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Seminar Futures of quantitative finance

Futures of Quantitative Seminar, April 30, 2025

Futures of Quantitative Seminar, April 30, 2025

12 May 2025 | Seminar Futures of quantitative finance

Talk by Olivier Guéant, Professor Université Paris 1 Panthéon Sorbonne Title: From Theoretical Results to Real-World Applications in Bonds, FX, Commodities and Cryptocurrencies: An Overview on Market Making Models Abstract: Since the foundational work of Ho and Stoll,...
Futures of Quantitative Seminar, April 30, 2025

Futures of Quantitative Seminar, April 9, 2025

12 May 2025 | Seminar Futures of quantitative finance

Talk by Jules Delemotte, PhD student at CMAP, Ecole Polytechnique Title: Smile dynamics and rough volatility Abstract: We investigate the dynamic properties of various stochastic, and notably rough, volatility models, with an emphasis on the dynamics of implied...
Futures of Quantitative Seminar, April 30, 2025

Futures of Quantitative Seminar, March 5, 2025

5 February 2025 | News, Seminar Futures of quantitative finance

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, April 30, 2025

Futures of Quantitative Seminar, January 22 and 29, 2025

30 December 2024 | News, Seminar Futures of quantitative finance

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, April 30, 2025

Futures of Quantitative Seminar, May 30 and June 20, 2024

23 May 2024 | Seminar Futures of quantitative finance

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 30, 2025

Futures of quantitative seminar, April 25, 2024

22 April 2024 | Seminar Futures of quantitative finance

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...
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