Conférence 2025 du RT Matrisk

9:00 - 9:45 (45min)

Extremal Causality: A Model-Agnostic Framework with an Application to Climate Risk Analysis

Amphi

Valérie Chavez Demoulin

9:45 - 10:30 (45min)

Variable selection and regression trees in multivariate / multipopulation mortality models with closed-form estimators.

Amphi

Christophe Dutang

10:30 - 11:00 (30min)

Coffe break

11:00 - 11:45 (45min)

Numerical approximation of singular rough Heston model

Amphi

Ludovic Goudenège

11:45 - 12:30 (45min)

Long-time behavior of a line model with degenerate environment

Amphi

Henri Elad-Altman

12:30 - 14:00 (1h30)

Lunch

14:00 - 14:45 (45min)

Bayesian estimation of the tail index of a heavy-tailed distribution with censored data

Amphi

Jean-François Dupuy

14:45 - 15:30 (45min)

Semi-Markov processes: nonparametric kernel estimation and associated reliability/survival analysis modelling and estimation

Amphi

Vlad Stefan Barbu

15:30 - 16:00 (30min)

Coffe break

16:00 - 16:45 (45min)

Path signature methods for pricing of Bermudan options

Amphi

Christian Bayer

16:45 - 17:30 (45min)

Fast calibration using complex-step Sobolev training

Amphi

Bouazza Saadeddine

Program