CMAP
Preliminary program
- The summer school will start on Sunday, August 22 at 5 PM with the registration and welcome at the CRC castle. Check out for participants hosted at the castle or the hotel will be Saturday, August 28 until 10 AM.
Monday, 23 August 2010:
- 09h00-10h30: Huyên Pham: An overview of large deviations theory: methods and results.
- 10h55-13h00: Contributed talks 1
- 13h00-14h00: Lunch
- 14h00-16h00: Discussion time
- 16h00-18h00: Jean-Pierre Fouque: General facts about stochastic volatility. Time scales of volatility factors.
- 09h00-10h30: Huyên Pham: Large deviations for importance sampling and stochastic volatility asymptotics.
- 10h55-13h00: Contributed talks 2
- 13h00-14h00: Lunch
- 14h00-16h00: Discussion time
- 16h00-18h00: Jean-Pierre Fouque: Asymptotics of option prices in the regime of separation of time scales. Calibration on implied volatility surface.
- 09h00-10h30: Huyên Pham: Large deviations in risk management.
- 10h55-13h00: Lorenzo Bergomi (Société Générale) : Stochastic volatility modelling: a practitioner's approach.
- 13h00-14h00: Lunch
- 14h00-16h00: Lorenzo Bergomi (Société Générale), Adil Reghai (Natixis).
- 08h30-10h30: Roger Lee: Implied volatility asymptotics (1).
- 10h55-13h00: Contributed talks 3
- 13h00-14h00: Lunch
- 14h00-16h00: Discussion time
- 16h00-18h00: Jean-Pierre Fouque: Path-dependent options. Examples of other regimes and models.
- 20h00: Summer School Dinner
- 08h30-10h30: Roger Lee: Implied volatility asymptotics (2).
- 10h55-13h00: Contributed talks 4
- 13h00-14h00: Lunch
- 14h00-16h00: Jean-Pierre Fouque: Fixed income and credit markets.
