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Modeling and managing financial risks Paris, 10-13 January 2011 |
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CMAP
Conference program with presentations |
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Monday, January 10
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| 8:30-9:00 | Registration | ||
| 9:00-9:15 | Welcome address | ||
| 9:15-10:15 | Ioannis
Karatzas Stable diffusions interacting through their ranks, as models for large equity markets |
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| 10:15-10:45 | Coffee break | ||
| 10:45-11:45 | Emmanuel Gobet Pricing with discrete dividends: analytical approximations |
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| 12:00-13:00 | Nicole El Karoui Historical interaction between mathematics and financial markets: a French point of view Lecture 1: Drawdown and running supremum: a walk through different optimisation problems |
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| 13:00-14:15 | Lunch time | ||
| 14:15-15:15 | Xunyu Zhou Distorted optimal stopping |
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| 15:15-15:45 | Coffee break | ||
| Market microstructure and statistical aspects I (Dejerine) | Calibration I (Leroux) | Systemic risk and regulation (Pasquier) | |
| 15:45-16:15 | Aurélien Alfonsi Market Impact and Manipulation Strategies | Amel Bentata Forward equations for option prices in semimartingale models |
Andreea Minca Resilience to contagion in financial networks |
| 16:15-16:45 | Aymen
Jedidi General Markovian order book modeling |
Remi Tachet Calibration of the vanillas in a Local and Stochastic Volatility model |
Eva Lütkebohmert A Multi-Period Bank-Run Model for Liquidity Risk |
| 16:45-17:15 | Rémy Chicheportiche The joint distribution of stock returns is not elliptical |
Romain Deguest Equity correlations implied by index options: estimation and model uncertainty analysis |
Philippe Artzner Time-Consistent Supervisory Accounting: the Cases of Insurance and Banking |
| 17:15-17:45 | Laurent Duvernet Nonparametric tests for a semi-martingale: Itô against multifractal |
Mohamed Sbai Coupling index and stocks |
Lakshithe Wagalath Running for the exit: Distressed selling and Endogenous Correlation |
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Tuesday, January 11
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| 9:00-10:00 | Paul Embrechts
Financial Engineering and the Financial Crisis |
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| 10:00-10:30 | Coffee break | ||
| Numerical methods (Leroux) | Risk measures (Pasquier) | Liquidity (Dejerine) | |
| 10:30-11:00 | Antonis Papapantoleon Valuation of options with reference and counterparty default risk in LIBOR models |
Damien Bosc Modelling extreme dependence for multivariate data |
Fabien Guilbaud Numerical methods for an optimal order execution problem |
| 11:00-11:30 | Mohammed Miri Analytical formulas for local volatility model with stochastic rates |
Flavia Giammarino Indifference Pricing with Uncertainty Averse Preferences |
Adrien De Larrard Dynamics of limit order books: diffusion limits and price volatility |
| 11:30-12:00 | Nabil Kahalé Model-independent lower bound on variance swaps |
Marco Maggis On quasiconvex conditional maps : Duality results and applications to Finance |
Ngoc Minh Dang Generalized stochastic target problems for pricing and partial hedging under loss constraints |
| 12:00-12:30 | Noufel Frikha Dynamic risk hedging using stochastic approximation |
Volker Krätschmer Central limit theorems for law-invariant coherent risk measures |
Gökhan Cebiroglu Hidden Liquidity and Optimal Display Strategies with Iceberg Orders |
12:30-14:00 | Lunch time |
| Special
event: 20th anniversary of the master program "Probabilités et Finance" Click here for details |
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| 14:00-14:30 | Helyette Geman From Asian Options to Commodities and Back |
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| 14:30-15:00 | Nicole
El Karoui Historical interaction between mathematics and financial markets: a French point of view Lecture 2: 20 years of market motivated research problems. |
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| 15:00-15:30 | Shige Peng Central Limit Theorem under Model Uncertainty |
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| 15:30-16:00 | Gilles Pagès Dual quantization methods and application to finance |
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| 16:20-17:00 | Jean Jacod | ||
| 17:00-17:45 | Bruno Dupire | ||
| 18:00-19:30 | Cocktail |
