Events

Futures of quantitative seminar, March 28, 2024

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...

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Futures of quantitative seminar, March 28, 2024

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...

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Futures of quantitative seminar, March 28, 2024

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...

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Futures of quantitative seminar, March 28, 2024

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...

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Futures of quantitative seminar, March 28, 2024

Futures of Quantitative Finance Seminar, November 30, 2023

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...

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Futures of quantitative seminar, March 28, 2024

Futures of Quantitative Seminar, June 29, 2023

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...

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Futures of quantitative seminar, March 28, 2024

Futures of Quantitative Seminar, May 24, 2023

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...

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