Financial and Actuarial Mathematics, Numerical Probability
Day, hour and place
Thursday at 11:00, Jussieu, Salle Paul Lévy, 16-26 209 / Sophie Germain salle 1016
Contact(s)
To add the talks calendar to your agenda, subscribe to this calendar by using this link.
Previous talks
Year 2024
Financial and Actuarial Mathematics, Numerical Probability
Thursday November 21, 2024, 10AM, Jussieu, Salle Paul Lévy, 16-26 209 / Sophie Germain salle 1016
Christian Yeo (LPSM) Convex ordering for stochastic control: the swing contracts case.
Financial and Actuarial Mathematics, Numerical Probability
Thursday November 21, 2024, 11AM, Jussieu, Salle Paul Lévy, 16-26 209 / Sophie Germain salle 1016
Noufel Frikha (Université Paris 1) To be announced.
Financial and Actuarial Mathematics, Numerical Probability
Thursday October 3, 2024, 11AM, Sophie Germain salle 1013
Charles Albert Lehalle (Ecole Polytechnique) Machine Learning and Data Sciences for Financial Markets
Financial and Actuarial Mathematics, Numerical Probability
Thursday June 20, 2024, 11AM, Jussieu, Salle Paul Lévy, 16-26 209
Susana Gomes (University of Warwick) Mean field limits for interacting particle systems
Financial and Actuarial Mathematics, Numerical Probability
Thursday June 13, 2024, 11AM, Sophie Germain salle 1016
René Aid (Paris dauphine PSL) Dynamic regulation of carbon emissions market
Financial and Actuarial Mathematics, Numerical Probability
Thursday June 6, 2024, 11:30AM, Sophie Germain salle 1016
Filippo De Feo (LUISS) Optimal control of stochastic delay differential equations and applications to portfolio optimization and optimal advertising
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
Financial and Actuarial Mathematics, Numerical Probability
Thursday May 23, 2024, 10AM, CACIB Montrouge
Julien Guyon & Bouazza Saadeddine (CERMICS & CACIB) Séance GT chez CACIB Montrouge
Bouazza Saadeddine : Calibration through regression.
Financial and Actuarial Mathematics, Numerical Probability
Thursday May 2, 2024, 11AM, Jussieu, Salle Paul Lévy, 16-26 209
Fausto Gozzi (LUISS Roma) Regular solutions for HJB in infinite dimension through partial smoothing.
Financial and Actuarial Mathematics, Numerical Probability
Thursday April 25, 2024, 11AM, Jussieu, Salle Paul Lévy, 16-26 209
Thierry Roncalli (Amundi) Modeling Climate Risk with Input-output Models
Financial and Actuarial Mathematics, Numerical Probability
Thursday March 28, 2024, 9AM, Jussieu, Salle Paul Lévy, 16-26 209
Matinée Anr Reliscope To be announced.
Financial and Actuarial Mathematics, Numerical Probability
Thursday March 21, 2024, 11AM, Sophie Germain salle 1016
Athena Picarelli (Université de Verone) A deep solver for BSDEs with jumps
Financial and Actuarial Mathematics, Numerical Probability
Thursday March 14, 2024, 11AM, Jussieu, Salle Paul Lévy, 16-26 209
Sergio Pulido (ENSIIE, Univ. Paris Saclay) Polynomial Volterra processes
Financial and Actuarial Mathematics, Numerical Probability
Thursday March 7, 2024, 11AM, Jussieu, Salle Paul Lévy, 16-26 209
Cyril Benezet (ENSIIE, Univ. Paris Saclay) Hedging Valuation Adjustment et Risque de Modèle
Financial and Actuarial Mathematics, Numerical Probability
Thursday February 29, 2024, 10AM, CREDIT AGRICOLE, Pl. des États Unis, Montrouge
Vincent Lemaire Et Huyên Pham (LPSM) Séance Chaire CACIB
10h accueil
10h30-11h15 Vincent Lemaire (Sorbonne Université / LPSM), Denoising Diffusion Probabilistic Models, introduction et quelques résultats théoriques.
