Planning (including Slides) (Update: July 14th)
| Time |
Event |
|
|
09:00 - 10:00
|
Coffee welcome (Room Marie Curie) |
|
|
10:00 - 10:50
|
Plenary talk: Peter Glynn (Amphiteater Pasquier) - Chair: Gilles Pages |
|
| 10:00 - 10:50 |
› Recent Developments in Randomized MLMC - Peter Glynn, Stanford University |
|
|
10:50 - 11:40
|
Plenary talk: Tong Zhang (Amphiteater Pasquier) - Chair: Gilles Pages |
|
| 10:50 - 11:40 |
› Monte Carlo Techniques in Modern Stochastic Optimization for Big Data Machine Learning - Tong Zhang, Rutgers University |
|
|
11:40 - 11:55
|
Break |
|
|
11:55 - 12:45
|
Plenary talk: Bruno Tuffin (Amphiteater Pasquier) - Chair: Stefano De Marco |
|
| 11:55 - 12:45 |
› Some applications of importance sampling to dependability analysis - Bruno Tuffin, Inria |
|
|
12:45 - 14:45
|
Lunch (buffet for registered participants) (Room Marie Curie) |
|
|
14:45 - 16:15
|
Unbiased simulation of SDEs (Amphiteater Pasquier) - Organizer: Aurélien Alfonsi |
|
| 14:45 - 15:15 |
› A stochastic parametrix method - Vlad Bally, Université Paris-Est Marne-la-Vallée |
|
| 15:15 - 15:45 |
› Unbiased simulation of stochastic differential equations using parametrix expansions - Patrik Andersson, Uppsala University |
|
| 15:45 - 16:15 |
› Unbiased simulation of stochastic differential equations - Xiaolu Tan, Ceremade Univ. Paris-Dauphine |
|
|
14:45 - 16:15
|
Particle methods (Amphiteater Roussy) - Organizer: Robin Ryder |
|
| 14:45 - 15:15 |
› Anytime Monte Carlo - Lawrence Murray, Department of Statistics, University of Oxford |
|
| 15:15 - 15:45 |
› On the two-filter approximations of marginal smoothing distributions in general state space models - Sylvain Le Corff, Laboratoire de Mathématiques d'Orsay, Univ. Paris-Sud, CNRS, Université Paris-Saclay. |
|
| 15:45 - 16:15 |
› Variance estimation in the particle filter - Nick Whiteley, University of Bristol |
|
|
16:15 - 16:45
|
Refreshment (Room Marie Curie) |
|
|
16:45 - 18:15
|
Quasi Monte-Carlo (Amphiteater Pasquier) - Organizer: Nicolas Chopin |
|
| 16:45 - 17:15 |
› Hermite spaces and QMC methods in quantitative finance - Leobacher Gunther, Johannes Kepler University Linz |
|
| 17:15 - 17:45 |
› Fast QMC matrix vector multiplication in option pricing - Josef Dick, The University of New South Wales |
|
| 17:45 - 18:15 |
› Sequential quasi-Monte Carlo - Nicolas Chopin, ENSAE |
|
|
16:45 - 18:15
|
Model risk and uncertainty (Amphiteater Roussy) - Organizer: Claude Martini |
|
| 16:45 - 17:15 |
› Volatility derivatives and model-free implied leverage - Masaaki Fukasawa, Osaka University |
|
| 17:15 - 17:45 |
› Consistency and model uncertainty in affine interest rate models - Philipp Harms, Freiburg University |
|
| 17:45 - 18:15 |
› Kriging of financial term-structures - Areski Cousin, Institut des Science Financière et d'Assurances |
|
| Time |
Event |
|
|
09:00 - 09:50
|
Plenary talk: Terry Lyons (Amphiteater Pasquier) - Chair: Francois Delarue |
|
| 09:00 - 09:50 |
› Making high order methods effective - Terry Lyons, Mathematical Institute [Oxford] |
|
|
09:50 - 10:40
|
Plenary talk: Jean-François Chassagneux (Amphiteater Pasquier) - Chair: Francois Delarue |
|
| 09:50 - 10:40 |
› Numerical solution of the master equation arising in large population stochastic control - Jean-François Chassagneux, Laboratoire de Probabilités et Modèles Aléatoires |
|
|
10:40 - 11:10
|
Coffee break (Room Marie Curie) |
