Events
Futures of Quantitative Seminar, March 5, 2025
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...
Futures of Quantitative Seminar, January 22 and 29, 2025
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 variants like...
Futures of Quantitative Seminar, May 30 and June 20, 2024
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 martingale...
Futures of quantitative seminar, April 25, 2024
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...
Futures of quantitative seminar, March 28, 2024
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...
Futures of Quantitative Seminar, February 28, 2024
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...
Futures of Quantitative Seminar, Jan 25 and Feb 1, 2024
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 the first...
Futures of Quantitative Finance Seminar, December 20, 2023
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...