Mathématiques financières et calcul stochastique
16-21 Jan 2023 Métabief (France)
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Planning
Week
Mon. 16
Tue. 17
Wed. 18
Thu. 19
Fri. 20
Sat. 21
List
‹
Tuesday, January 17, 2023
›
07:00
08:00
09:00
10:00
11:00
12:00
13:00
14:00
15:00
16:00
17:00
18:00
19:00
20:00
›7:30 (2h)
Breakfast
› 12631
7:30 - 9:30 (2h)
Breakfast
12631
›9:30 (2h30)
Free
› -1
9:30 - 12:00 (2h30)
Free
-1
›12:00 (1h30)
Lunch
› 12631
12:00 - 13:30 (1h30)
Lunch
12631
›14:00 (45min)
Regularized mean field optimization prob- lems
Zhenjie Ren
› 12630
14:00 - 14:45 (45min)
Regularized mean field optimization prob- lems
12630
Zhenjie Ren
https://colbachelier22.sciencesconf.org/data/program/Ren_Zhenjie_1.pdf
›14:45 (30min)
Joint SPX–VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints
Shaun Li
› 12630
14:45 - 15:15 (30min)
Joint SPX–VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints
12630
Shaun Li
https://colbachelier22.sciencesconf.org/data/program/Li_Shaun_.pdf
›15:15 (30min)
Approximation of PDEs on Wasserstein space and application to mean field control
Mehdi Talbi
› 12630
15:15 - 15:45 (30min)
Approximation of PDEs on Wasserstein space and application to mean field control
12630
Mehdi Talbi
https://colbachelier22.sciencesconf.org/data/program/Talbi.pdf
›15:45 (30min)
Backward Stochastic Differential Equations with interaction
Jasmina Djorevic
› 12630
15:45 - 16:15 (30min)
Backward Stochastic Differential Equations with interaction
12630
Jasmina Djorevic
›16:15 (30min)
Coffee break
› 12632
16:15 - 16:45 (30min)
Coffee break
12632
›16:45 (30min)
Signature stochastic volatility mod- els: pricing and hedging with Fourier
Louis-Amand Gérard
› 12630
16:45 - 17:15 (30min)
Signature stochastic volatility mod- els: pricing and hedging with Fourier
12630
Louis-Amand Gérard
https://colbachelier22.sciencesconf.org/data/program/GERARD_Louis_Amand.pdf
›17:15 (30min)
VOLTERRA SANDWICHED VOLATILITY MODEL: MARKOVIAN APPROXIMATION AND HEDG- ING
A. Yurchenko-Tytarenko
› 12630
17:15 - 17:45 (30min)
VOLTERRA SANDWICHED VOLATILITY MODEL: MARKOVIAN APPROXIMATION AND HEDG- ING
12630
A. Yurchenko-Tytarenko
https://colbachelier22.sciencesconf.org/data/program/Yurchenko_Tytarenko.pdf
›19:00 (1h30)
Dinner
› 12631
19:00 - 20:30 (1h30)
Dinner
12631
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