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...
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...