|
|
11:10 - 12:00
|
Plenary talk: Michael Ludkovski (Amphiteater Pasquier) - Chair: Peter Tankov |
|
| 11:10 - 12:00 |
› Stochastic Kriging for Bermudan Option Pricing - Michael Ludkovski, UC Santa Barbara |
|
|
12:00 - 14:30
|
Lunch (buffet for registered participants) (Room Marie Curie) |
|
|
13:30 - 14:30
|
Poster session (Room Marie Curie) |
|
| 13:30 - 14:30 |
› A Study of the Application of Chaos to the Global Optimization. - Tayeb HAMAIZIA, Département de Mathématiques, Université des Frères Mentouri Constantine 1 |
|
| 13:30 - 14:30 |
› Hamiltonian Monte Carlo sampling for Wishart distributions with eigenvalue constraints - Alexander Buchholz, Centre de Recherche en Économie et Statistique |
|
| 13:30 - 14:30 |
› Heterogeneous Risk Preferences in Financial Markets - Tyler ABBOT, Sciences Po Paris - Institut d'études politiques de Paris |
|
| 13:30 - 14:30 |
› Improved adaptive Multilevel Monte Carlo and applications to finance - Kaouther Hadji, University of Paris 13 |
|
| 13:30 - 14:30 |
› Parareal methods and applications in finance - Guillaume SALL, Laboratoire Probabilités et Modèles Aléatoires |
|
|
14:30 - 16:00
|
Simulation of BSDEs (Amphiteater Pasquier) - Organizer: Plamen Turkedjiev |
|
| 14:30 - 15:00 |
› Simulation of BSDEs with jumps by Wiener chaos expansion - Céline Labart, Laboratoire de Mathématiques |
|
| 15:00 - 15:30 |
› Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations - Plamen Turkedjiev, King's College London |
|
| 15:30 - 16:00 |
› Numerical approximation of switching problems - Adrien Richou, Institut de Mathématiques de Bordeaux |
|
|
14:30 - 16:00
|
Simulation of stochastic graphs and applications (Amphiteater Roussy) - Organizer: Florent Benaych-Georges |
|
| 14:30 - 15:00 |
› Community Detection with the Non-Backtracking Operator - Marc Lelarge, Inria |
|
| 15:00 - 15:30 |
› Default Cascades in Inhomogeneous Financial Networks - Hamed Amini, University of Miami |
|
| 15:30 - 16:00 |
› Optimal Control for financial system with default contagion - Agnes Sulem, MATHRISK |
|
|
16:00 - 16:30
|
Refreshment (Room Marie Curie) |
|
|
16:30 - 18:00
|
HPC and GPU (Amphiteater Pasquier) - Organizer: Lokmane Abbas-Turki |
|
| 16:30 - 17:00 |
› Resolution of a large number of small random symmetric linear systems in single precision arithmetic on GPUs - Stef Graillat, Université Pierre et Marie Curie - LIP6 |
|
| 17:00 - 17:30 |
› Stratified Nested Regression Monte-Carlo scheme with large scale parallelization - Emmanuel Gobet, Ecole Polytechnique |
|
| 17:30 - 18:00 |
› Toward a benchmark GPU platform to simulate XVA - Babacar Diallo, INRIA |
|
|
16:30 - 18:00
|
Optimal trading (Amphiteater Roussy) - Organizer: Sophie Laruelle |
|
| 16:30 - 17:00 |
› Probability of Fill Estimation Using Trading Signals - Aymen JEDIDI, HSBC |
|
| 17:00 - 17:30 |
› Optimal Execution with Statistical Learning - Sophie LARUELLE, Laboratoire d'Analyse et de Mathématiques Appliquées, Centre de Mathématiques Appliquées - Ecole Polytechnique |
|
| 17:30 - 18:00 |
› Quants at work: testing prototypes via Monte Carlo simulations - Mauricio Labadie, Credit Suisse |
|
| Time |
Event |
|
|
09:00 - 09:50
|
Plenary talk: Michael Giles (Amphiteater Pasquier) - Chair: Benjamin Jourdain |
|
| 09:00 - 09:50 |
› Two new MLMC applications - Michael Giles, University of Oxford |
|
|
09:50 - 10:40
|
