Events

Futures of Quantitative Finance Seminar, September 20 and 27 2023

13 September 2023 | Events

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...

Futures of Quantitative Seminar, June 29, 2023

14 June 2023 | Events

Julien Guyon, Professor of Applied Mathematics at Ecole des Ponts ParisTech Does the Term-Structure of Equity At-the-Money Skew Really Follow a Power Law?  Using two years of S&P 500, Eurostoxx 50, and DAX data (2020-2021), we empirically investigate the...

Futures of Quantitative Seminar, May 24, 2023

24 May 2023 | Events

Huyên Pham, Laboratoire de Probabilités, Statistique et Modélisation, Université Paris Cité. Generative modeling for time series via Schrödinger bridge  We propose a novel generative model for time series based on Schrödinger  bridge (SB) approach. This consists in...

Futures of Quantitative Finance Seminar, April 20, 2023

20 April 2023 | Events

Jean-François Chassagneux, Laboratoire de Probabilités, Statistique et Modélisation, Université Paris Cité. A dual approach to partial hedging We introduce a class of `weak hedging problem’ which contains as special examples the quantile hedging problem (Föllmer...

Futures of Quantitative Finance Seminar, March 30, 2023

30 March 2023 | Events

Damien Challet, Laboratoire de Mathématiques et Informatique pour la Complexité et les Systèmes Fast information transfer detection between asynchronous time series Transfer Entropy (TE)  from timeseries B to A measures how much information time series B adds to the...