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...
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...
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...