Plenary talk: Arnulf Jentzen (Amphiteater Pasquier) - Chair: Benjamin Jourdain |
|
| 09:50 - 10:40 |
› Nonlinear stochastic ordinary and partial differential equations: regularity properties and numerical approximations - Arnulf Jentzen, Department Mathematics ETHZ |
|
|
10:40 - 11:10
|
Coffee break (Room Marie Curie) |
|
|
11:10 - 12:00
|
Plenary Talk: Barak Pearlmutter (Amphiteater Pasquier) - Chair: Charles-Albert Lehalle |
|
| 11:10 - 12:00 |
› Automatic Differentiation in Machine Learning: Survey and Revisionist History - Barak Pearlmutter, Maynooth University |
|
|
12:00 - 14:30
|
Lunch (buffet for registered participants) (Room Marie Curie) |
|
|
13:30 - 14:30
|
Poster session (Room Marie Curie) |
|
| 13:30 - 14:30 |
› A strong order 1/2 method for SDEs with discontinuous drift and degenerate diffusion - Michaela Szölgyenyi, Vienna University of Economics and Business |
|
| 13:30 - 14:30 |
› Error Analysis of a Multi-Index Monte Carlo Estimator for a Class of Zakai SPDEs - Zhenru Wang, Mathematical Institute [Oxford] |
|
| 13:30 - 14:30 |
› Local volatility models enhanced with jumps. - Hamza GUENNOUN, Société Générale |
|
| 13:30 - 14:30 |
› Orientational ordering of Janus colloids in cholesteric liquid crystals - Vladimir Rudyak, Lomonosov Moscow State University - MSU (RUSSIA) |
|
| 13:30 - 14:30 |
› Projected adaptive biasing force method: Variance reduction by Helmholtz projection - Houssam Alrachid, Université Paris-Est Créteil Val-de-Marne - Paris 12 |
|
|
14:30 - 16:00
|
Efficient computations of sensitivities (Amphiteater Pasquier) - Organizer: Charles-Albert Lehalle |
|
| 14:30 - 15:00 |
› Automatic Differentiation for Complex options and algorithms - Olivier Pironneau, Laboratoire Jacques-Louis Lions |
|
| 15:00 - 15:30 |
› Practical implementation of adjoint algorithmic differentiation (AAD) - Sébastien Geeraert, Murex Analytics |
|
| 15:30 - 16:00 |
› AAD applications in Finance - Adil Reghai, Natixis |
|
|
14:30 - 16:00
|
SDE approximation (Amphiteater Roussy) - Organizer: Emmanuelle Clément |
|
| 14:30 - 15:00 |
› Rate of convergence of the Euler scheme for SDE with discontinuous drift - Antoine Lejay, Tosca, Inria Nancy Grand Est / Institut Elie Cartan de Lorraine |
|
| 15:00 - 15:30 |
› Trajectorial coupling between one-dimensional diffusions with linear diffusion coefficient and their Euler scheme - Arnaud Gloter, Laboratoire de Mathématiques et Modélisation d'Évry |
|
| 15:30 - 16:00 |
› A Symmetrized Milstein scheme with strong rate of convergence for some CEV-like SDEs - Mireille Bossy, INRIA |
|
|
16:00 - 16:30
|
Refreshment (Room Marie Curie) |
|
|
16:30 - 18:00
|
Multilevel Monte Carlo (Amphiteater Pasquier) - Organizer: Ahmed Kebaier |
|
| 16:30 - 17:00 |
› General multilevel adaptations for stochastic approximation algorithms - Steffen Dereich, Westfälische Wilhelms-Universität Münster |
|
| 17:00 - 17:30 |
› Multilevel Monte Carlo for McKean-Vlasov SDEs - Lukasz Szpruch, University of Edinburgh |
|
| 17:30 - 18:00 |
› Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators - Anis AL GERBI, CERMICS |
|
|
16:30 - 18:00
|
Rare events and stress tests (Amphiteater Roussy) - Organizer: Ludovic Goudenège |
|
| 16:30 - 17:00 |
› Fluctuation Analysis of Adaptive Multilevel Splitting - Arnaud Guyader, Laboratoire de Statistique Théorique et Appliquée |
|
| 17:00 - 17:30 |
