Conférence 2025 du RT Matrisk - Sciencesconf.org

Week Tue. 10 Wed. 11 Thu. 12 Fri. 13 List

	Tue. 10	Wed. 11	Thu. 12	Fri. 13
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	Welcome 13:30 - 14:00 (30min) Welcome Welcome Liquidity and Asset Prices 14:00 - 15:00 (1h) Liquidity and Asset Prices Amphi Johannes Muhle-Karbe https://rt-matrisk2025.sciencesconf.org/data/program/Talk_1.pdf Finance 15:00 - 15:00 () Finance Amphi Bernard Gourion (CANCELLED) Coffee break 15:00 - 16:00 (1h) Coffee break Amphi Invariant measure and ergodicity in random environment 16:00 - 16:45 (45min) Invariant measure and ergodicity in random environment Amphi Antoine Mouzard https://rt-matrisk2025.sciencesconf.org/data/program/Talk_3.pdf Path-dependent volatility from signatures: pricing and hedging with Fourier 16:45 - 17:30 (45min) Path-dependent volatility from signatures: pricing and hedging with Fourier Amphi Louis-Amand Gérard https://rt-matrisk2025.sciencesconf.org/data/program/Talk_4.pdf	Extremal Causality: A Model-Agnostic Framework with an Application to Climate Risk Analysis 9:00 - 9:45 (45min) Extremal Causality: A Model-Agnostic Framework with an Application to Climate Risk Analysis Amphi Valérie Chavez Demoulin https://rt-matrisk2025.sciencesconf.org/data/program/Talk_5.pdf Variable selection and regression trees in multivariate / multipopulation mortality models with closed-form estimators. 9:45 - 10:30 (45min) Variable selection and regression trees in multivariate / multipopulation mortality models with closed-form estimators. Amphi Christophe Dutang https://rt-matrisk2025.sciencesconf.org/data/program/Talk_10.pdf Coffe break 10:30 - 11:00 (30min) Coffe break Numerical approximation of singular rough Heston model 11:00 - 11:45 (45min) Numerical approximation of singular rough Heston model Amphi Ludovic Goudenège https://rt-matrisk2025.sciencesconf.org/data/program/Talk_7.pdf Long-time behavior of a line model with degenerate environment 11:45 - 12:30 (45min) Long-time behavior of a line model with degenerate environment Amphi Henri Elad-Altman https://rt-matrisk2025.sciencesconf.org/data/program/Talk_29.pdf Lunch 12:30 - 14:00 (1h30) Lunch Bayesian estimation of the tail index of a heavy-tailed distribution with censored data 14:00 - 14:45 (45min) Bayesian estimation of the tail index of a heavy-tailed distribution with censored data Amphi Jean-François Dupuy https://rt-matrisk2025.sciencesconf.org/data/program/Talk_26.pdf Semi-Markov processes: nonparametric kernel estimation and associated reliability/survival analysis modelling and estimation 14:45 - 15:30 (45min) Semi-Markov processes: nonparametric kernel estimation and associated reliability/survival analysis modelling and estimation Amphi Vlad Stefan Barbu https://rt-matrisk2025.sciencesconf.org/data/program/Talk_20.pdf Coffe break 15:30 - 16:00 (30min) Coffe break Path signature methods for pricing of Bermudan options 16:00 - 16:45 (45min) Path signature methods for pricing of Bermudan options Amphi Christian Bayer https://rt-matrisk2025.sciencesconf.org/data/program/Talk_11.pdf Fast calibration using complex-step Sobolev training 16:45 - 17:30 (45min) Fast calibration using complex-step Sobolev training Amphi Bouazza Saadeddine https://rt-matrisk2025.sciencesconf.org/data/program/Talk_12.pdf	Horizon risk and interest rates uncertainty in dynamic risk measuring 9:00 - 9:45 (45min) Horizon risk and interest rates uncertainty in dynamic risk measuring Amphi Giulia Di Nunno https://rt-matrisk2025.sciencesconf.org/data/program/Talk_13.pdf Uncertain Vol Target Volatility Model 9:45 - 10:30 (45min) Uncertain Vol Target Volatility Model Amphi Philippe Dumont https://rt-matrisk2025.sciencesconf.org/data/program/Talk_28.pdf Coffee break 10:30 - 11:00 (30min) Coffee break Amphi Actuarial Challenges Arising from Climate Change 11:00 - 11:45 (45min) Actuarial Challenges Arising from Climate Change Amphi Thibault Monnet https://rt-matrisk2025.sciencesconf.org/data/program/Talk_27.pdf Boosted tree-models, explainability and tuning 11:45 - 12:30 (45min) Boosted tree-models, explainability and tuning Amphi Mathias Lindholm https://rt-matrisk2025.sciencesconf.org/data/program/Talk_16.pdf Lunch 12:30 - 14:00 (1h30) Lunch Amphi A SPDE Model: The $\Phi^4_3$ Equation Associated with the Harmonic Oscillator 14:00 - 14:45 (45min) A SPDE Model: The $\Phi^4_3$ Equation Associated with the Harmonic Oscillator Amphi Aurélien Deya https://rt-matrisk2025.sciencesconf.org/data/program/Talk_17.pdf A Law of Large Numbers for Kinetic Diffusions 14:45 - 15:30 (45min) A Law of Large Numbers for Kinetic Diffusions Amphi Carlo Bellingeri https://rt-matrisk2025.sciencesconf.org/data/program/Talk_18.pdf Coffer break 15:30 - 16:00 (30min) Coffer break Amphi Propagation of carbon price shocks through the value chain: the mean-field game of defaults 16:00 - 17:30 (1h30) Propagation of carbon price shocks through the value chain: the mean-field game of defaults Amphi Peter Tankov https://rt-matrisk2025.sciencesconf.org/data/program/Talk_19.pdf Finance 17:30 - 17:30 () Finance Amphi Arnaud Gocsei (cancelled) Conference diner 19:00 - 22:00 (3h) Conference diner Conference diner	Machine learning in an expectation-maximisation framework for nowcasting 9:00 - 9:45 (45min) Machine learning in an expectation-maximisation framework for nowcasting Amphi Katrien Antonio https://rt-matrisk2025.sciencesconf.org/data/program/Talk_6.pdf Contamination models 9:45 - 10:30 (45min) Contamination models Amphi Xavier Milhaud https://rt-matrisk2025.sciencesconf.org/data/program/Talk_22.pdf Coffe break 10:30 - 11:00 (30min) Coffe break Amphi Statistical estimation of risk indicators for semi-Markov models 11:00 - 11:45 (45min) Statistical estimation of risk indicators for semi-Markov models Amphi Irène Votsi https://rt-matrisk2025.sciencesconf.org/data/program/Talk_24.pdf Importance sampling based inference for the PLN model 11:45 - 12:30 (45min) Importance sampling based inference for the PLN model Amphi Julien Stoehr https://rt-matrisk2025.sciencesconf.org/data/program/Talk_25.pdf

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