Closing international conference of Thematic Cycle on Monte-Carlo techniques

Tue. 05

Wed. 06

Thu. 07

Fri. 08

09:00

10:00

11:00

12:00

13:00

14:00

15:00

16:00

17:00

18:00

19:00

20:00

21:00

22:00

23:00

Coffee welcome

9:00 - 10:00 (1h)

Coffee welcome

Room Marie Curie

Plenary talk: Peter Glynn

10:00 - 10:50 (50min)

Plenary talk: Peter Glynn

Amphiteater Pasquier

Chair: Gilles Pages

› Recent Developments in Randomized MLMC - Peter Glynn, Stanford University 10:00-10:50 (50min)

Plenary talk: Tong Zhang

10:50 - 11:40 (50min)

Plenary talk: Tong Zhang

Amphiteater Pasquier

Chair: Gilles Pages

› Monte Carlo Techniques in Modern Stochastic Optimization for Big Data Machine Learning - Tong Zhang, Rutgers University 10:50-11:40 (50min)

Break

11:40 - 11:55 (15min)

Break

Plenary talk: Bruno Tuffin

11:55 - 12:45 (50min)

Plenary talk: Bruno Tuffin

Amphiteater Pasquier

Chair: Stefano De Marco

› Some applications of importance sampling to dependability analysis - Bruno Tuffin, Inria 11:55-12:45 (50min)

Lunch (buffet for registered participants)

12:45 - 14:45 (2h)

Lunch (buffet for registered participants)

Room Marie Curie

Unbiased simulation of SDEs
Particle methods

14:45 - 16:15 (1h30)

Unbiased simulation of SDEs

Amphiteater Pasquier

Organizer: Aurélien Alfonsi

› A stochastic parametrix method - Vlad Bally, Université Paris-Est Marne-la-Vallée 14:45-15:15 (30min)

› Unbiased simulation of stochastic differential equations using parametrix expansions - Patrik Andersson, Uppsala University 15:15-15:45 (30min)

› Unbiased simulation of stochastic differential equations - Xiaolu Tan, Ceremade Univ. Paris-Dauphine 15:45-16:15 (30min)

14:45 - 16:15 (1h30)

Particle methods

Amphiteater Roussy

Organizer: Robin Ryder

› Anytime Monte Carlo - Lawrence Murray, Department of Statistics, University of Oxford 14:45-15:15 (30min)

› 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. 15:15-15:45 (30min)

› Variance estimation in the particle filter - Nick Whiteley, University of Bristol 15:45-16:15 (30min)

Refreshment

16:15 - 16:45 (30min)

Refreshment

Room Marie Curie

Quasi Monte-Carlo
Model risk and uncertainty

16:45 - 18:15 (1h30)

Quasi Monte-Carlo

Amphiteater Pasquier

Organizer: Nicolas Chopin

› Hermite spaces and QMC methods in quantitative finance - Leobacher Gunther, Johannes Kepler University Linz 16:45-17:15 (30min)

› Fast QMC matrix vector multiplication in option pricing - Josef Dick, The University of New South Wales 17:15-17:45 (30min)

› Sequential quasi-Monte Carlo - Nicolas Chopin, ENSAE 17:45-18:15 (30min)

16:45 - 18:15 (1h30)

Model risk and uncertainty

Amphiteater Roussy

Organizer: Claude Martini

› Volatility derivatives and model-free implied leverage - Masaaki Fukasawa, Osaka University 16:45-17:15 (30min)

› Consistency and model uncertainty in affine interest rate models - Philipp Harms, Freiburg University 17:15-17:45 (30min)

› Kriging of financial term-structures - Areski Cousin, Institut des Science Financière et d'Assurances 17:45-18:15 (30min)

Plenary talk: Terry Lyons

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)

Plenary talk: Jean-François Chassagneux

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)

Coffee break

10:40 - 11:10 (30min)

Coffee break

Room Marie Curie

Plenary talk: Michael Ludkovski

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)

Lunch (buffet for registered participants)
Poster session

12:00 - 14:30 (2h30)

Lunch (buffet for registered participants)

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)

Simulation of BSDEs
Simulation of stochastic graphs and applications

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 - 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)

Refreshment

16:00 - 16:30 (30min)

Refreshment

Room Marie Curie

HPC and GPU
Optimal trading

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 - 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)

