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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...
Journée modèles génératifs, 24 mai 2024, BNP-PAR
Journée Modèles génératifs vendredi 24 mai 2024, Paris, Maison Dorée, 20 Boulevard des Italiens, 75009 Paris, Salle Montmartre 6th floor. Programme: 9h-9h30: accueil 9h30-10h: H. Pham, A comparative survey of some generative models for time series 10h15-11h: Laurent...Presentation by BNP at the professional seminar week of the MFD Master, November 22, 2023
Presentation of quant careers at the MFD Master (Ecole nationale des ponts et chaussées) by Grégoire Loeper and Jean-Philippe Lemor on behalf of BNP Global...