Events
Futures of Quantitative Seminar, Jan 25 and Feb 1, 2024
Minicourse ‘XVA Analysis’ By Stéphane Crépey, professor Université Paris Cité /LPSM Since 2008, XVAs deeply affect the derivative pricing task by making it global (portfolio-wide), nonlinear, and entity dependent. A proper financial understanding of even...
Futures of Quantitative Finance Seminar, December 20, 2023
Aurélien Alfonsi (École des Ponts ParisTech) Title : How many inner simulations to compute conditional expectations with least-square Monte Carlo? Abstract: The problem of computing the conditional expectation E[f(Y)|X] with least-square Monte-Carlo is of general...
Futures of Quantitative Finance Seminar, November 30, 2023
Stefano De Marco (Ecole polytechnique) Title : Weak approximations and VIX option price expansions in forward variance curve models Abstract : We provide explicit approximation formulas for VIX futures and options in forward variance models, with particular emphasis...
Futures of Quantitative Finance Seminar, September 20 and 27 2023
Simon Coste, researcher at Université Paris Cité and specialist of generative modelling, will be giving two lectures on generative modeling on september 20 and 27, from 17h30 to 19h. Generative modelling Abstract : Generative modelling consists in (1) learning a...