Events

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...

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...

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...

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...