16 October 2023 | Seminar Futures of quantitative finance
Stefano De Marco (Ecole polytechnique) Title : Weak approximations and VIX option price expansions in forward variance curve models Abstract : We provide explicit approximation formulas for VIX futures and options in forward variance models, with particular emphasis...
13 September 2023 | Seminar Futures of quantitative finance
Simon Coste, researcher at Université Paris Cité and specialist of generative modelling, will be giving two lectures on generative modeling on september 20 and 27, from 17h30 to 19h. Generative modelling Abstract : Generative modelling consists in (1) learning a...
14 June 2023 | Seminar Futures of quantitative finance
Julien Guyon, Professor of Applied Mathematics at Ecole des Ponts ParisTech Does the Term-Structure of Equity At-the-Money Skew Really Follow a Power Law? Using two years of S&P 500, Eurostoxx 50, and DAX data (2020-2021), we empirically investigate the...
24 May 2023 | Seminar Futures of quantitative finance
Huyên Pham, Laboratoire de Probabilités, Statistique et Modélisation, Université Paris Cité. Generative modeling for time series via Schrödinger bridge We propose a novel generative model for time series based on Schrödinger bridge (SB) approach. This consists in...
20 April 2023 | Seminar Futures of quantitative finance
Jean-François Chassagneux, Laboratoire de Probabilités, Statistique et Modélisation, Université Paris Cité. A dual approach to partial hedging We introduce a class of `weak hedging problem’ which contains as special examples the quantile hedging problem (Föllmer...
30 March 2023 | Seminar Futures of quantitative finance
Damien Challet, Laboratoire de Mathématiques et Informatique pour la Complexité et les Systèmes Fast information transfer detection between asynchronous time series Transfer Entropy (TE) from timeseries B to A measures how much information time series B adds to the...
