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...
18 January 2024 | Seminar Futures of quantitative finance
Minicourse ‘XVA Analysis’ By Stéphane Crépey, professor Université Paris Cité /LPSM Since 2008, XVAs deeply affect the derivative pricing task by making it global (portfolio-wide), nonlinear, and entity dependent. A proper financial understanding of even...
17 October 2023 | Seminar Futures of quantitative finance
Aurélien Alfonsi (École des Ponts ParisTech) Title : How many inner simulations to compute conditional expectations with least-square Monte Carlo? Abstract: The problem of computing the conditional expectation E[f(Y)|X] with least-square Monte-Carlo is of general...
