Events
Futures of Quantitative Seminar, March 5, 2025
Talk by Marius Chevallier (PhD student, CMAP and Société Générale) Title: An Optimal Transport approach to arbitrage correction: Application to volatility Stress-Tests Abstract: We present a method based on optimal transport to remove arbitrage opportunities within a...
Futures of Quantitative Seminar, January 22 and 29, 2025
Mini course by Gilles Pagès (LPSM): “Functional convex order and applications to Finance” Convex order between two integrable vectors U and V having values in R^d is defined by IE f(U) <= IE f(V) for every convex function f: R^d –> R (with some...
Futures of Quantitative Seminar, May 30 and June 20, 2024
Mini course by Julien Guyon (Ecole des Ponts): “Recent advances in VIX modeling” The minicourse will cover (as time permits): Optimal bounds for VIX futures given S&P 500 smiles Robust bounds for derivatives on S&P 500 and/or VIX: VIX-constrained...
Futures of quantitative seminar, April 25, 2024
David SIbai, BNP-PAR Title: Introduction to performance engineering Abstract: Performance tuning is often seen as a black box, but it shouldn’t – it’s a standard engineering problem, like any other. The purpose of this talk is to introduce standard models and...