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Tuesday, July 5, 2016
| 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 |
Wednesday, July 6, 2016
| 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 |
Thursday, July 7, 2016
| 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) |
Friday, July 8, 2016
| 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 |
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