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...
25 March 2024 | Seminar Futures of quantitative finance
Zorana Grbac, Université Paris Cité, LPSM Title: Term structure modelling with overnight rates beyond stochastic continuity Abstract: Overnight rates, such as the SOFR (Secured Overnight Financing Rate) in the US, are central to the current reform of interest rate...
19 February 2024 | Seminar Futures of quantitative finance
Guido Gazzani (ENPC) Title: Pricing and calibration of path-dependent volatility models Abstract: We consider the path-dependent volatility (PDV) model of Guyon and Lekeufack (2023), where the instantaneous volatility is a linear combination of a weighted sum of past...