Plenary talk: Michael Giles

9:00 - 9:50 (50min)

Plenary talk: Michael Giles

Amphiteater Pasquier

Chair: Benjamin Jourdain

› Two new MLMC applications - Michael Giles, University of Oxford 09:00-09:50 (50min)

Plenary talk: Arnulf Jentzen

9:50 - 10:40 (50min)

Plenary talk: Arnulf Jentzen

Amphiteater Pasquier

Chair: Benjamin Jourdain

› Nonlinear stochastic ordinary and partial differential equations: regularity properties and numerical approximations - Arnulf Jentzen, Department Mathematics ETHZ 09:50-10:40 (50min)

Coffee break

10:40 - 11:10 (30min)

Coffee break

Room Marie Curie

Plenary Talk: Barak Pearlmutter

11:10 - 12:00 (50min)

Plenary Talk: Barak Pearlmutter

Amphiteater Pasquier

Chair: Charles-Albert Lehalle

› Automatic Differentiation in Machine Learning: Survey and Revisionist History - Barak Pearlmutter, Maynooth University 11:10-12:00 (50min)

Lunch (buffet for registered participants)
Poster session

12:00 - 14:30 (2h30)

Lunch (buffet for registered participants)

Room Marie Curie

13:30 - 14:30 (1h)

Poster session

Room Marie Curie

› 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 (1h)

› Error Analysis of a Multi-Index Monte Carlo Estimator for a Class of Zakai SPDEs - Zhenru Wang, Mathematical Institute [Oxford] 13:30-14:30 (1h)

› Local volatility models enhanced with jumps. - Hamza GUENNOUN, Société Générale 13:30-14:30 (1h)

› Orientational ordering of Janus colloids in cholesteric liquid crystals - Vladimir Rudyak, Lomonosov Moscow State University - MSU (RUSSIA) 13:30-14:30 (1h)

› Projected adaptive biasing force method: Variance reduction by Helmholtz projection - Houssam Alrachid, Université Paris-Est Créteil Val-de-Marne - Paris 12 13:30-14:30 (1h)

Efficient computations of sensitivities
SDE approximation

14:30 - 16:00 (1h30)

Efficient computations of sensitivities

Amphiteater Pasquier

Organizer: Charles-Albert Lehalle

› Automatic Differentiation for Complex options and algorithms - Olivier Pironneau, Laboratoire Jacques-Louis Lions 14:30-15:00 (30min)

› Practical implementation of adjoint algorithmic differentiation (AAD) - Sébastien Geeraert, Murex Analytics 15:00-15:30 (30min)

› AAD applications in Finance - Adil Reghai, Natixis 15:30-16:00 (30min)

14:30 - 16:00 (1h30)

SDE approximation

Amphiteater Roussy

Organizer: Emmanuelle Clément

› Rate of convergence of the Euler scheme for SDE with discontinuous drift - Antoine Lejay, Tosca, Inria Nancy Grand Est / Institut Elie Cartan de Lorraine 14:30-15:00 (30min)

› Trajectorial coupling between one-dimensional diffusions with linear diffusion coefficient and their Euler scheme - Arnaud Gloter, Laboratoire de Mathématiques et Modélisation d'Évry 15:00-15:30 (30min)

› A Symmetrized Milstein scheme with strong rate of convergence for some CEV-like SDEs - Mireille Bossy, INRIA 15:30-16:00 (30min)

Refreshment

16:00 - 16:30 (30min)

Refreshment

Room Marie Curie

Multilevel Monte Carlo
Rare events and stress tests

16:30 - 18:00 (1h30)

Multilevel Monte Carlo

Amphiteater Pasquier

Organizer: Ahmed Kebaier

› General multilevel adaptations for stochastic approximation algorithms - Steffen Dereich, Westfälische Wilhelms-Universität Münster 16:30-17:00 (30min)

› Multilevel Monte Carlo for McKean-Vlasov SDEs - Lukasz Szpruch, University of Edinburgh 17:00-17:30 (30min)

› Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators - Anis AL GERBI, CERMICS 17:30-18:00 (30min)

16:30 - 18:00 (1h30)

Rare events and stress tests

Amphiteater Roussy

Organizer: Ludovic Goudenège

› Fluctuation Analysis of Adaptive Multilevel Splitting - Arnaud Guyader, Laboratoire de Statistique Théorique et Appliquée 16:30-17:00 (30min)