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| 19:30-23:00 | Dîner des Anciens
/ Alumni Dinner Registration required, click here for details |
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Wednesday, January 12
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| 9:00-10:00 | Jean-Pierre
Fouque "Heston 1.5" |
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| 10:00-10:20 | Coffee break | ||
| Market microstructure and statistical aspects II (Leroux) | Liquidity and solvency risk (Pasquier) | Credit risk (Dejerine) | |
| 10:20-10:50 | Cecilia Mancini Speed of convergence of the threshold estimator of integrated variance |
Stéphane Villeneuve Corporate Cash Balances, Liquidity Risk and Solvency Risk |
Sandrine Tobelem Robust asset allocation under model uncertainty |
| 10:50-11:20 | Mathieu Rosenbaum On lead-lag estimation between financial assets |
Laurence Carassus Pricing and Hedging Basis Risk under No Good Deal Assumption |
Stéphane Crépey Dynamic Hedging of Counterparty Exposure |
| 11:20-11:50 | Marc Hoffmann Modelling microstructure and epps effects with mutualy exciting point processes |
Monique Pontier A Modelisation of Public Private Parternships with failure time |
Zorana Grbac Rating based Lévy Libor model |
| 11:50-12:00 | Break | ||
| 12:00-13:00 | Nicole
El Karoui Historical interaction between mathematics and financial markets: a French point of view Lecture 3: Entropy, risk measure and quadratic BSDEs |
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| 13:00-14:15 | Lunch time | ||
| 14:15-14:45 | Walter
Schachermayer Law invariant risk measures on L∞ (Rd) |
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| 14:45-15:15 | Nizar Touzi Model independent bounds under calibration constraints: a stochastic control approach |
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| 15:15-15:45 | Coffee break | ||
| Calibration II (Pasquier) | Hedging (Leroux) | Numerical methods and optimization (Dejerine) | |
| 15:45-16:15 | José Da Fonseca Riding on the Smiles |
Johannes Ruf Hedging under arbitrage |
Marco de Innocentis Talk cancelled |
| 16:15-16:45 | Benjamin Jourdain High order discretization schemes for stochastic volatility models |
Rudra P. Jena Arbitrage Opportunities in Misspecified Stochastic Volatility Models |
Kazutoshi Yamazaki Valuation and Optimal Cancellation of Credit Default Swaps under Lévy Models |
| 16:45-17:15 | Thomas Kokholm A Consistent Pricing Model for Index Options and Volatility Derivatives |
Nicolas Millot Non quadratic local risk-minimization for hedging contingent claims in incomplete markets |
Mohamed Mnif Maximization of Recursive Utilities: A Dynamic Maximum Principle Approach |
| 17:15-17:45 | Abdelkoddousse Ahdida Exact and high order discretization schemes for Wishart processes and their affine extensions |
Winslow Strong Arbitrage in Market Models with Stochastic Number of Assets |
Peng Hu On the robustness of Snell envelope and some approximation models |
| 19:30-23:00 | Conference dinner at the Maison de l'Amérique Latine | ||
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Thursday, January 13
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| 9:00-10:00 | Bruno Dupire
Functional Ito Calculus and Risk Management |
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| 10:00-10:30 | Coffee break | ||
| 10:30-11:00 | Julien Guyon
The smile in stochastic volatility models |
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| 11:00-11:30 | Philippe
Balland Talk Cancelled |
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| 11:30-12:00 | Lorenzo Bergomi Correlations in asynchronous markets |
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| 12:00-12:30 | Salah Amraoui Credit Correlation Books : New pricing and Risk Management factors beyond Market Modelling |
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| 12:30-14:00 | Lunch time | ||
| 14:00-15:00 | Alex Lipton
Practical Approaches to Calculating CVA for Portfolios of CDSs (presentation also given at QMF 2010 in Sydney) |
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| 15:00-15:30 | Coffee break | ||
| 15:30-16:00 | Jean-Philippe
Bouchaud Correlation risk and time varying principal components |
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| 16:00-16:30 | Charles-Albert Lehalle Understanding and controlling intra day risk |
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| 16:30-17:00 | Rama Cont Price dynamics in limit order markets: a journey across time scales |
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| 17:00-17:30 | Frédéric Abergel Some recent evolutions in order-book modelling |
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