Events

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...

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...

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...

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...

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...

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...

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...

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...