› Rare event simulation related to financial risks: efficient estimation and sensitivity analysis - Ankush Agarwal, Ecole Polytechnique 17:00-17:30 (30min)

› Rare event probability estimation in the presence of epistemic uncertainty - Mathieu Balesdent, ONERA - The French Aerospace Lab 17:30-18:00 (30min)

Banquet (invitation only)

18:45 - 20:45 (2h)

Banquet (invitation only)

Restaurant Georges (Centre Georges Pompidou)

UEFA EURO 2016 semi-final

21:00 - 23:30 (2h30)

UEFA EURO 2016 semi-final

In your favorite bar with large TV screen

Plenary talk: Raul Tempone

9:00 - 9:50 (50min)

Plenary talk: Raul Tempone

Amphiteater Pasquier

Chair: Idriss Kharroubi

› Multi-level and Multi-index Monte Carlo - Raul Tempone, King Abdullah University of Science and Technology 09:00-09:50 (50min)

Plenary talk: Denis Belomestny

9:50 - 10:40 (50min)

Plenary talk: Denis Belomestny

Amphiteater Pasquier

Chair: Idriss Kharroubi

› Higher oder variance reduction for nonlinear Monte Carlo problems - Denis Belomestny, Duisburg-Essen University 09:50-10:40 (50min)

Coffee break

10:40 - 11:10 (30min)

Coffee break

Room Marie Curie

Plenary talk: Robert Scheichl

11:10 - 12:00 (50min)

Plenary talk: Robert Scheichl

Amphiteater Pasquier

Chair: Noufel Frikha

› Multilevel Markov Chain Monte Carlo Methods - Robert Scheichl, University of Bath (UK) 11:10-12:00 (50min)

Lunch (buffet for registered participants)

12:00 - 13:30 (1h30)

Lunch (buffet for registered participants)

Room Marie Curie

Bayesian computation statistics
Mean-fields simulations

13:30 - 15:00 (1h30)

Bayesian computation statistics

Amphiteater Pasquier

Organizer: Christian Robert

› Lossless Bayesian inference in infinite dimension without discretisation or truncation: a case study on Lambda-coalescents - Jere Koskela, University of Warwick 13:30-14:00 (30min)

› Adaptive, delayed-acceptance MCMC for targets with expensive likelihoods - Chris Sherlock, Lancaster University 14:00-14:30 (30min)

› Sequential Monte Carlo with estimated likelihoods - Richard Everitt, University of Reading 14:30-15:00 (30min)

13:30 - 15:00 (1h30)

Mean-fields simulations

Amphiteater Roussy

Organizer: Francois Delarue

› An Augmented Lagrangian Method for Mean Field Type Control with Congestion - Mathieu LAURIERE, Laboratoire Jacques-Louis Lions 13:30-14:00 (30min)

› Capital distribution in the mean-field Atlas model - Julien Reygner, CERMICS 14:00-14:30 (30min)

› Cross-Dependent Volatility - Julien Guyon, Bloomberg, Columbia University, NYU Courant 14:30-15:00 (30min)

Refreshment

15:00 - 15:30 (30min)

Refreshment

Room Marie Curie

Stochastic algorithms
Non linear finance and Nested Monte Carlo

15:30 - 17:00 (1h30)

Stochastic algorithms

Amphiteater Pasquier

Organizer: Jerome Lelong

› Optimism and randomness in linear multi-armed bandit - Alessandro Lazaric, SEQUEL 15:30-16:00 (30min)

› Sampling from a strongly log-concave distribution with the Unadjusted Langevin Algorithm - Alain Durmus, Telecom ParisTech 16:00-16:30 (30min)

› Pricing American options using martingale bases - Jérome Lelong, Laboratoire Jean Kuntzmann 16:30-17:00 (30min)

15:30 - 17:00 (1h30)

Non linear finance and Nested Monte Carlo

Amphiteater Roussy

Organizer: Stephane Crepey

› Nonlinear Monte Carlo schemes for counterparty risk on credit derivatives - Tuyet Mai Nguyen, Université d'Evry 15:30-16:00 (30min)

› 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 16:00-16:30 (30min)

› A Dual algorithm for stochastic control problems: Applications to Uncertain Volatility Models and CVA - Pierre Henry-Labordère, Société Générale 16:30-17:00 (30min)