› Rare event simulation related to financial risks: efficient estimation and sensitivity analysis - Ankush Agarwal, Ecole Polytechnique |
|
| 17:30 - 18:00 |
› Rare event probability estimation in the presence of epistemic uncertainty - Mathieu Balesdent, ONERA - The French Aerospace Lab |
|
|
18:45 - 20:45
|
Banquet (invitation only) (Restaurant Georges (Centre Georges Pompidou)) |
|
|
21:00 - 23:30
|
UEFA EURO 2016 semi-final (In your favorite bar with large TV screen) |
|
| Time |
Event |
|
|
09:00 - 09:50
|
Plenary talk: Raul Tempone (Amphiteater Pasquier) - Chair: Idriss Kharroubi |
|
| 09:00 - 09:50 |
› Multi-level and Multi-index Monte Carlo - Raul Tempone, King Abdullah University of Science and Technology |
|
|
09:50 - 10:40
|
Plenary talk: Denis Belomestny (Amphiteater Pasquier) - Chair: Idriss Kharroubi |
|
| 09:50 - 10:40 |
› Higher oder variance reduction for nonlinear Monte Carlo problems - Denis Belomestny, Duisburg-Essen University |
|
|
10:40 - 11:10
|
Coffee break (Room Marie Curie) |
|
|
11:10 - 12:00
|
Plenary talk: Robert Scheichl (Amphiteater Pasquier) - Chair: Noufel Frikha |
|
| 11:10 - 12:00 |
› Multilevel Markov Chain Monte Carlo Methods - Robert Scheichl, University of Bath (UK) |
|
|
12:00 - 13:30
|
Lunch (buffet for registered participants) (Room Marie Curie) |
|
|
13:30 - 15:00
|
Bayesian computation statistics (Amphiteater Pasquier) - Organizer: Christian Robert |
|
| 13:30 - 14:00 |
› Lossless Bayesian inference in infinite dimension without discretisation or truncation: a case study on Lambda-coalescents - Jere Koskela, University of Warwick |
|
| 14:00 - 14:30 |
› Adaptive, delayed-acceptance MCMC for targets with expensive likelihoods - Chris Sherlock, Lancaster University |
|
| 14:30 - 15:00 |
› Sequential Monte Carlo with estimated likelihoods - Richard Everitt, University of Reading |
|
|
13:30 - 15:00
|
Mean-fields simulations (Amphiteater Roussy) - Organizer: Francois Delarue |
|
| 13:30 - 14:00 |
› An Augmented Lagrangian Method for Mean Field Type Control with Congestion - Mathieu LAURIERE, Laboratoire Jacques-Louis Lions |
|
| 14:00 - 14:30 |
› Capital distribution in the mean-field Atlas model - Julien Reygner, CERMICS |
|
| 14:30 - 15:00 |
› Cross-Dependent Volatility - Julien Guyon, Bloomberg, Columbia University, NYU Courant |
|
|
15:00 - 15:30
|
Refreshment (Room Marie Curie) |
|
|
15:30 - 17:00
|
Stochastic algorithms (Amphiteater Pasquier) - Organizer: Jerome Lelong |
|
| 15:30 - 16:00 |
› Optimism and randomness in linear multi-armed bandit - Alessandro Lazaric, SEQUEL |
|
| 16:00 - 16:30 |
› Sampling from a strongly log-concave distribution with the Unadjusted Langevin Algorithm - Alain Durmus, Telecom ParisTech |
|
| 16:30 - 17:00 |
› Pricing American options using martingale bases - Jérome Lelong, Laboratoire Jean Kuntzmann |
|
|
15:30 - 17:00
|
Non linear finance and Nested Monte Carlo (Amphiteater Roussy) - Organizer: Stephane Crepey |
|
| 15:30 - 16:00 |
› Nonlinear Monte Carlo schemes for counterparty risk on credit derivatives - Tuyet Mai Nguyen, Université d'Evry |
|
| 16:00 - 16:30 |
› Non-parametric regression related to rare-event, using MCMC design, and application to nested risk computations - Gersende Fort, Laboratoire traitement et communication de l'information |
|
| 16:30 - 17:00 |
› A Dual algorithm for stochastic control problems: Applications to Uncertain Volatility Models and CVA - Pierre Henry-Labordère, Société Générale |
|
|