Résumé : Introduits récemment, les modèles génératifs basés sur une dynamique de bruitage/débruitage des données se révèlent très performants. On exposera le cadre mathématique à temps continu qui se base sur les équations différentielles stochastiques et le score matching. On donnera quelques résultats théoriques de convergence et on s'intéressera au comportement de la borne de l'erreur en fonction de la façon dont on bruite (noise schedule). Ce dernier point est un travail en commun avec Claire Boyer, Sylvain Le Corff, Antonio Ocello et Stanislas Strasman.
11h15-11h45 pause café
11h45-12h30 Huyen Pham (Université Paris Cité / LPSM), Nonparametric generative modeling for time series via Schrödinger bridge.
Résumé: We propose a novel generative model for time series based on Schrödinger bridge (SB) approach. This consists in the entropic interpolation via optimal transport between a reference probability measure on path space and a target measure consistent with the joint data distribution of the time series. The solution is characterized by a stochastic differential equation on finite horizon with a path-dependent drift function, hence respecting the temporal dynamics of the time series distribution. We estimate the drift function from data samples by nonparametric, e.g. kernel regression methods, and the simulation of the SB diffusion yields new synthetic data samples of the time series.The performance of our generative model is evaluated through a series of numerical experiments. First, we test with autoregressive models, a GARCH Model, and the example of fractional Brownian motion, and measure the accuracy of our algorithm with marginal, temporal dependencies metrics, and predictive scores. Next, we use our SB generated synthetic samples for the application to deep hedging on real-data sets.
Financial and Actuarial Mathematics, Numerical Probability
Thursday February 8, 2024, 11AM, Sophie Germain salle 1013
Yadh Hafsi (Univ. Paris Saclay) Uncovering Market Disorder and Liquidity Trends Detection
Financial and Actuarial Mathematics, Numerical Probability
Thursday January 25, 2024, 11AM, Sophie Germain salle 1013
Fanny Cartelier (ENSAE) Can investors curb greenwashing
Financial and Actuarial Mathematics, Numerical Probability
Thursday January 18, 2024, 11AM, Sophie Germain salle 1016
Ioannis Gasteratos (Imperial College London) Transportation-cost inequalities for nonlinear Gaussian functionals
Financial and Actuarial Mathematics, Numerical Probability
Thursday January 11, 2024, 11AM, Sophie Germain salle 1016
Olivier Guéant (Paris 1) Incorporating Variable Liquidity in Optimal Market Making and Inventory Management Models: A Comparison of Hawkes Processes and Markov-Modulated Poisson Processes
Year 2023
Financial and Actuarial Mathematics, Numerical Probability
Thursday December 14, 2023, 11AM, Sophie Germain salle 1016
Camilo Garcia Trillos (University College London) Adversarial Distributional Robustness from Wasserstein Ascent-Descent Particle Dynamics
Financial and Actuarial Mathematics, Numerical Probability
Thursday December 7, 2023, 11AM, Sophie Germain salle 1016
Caroline Hillairet (ENSAE) Bi-Revealed Utilities in a defaultable universe
the possibility of the default, thus τ adds an additional source of risk. The defaultable universe is represented by the filtration G up to time τ (τ included), where G stands for the progressive enlargement of F by τ . The basic assumption in force is that τ avoids F-stopping times. The bi-revealed problem consists in recovering a consistent dynamic utility from the observable characteristic of an agent. The general results on bi-revealed utilities, first given in a general and abstract framework, are translated in the defaultable G-universe and then are interpreted in the F-universe. The decomposition of G-adapted processes XG provides an interpretation of a G-characteristic XτG stopped at τ as a reserve process. Thanks to the characterization of G-martingales stopped at τ in terms of F-martingales, we establish a correspondence between G-bi-revealed utilities from characteristic and F-bi-revealed pair of utilities from characteristic and reserves. In a financial framework, characteristic can be interpreted as wealth and reserves as consumption. This result sheds a new light on the consumption in utility criterion: the consumption process can be interpreted as a certain quantity of wealth, or reserves, that are accumulated for the financing of losses at the default time.
