussieu, Salle Paul Lévy, 16-26 209

**Andrea Mazzon** (LMU München) *Detecting asset price bubbles using deep learning*

Financial and Actuarial Mathematics, Numerical Probability

Thursday January 19, 2023, 5PM, Jussieu, Salle Paul Lévy, 16-26 209

**Manal Jakani** (Le Mans Université) *Approximation of reflected SDEs in time-dependent domains and applications to Generalized BSDEs and PDE in time-dependent domain*

Financial and Actuarial Mathematics, Numerical Probability

Thursday February 2, 2023, 4:30PM, Jussieu, Salle Paul Lévy, 16-26 209

**Nabil Kazi-Tani** (Université de Lorraine) *The role of correlation in diffusion control ranking games*

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### Previous talks

#### Year 2022

Financial and Actuarial Mathematics, Numerical Probability

Thursday November 24, 2022, 4:30PM, Jussieu, Salle Paul Lévy, 16-26 209

**Pierre Bras** (LPSM, Sorbonne Université) *Total variation convergence of the Euler-Maruyama scheme in small time with unbounded drift*

Financial and Actuarial Mathematics, Numerical Probability

Thursday October 20, 2022, 4PM, Jussieu, Salle Paul Lévy, 16-26 209

**Damien Lamberton** (Université Gustave Eiffel) *Régularité de la frontière libre d'un problème d'arrêt optimal : une approche probabiliste*

Financial and Actuarial Mathematics, Numerical Probability

Thursday October 20, 2022, 5PM, Jussieu, Salle Paul Lévy, 16-26 209

**Aurélien Alfonsi** (Ecole des Ponts) *Approximation of Stochastic Volterra Equations with kernels of completely monotone type (Joint work with Ahmed Kebaier)*

Financial and Actuarial Mathematics, Numerical Probability

Thursday October 6, 2022, 4:30PM, Jussieu, Salle Paul Lévy, 16-26 209

**Michaël Allouche** (Ecole Polytechnique) *Estimation of extreme quantiles from heavy-tailed distributions with neural networks*

Financial and Actuarial Mathematics, Numerical Probability

Thursday July 7, 2022, 4PM, Sophie Germain salle 1016

**Anthony Reveillac** (INSA Toulouse) *Malliavin calculus for Hawkes functionals and application to Insurance*

Financial and Actuarial Mathematics, Numerical Probability

Thursday June 23, 2022, 5PM, Sophie Germain salle 1016

**Boualem Djehiche** (KTH Stockholm) *On zero-sum Dynkin games of mean field type.*

This is a joint work with Roxana Dumistrescu.

Financial and Actuarial Mathematics, Numerical Probability

Thursday June 2, 2022, 5PM, Jussieu, Salle Paul Lévy, 16-26 209 / Sophie Germain salle 1016

**Marcos Lopes De Prado** (ADIA) *Open problems in Finance*

Financial and Actuarial Mathematics, Numerical Probability

Thursday May 12, 2022, 5PM, Sophie Germain salle 1016

**Maximilien Germain** (Université Paris Cité, LPSM) *A level-set approach to the control of state-constrained McKean-Vlasov equations: application to portfolio selection*

Financial and Actuarial Mathematics, Numerical Probability

Thursday April 28, 2022, 4PM, Sophie Germain salle 1016

**Nabil Khazi-Tani** (IECL, université de Lorraine) *To be announced.*

Financial and Actuarial Mathematics, Numerical Probability

Thursday March 17, 2022, 4PM, Sophie Germain salle 1016

**Pierre Cardaliaguet** (Ceremade, Université Paris-Dauphine) *On the convergence rate for the optimal control of McKean-Vlasov dynamics*

Financial and Actuarial Mathematics, Numerical Probability

Thursday March 17, 2022, 5PM, Sophie Germain salle 1016

**Haoyang Cao** (École Polytechnique) *Identifiability in Inverse Reinforcement Learning*

Financial and Actuarial Mathematics, Numerical Probability

Thursday March 3, 2022, 5PM, Sophie Germain salle 1016

**Jodi Dianetti** (Bielefeld University) *Submodular mean field games: Existence and approximation of solutions*

Financial and Actuarial Mathematics, Numerical Probability

Thursday February 17, 2022, 4PM, Sophie Germain salle 1016

**David Métivier** (CMAP, Ecole Polytechnique) *Interpretable hidden Markov model for stochastic weather generation and climate change analysis*

Financial and Actuarial Mathematics, Numerical Probability

Thursday February 17, 2022, 5PM, Sophie Germain salle 1016

**Sergio Pulido** (LaMME, ENSIEE) *The rough Heston model with self-exciting jumps*

Financial and Actuarial Mathematics, Numerical Probability

Thursday February 3, 2022, 4PM, Jussieu, Salle Paul Lévy, 16-26 209

**Peter Tankov** (CREST, ENSAE) *Optimal Exploration of an Exhaustible Resource with Stochastic Discoveries*

` reserves as well as a finite unexplored area available for exploration with constant marginal cost, resulting in a Poisson process of new discoveries. We prove that a frontier of critical levels of ``proven`

reserves exists, above which exploration is stopped, and below which it happens at infinite speed. This frontier is increasing in the explored area, and higher ``proven'' reserve levels along this critical threshold are indicative of more scarcity, not less. In our stochastic generalization of Hotelling's rule, price expectations conditional on the current state rise at the rate of interest across exploratory episodes. However, the state-dependent conditional expected path of prices realized prior to exhaustion of the exploratory area rises at a rate lower than the rate of interest, consistent with most empirical tests based on observed price histories.
Financial and Actuarial Mathematics, Numerical Probability

Thursday February 3, 2022, 5PM, Jussieu, Salle Paul Lévy, 16-26 209

**Alexandre Pannier** (Imperial College, Londres) *Rough multi-factor volatility models for SPX and VIX*

Financial and Actuarial Mathematics, Numerical Probability

Thursday January 20, 2022, 5PM, Jussieu, Salle Paul Lévy, 16-26 209

**Philippe Bergault** (Ecole Polytechnique) *A mean field game of market making against strategic traders*