Program
| Time |
Event |
(+)
|
|
13:30 - 14:00
|
Welcome - Welcome |
|
|
14:00 - 15:00
|
Liquidity and Asset Prices (Amphi) - Johannes Muhle-Karbe |
|
|
15:00 - 15:00
|
Finance (Amphi) - Bernard Gourion (CANCELLED) |
|
|
15:00 - 16:00
|
Coffee break (Amphi) |
|
|
16:00 - 16:45
|
Invariant measure and ergodicity in random environment (Amphi) - Antoine Mouzard |
|
|
16:45 - 17:30
|
Path-dependent volatility from signatures: pricing and hedging with Fourier (Amphi) - Louis-Amand Gérard |
|
| Time |
Event |
(+)
|
|
09:00 - 09:45
|
Extremal Causality: A Model-Agnostic Framework with an Application to Climate Risk Analysis (Amphi) - Valérie Chavez Demoulin |
|
|
09:45 - 10:30
|
Variable selection and regression trees in multivariate / multipopulation mortality models with closed-form estimators. (Amphi) - Christophe Dutang |
|
|
10:30 - 11:00
|
Coffe break |
|
|
11:00 - 11:45
|
Numerical approximation of singular rough Heston model (Amphi) - Ludovic Goudenège |
|
|
11:45 - 12:30
|
Long-time behavior of a line model with degenerate environment (Amphi) - Henri Elad-Altman |
|
|
12:30 - 14:00
|
Lunch |
|
|
14:00 - 14:45
|
Bayesian estimation of the tail index of a heavy-tailed distribution with censored data (Amphi) - Jean-François Dupuy |
|
|
14:45 - 15:30
|
Semi-Markov processes: nonparametric kernel estimation and associated reliability/survival analysis modelling and estimation (Amphi) - Vlad Stefan Barbu |
|
|
15:30 - 16:00
|
Coffe break |
|
|
16:00 - 16:45
|
Path signature methods for pricing of Bermudan options (Amphi) - Christian Bayer |
|
|
16:45 - 17:30
|
Fast calibration using complex-step Sobolev training (Amphi) - Bouazza Saadeddine |
|
| Time |
Event |
(+)
|
|
09:00 - 09:45
|
Horizon risk and interest rates uncertainty in dynamic risk measuring (Amphi) - Giulia Di Nunno |
|
|
09:45 - 10:30
|
Uncertain Vol Target Volatility Model (Amphi) - Philippe Dumont |
|
|
10:30 - 11:00
|
Coffee break (Amphi) |
|
|
11:00 - 11:45
|
Actuarial Challenges Arising from Climate Change (Amphi) - Thibault Monnet |
|
|
11:45 - 12:30
|
Boosted tree-models, explainability and tuning (Amphi) - Mathias Lindholm |
|
|
12:30 - 14:00
|
Lunch (Amphi) |
|
|
14:00 - 14:45
|
A SPDE Model: The $\Phi^4_3$ Equation Associated with the Harmonic Oscillator (Amphi) - Aurélien Deya |
|
|
14:45 - 15:30
|
A Law of Large Numbers for Kinetic Diffusions (Amphi) - Carlo Bellingeri |
|
|
15:30 - 16:00
|
Coffer break (Amphi) |
|
|
16:00 - 17:30
|
Propagation of carbon price shocks through the value chain: the mean-field game of defaults (Amphi) - Peter Tankov |
|
|
17:30 - 17:30
|
Finance (Amphi) - Arnaud Gocsei (cancelled) |
|
|
19:00 - 22:00
|
Conference diner - Conference diner |
|
| Time |
Event |
(+)
|
|
09:00 - 09:45
|
Machine learning in an expectation-maximisation framework for nowcasting (Amphi) - Katrien Antonio |
|
|
09:45 - 10:30
|
Contamination models (Amphi) - Xavier Milhaud |
|
|
10:30 - 11:00
|
Coffe break (Amphi) |
|
|
11:00 - 11:45
|
Statistical estimation of risk indicators for semi-Markov models (Amphi) - Irène Votsi |
|
|
11:45 - 12:30
|
Importance sampling based inference for the PLN model (Amphi) - Julien Stoehr |
|
|
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