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,...
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...
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...
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...
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...
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...