This is a joint work with N. El Karoui and M. Mrad.
Financial and Actuarial Mathematics, Numerical Probability
Thursday November 30, 2023, 11AM, Sophie Germain salle 1016
Grégoire Loeper (BNP Parisba) Black and Scholes, Legendre and Sinkhorn
Financial and Actuarial Mathematics, Numerical Probability
Thursday November 23, 2023, 11AM, Sophie Germain salle 1016
Eduardo Abi Jaber (CMAP) From the Quintic model that jointly calibrates SPX/VIX to Signature Volatility models
For pricing SPX products, we show that the Quintic model is part of a larger class of stochastic volatility model where the volatility is driven by a linear function of the path signature of a Brownian motion enhanced with the running time. For this larger class of models, we develop pricing and hedging methodologies using Fourier inversion techniques on the characteristic function which is known up to an infinite-dimensional Riccati equation. We illustrate our method on numerical examples for pricing, hedging and calibration of vanilla and path-dependent options in several classes of Markovian and Non-Markovian models.
Financial and Actuarial Mathematics, Numerical Probability
Thursday November 16, 2023, 11AM, Sophie Germain salle 1013
Samuel Daudin (Univ. Nice) On the optimal rate for the convergence problem in mean-field control
Financial and Actuarial Mathematics, Numerical Probability
Thursday October 19, 2023, 11AM, INRIA 2 Rue Simone Iff, 75012 Paris, France
Robert Denkert (HU Berlin) xtended Mean Field Control Problems with Singular Controls
Financial and Actuarial Mathematics, Numerical Probability
Thursday October 19, 2023, 9AM, Inria 2 Rue Simone Iff, 75012 Paris, France
Gudmund Pammer (ETH, Zurich) Stretched Brownian Motion: Analysis of a Fixed-Point Scheme
Financial and Actuarial Mathematics, Numerical Probability
Thursday October 19, 2023, 11:45AM, Inria 2 Rue Simone Iff, 75012 Paris, France
Aurélien Alfonsi (ENPC) Nonnegativity preserving convolution kernels. Application to Stochastic Volterra Equations in closed convex domains and their approximation.
Financial and Actuarial Mathematics, Numerical Probability
Thursday October 19, 2023, 9:45AM, Inria 2 Rue Simone Iff, 75012 Paris, France
Mehdi Talbi (LPSM) Sannikov’s contracting problem with many Agents
Financial and Actuarial Mathematics, Numerical Probability
Thursday October 12, 2023, 11AM, Sophie Germain salle 1016
Céline Labart (Université de Savoie) To be announced.
Financial and Actuarial Mathematics, Numerical Probability
Wednesday July 12, 2023, 11AM, Jussieu, Salle Paul Lévy, 16-26 209
Mortiz Voss (UCLA) On Adaptive Robust Optimal Execution and Machine Learning Surrogates
Financial and Actuarial Mathematics, Numerical Probability
Thursday June 15, 2023, 11AM, Jussieu, Salle Paul Lévy, 16-26 209
Thomas Kruse (Bergischen Universität Wuppertal) Multilevel Picard approximations for high-dimensional semilinear parabolic PDEs and further applications
Financial and Actuarial Mathematics, Numerical Probability
Thursday May 11, 2023, 11AM, Jussieu, Salle Paul Lévy, 16-26 209
Botao Li (LPSM) Simplified Models and Optimization Algorithms in Deep Learning
Financial and Actuarial Mathematics, Numerical Probability
Thursday April 13, 2023, 11AM, Jussieu, Salle Paul Lévy, 16-26 209
Xavier Erny (CMAP) Propagation du chaos conditionnelle de modèles en champ moyen
Financial and Actuarial Mathematics, Numerical Probability
Thursday April 13, 2023, 10AM, Jussieu, Salle Paul Lévy, 16-26 209
Pierre Lavigne (Institut Louis Bachelier) Decarbonization of financial markets: a mean field game approach
We formalize the problem in the setting of mean-field games and prove the existence and uniqueness of a Nash equilibrium for firms. We then present a convergent numerical algorithm for computing this equilibrium and illustrate the impact of climate transition risk and the presence of green-minded investors on the market decarbonization dynamics and share prices.
