Closing international conference of Thematic Cycle on Monte-Carlo techniques

›9:00 (50min)

Plenary talk: Terry Lyons
Chair: Francois Delarue

› Amphiteater Pasquier

9:00 - 9:50 (50min)

Plenary talk: Terry Lyons

Amphiteater Pasquier

Chair: Francois Delarue

› Making high order methods effective - Terry Lyons, Mathematical Institute [Oxford] 09:00-09:50 (50min)

›9:50 (50min)

Plenary talk: Jean-François Chassagneux
Chair: Francois Delarue

› Amphiteater Pasquier

9:50 - 10:40 (50min)

Plenary talk: Jean-François Chassagneux

Amphiteater Pasquier

Chair: Francois Delarue

› Numerical solution of the master equation arising in large population stochastic control - Jean-François Chassagneux, Laboratoire de Probabilités et Modèles Aléatoires 09:50-10:40 (50min)

›10:40 (30min)

Coffee break

› Room Marie Curie

10:40 - 11:10 (30min)

Coffee break

Room Marie Curie

›11:10 (50min)

Plenary talk: Michael Ludkovski
Chair: Peter Tankov

› Amphiteater Pasquier

11:10 - 12:00 (50min)

Plenary talk: Michael Ludkovski

Amphiteater Pasquier

Chair: Peter Tankov

› Stochastic Kriging for Bermudan Option Pricing - Michael Ludkovski, UC Santa Barbara 11:10-12:00 (50min)

›12:00 (2h30)

Lunch (buffet for registered participants)

› Room Marie Curie

12:00 - 14:30 (2h30)

Lunch (buffet for registered participants)

Room Marie Curie

›13:30 (1h)

Poster session

› Room Marie Curie

13:30 - 14:30 (1h)

Poster session

Room Marie Curie

› 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 (1h)

› Hamiltonian Monte Carlo sampling for Wishart distributions with eigenvalue constraints - Alexander Buchholz, Centre de Recherche en Économie et Statistique 13:30-14:30 (1h)

› Heterogeneous Risk Preferences in Financial Markets - Tyler ABBOT, Sciences Po Paris - Institut d'études politiques de Paris 13:30-14:30 (1h)

› Improved adaptive Multilevel Monte Carlo and applications to finance - Kaouther Hadji, University of Paris 13 13:30-14:30 (1h)

› Parareal methods and applications in finance - Guillaume SALL, Laboratoire Probabilités et Modèles Aléatoires 13:30-14:30 (1h)

›14:30 (1h30)

Simulation of BSDEs
Organizer: Plamen Turkedjiev

› Amphiteater Pasquier

14:30 - 16:00 (1h30)

Simulation of BSDEs

Amphiteater Pasquier

Organizer: Plamen Turkedjiev

› Simulation of BSDEs with jumps by Wiener chaos expansion - Céline Labart, Laboratoire de Mathématiques 14:30-15:00 (30min)

› Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations - Plamen Turkedjiev, King's College London 15:00-15:30 (30min)

› Numerical approximation of switching problems - Adrien Richou, Institut de Mathématiques de Bordeaux 15:30-16:00 (30min)

›14:30 (1h30)

Simulation of stochastic graphs and applications
Organizer: Florent Benaych-Georges

› Amphiteater Roussy

14:30 - 16:00 (1h30)

Simulation of stochastic graphs and applications

Amphiteater Roussy

Organizer: Florent Benaych-Georges

› Community Detection with the Non-Backtracking Operator - Marc Lelarge, Inria 14:30-15:00 (30min)

› Default Cascades in Inhomogeneous Financial Networks - Hamed Amini, University of Miami 15:00-15:30 (30min)

› Optimal Control for financial system with default contagion - Agnes Sulem, MATHRISK 15:30-16:00 (30min)

›16:00 (30min)

Refreshment

› Room Marie Curie

16:00 - 16:30 (30min)

Refreshment

Room Marie Curie

›16:30 (1h30)

HPC and GPU
Organizer: Lokmane Abbas-Turki

› Amphiteater Pasquier

16:30 - 18:00 (1h30)

HPC and GPU

Amphiteater Pasquier

Organizer: Lokmane Abbas-Turki

› 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 16:30-17:00 (30min)

› Stratified Nested Regression Monte-Carlo scheme with large scale parallelization - Emmanuel Gobet, Ecole Polytechnique 17:00-17:30 (30min)

› Toward a benchmark GPU platform to simulate XVA - Babacar Diallo, INRIA 17:30-18:00 (30min)

›16:30 (1h30)

Optimal trading
Organizer: Sophie Laruelle

› Amphiteater Roussy

16:30 - 18:00 (1h30)

Optimal trading

Amphiteater Roussy

Organizer: Sophie Laruelle

› Probability of Fill Estimation Using Trading Signals - Aymen JEDIDI, HSBC 16:30-17:00 (30min)

› Optimal Execution with Statistical Learning - Sophie LARUELLE, Laboratoire d'Analyse et de Mathématiques Appliquées, Centre de Mathématiques Appliquées - Ecole Polytechnique 17:00-17:30 (30min)

› Quants at work: testing prototypes via Monte Carlo simulations - Mauricio Labadie, Credit Suisse 17:30-18:00 (30min)