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Futures of Quantitative Seminar, May 28, 2025
Talk by Eduardo Abi Jaber, Assistant Professor Ecole Polytechnique Title: Volatility dynamics and memory: from the Quintic model to Signatures Abstract: We introduce the Quintic Ornstein-Uhlenbeck model, designed for the joint calibration of SPX and VIX options. The...
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...
Journée modèles génératifs, 24 mai 2024, BNP-PAR
Journée Modèles génératifs vendredi 24 mai 2024, Paris, Maison Dorée, 20 Boulevard des Italiens, 75009 Paris, Salle Montmartre 6th floor. Programme: 9h-9h30: accueil 9h30-10h: H. Pham, A comparative survey of some generative models for time series 10h15-11h: Laurent...
Presentation by BNP at the professional seminar week of the MFD Master, November 22, 2023
Presentation of quant careers at the MFD Master (Ecole nationale des ponts et chaussées) by Grégoire Loeper and Jean-Philippe Lemor on behalf of BNP Global markets.
PhD Days, Paris-Oxford, October 19-20, 2023
Welcome of PhD students from Paris and Oxford PhD Days October 19-20 2023, Paris, Maison Dorée, 20 Boulevard des Italiens, 75009 Paris Salle Montmartre 6th floor. Thursday October 19th 9h30h-10h15: Welcome Coffee Salle Montmartre, 6th floor 10h15: Welcome:...
Presentation of the BNP team at the professional seminar of the Master M2MO
Presentation at Master programme M2MO by Grégoire Loeper on behalf of BNP Global markets of quant careers.
Chair kickoff event, March 8, 2023
Mercredi 8 mars 2023 16:30 - 16:45AccueilMaison Dorée20, boulevard des Italiens75009 Paris 16:45 - 18:30Exposés ScientifiquesJulien Guyon, Cermics, Ecole nationale des ponts et chausséesHuyen Pham, Laboratoire de Probabilités, Statistique et Modélisation, Université...