We show that uncertainty about future climate risks and policies leads to higher overall emissions and higher spreads between share prices of green and brown companies. This effect is partially reversed in the presence of environmentally concerned investors, whose impact on the cost of capital spurs companies to reduce emissions.
Joint work with Peter Tankov.
Financial and Actuarial Mathematics, Numerical Probability
Thursday April 6, 2023, 11AM, Jussieu, Salle Paul Lévy, 16-26 209
Mahmoud Khabou (INSA Toulouse) The normal approximation of compound Hawkes functionals
Financial and Actuarial Mathematics, Numerical Probability
Thursday April 6, 2023, 10AM, Jussieu, Salle Paul Lévy, 16-26 209
Ziad Kobeissi (INRIA ILB) Temporal Difference Learning with Continuous Time and State in the Stochastic Setting
Financial and Actuarial Mathematics, Numerical Probability
Thursday March 30, 2023, 11AM, Jussieu, Salle Paul Lévy, 16-26 209
Mehdi Talbi (ETH Zurich) Mean field games of stopping times
Financial and Actuarial Mathematics, Numerical Probability
Thursday March 16, 2023, 11AM, Jussieu, Salle Paul Lévy, 16-26 209
Rudy Morel (Ecole Normale Supérieure) A statistical model of financial time-series through Scattering Spectra
These spectra are an extension of the standard wavelet spectrum and are defined as the diagonal of a certain non-linear correlation matrix on wavelet coefficients.
They characterize a wide range of non-Gaussian properties of multi-scale processes. This is analyzed for a variety of processes in the Finance literature.
We prove that self-similar processes have scattering spectra which are scale invariant. This property can be tested statistically on a single realization and defines a class of wide-sense self-similar processes.
We build maximum entropy models conditioned by scattering spectra coefficients, and generate new time-series with a microcanonical sampling algorithm.
Besides capturing statistical properties of observed time-series, these models can be used to predict future volatility and are shown to capture non-trivial statistical properties of the option smile.
Financial and Actuarial Mathematics, Numerical Probability
Thursday March 9, 2023, 11AM, Jussieu, Salle Paul Lévy, 16-26 209
Ofelia Bonesini (Imperial College) Correlated equilibria for mean field games with progressive strategies
Financial and Actuarial Mathematics, Numerical Probability
Thursday February 16, 2023, 11AM, Jussieu, Salle Paul Lévy, 16-26 209
William Hammersley (Univ. Nice) A prospective regularising common noise for mean field systems
Financial and Actuarial Mathematics, Numerical Probability
Thursday February 2, 2023, 4PM, Jussieu, Salle Paul Lévy, 16-26 209
Nabil Kazi-Tani (Université de Lorraine) The role of correlation in diffusion control ranking games
Financial and Actuarial Mathematics, Numerical Probability
Thursday January 26, 2023, 4:30PM, 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 January 19, 2023, 4:30PM, 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 5, 2023, 4PM, Jussieu, Salle Paul Lévy, 16-26 209
Ahmed Kebaier (Université d'Evry) The interpolated drift implicit Euler scheme Multilevel Monte Carlo method for pricing Barrier options and applications to the CIR and CEV models
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.
Year 2022
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 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