Modeling and managing financial risks
Paris, 10-13 January 2011

Some authors have asked us not to put their presentations on the web. If the talk you are looking for is not available, please contact the author directly.

Conference program with presentations

Monday, January 10
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
10:15-10:45 Coffee break
10:45-11:45 Emmanuel Gobet
Pricing with discrete dividends: analytical approximations
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
13:00-14:15 Lunch time
14:15-15:15 Xunyu Zhou
Distorted optimal stopping
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
Tuesday, January 11
9:00-10:00 Paul Embrechts
Financial Engineering and the Financial Crisis
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
14:00-14:30 Helyette Geman
From Asian Options to Commodities and Back
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.
15:00-15:30 Shige Peng
Central Limit Theorem under Model Uncertainty
15:30-16:00 Gilles Pagès
Dual quantization methods and application to finance
16:20-17:00 Jean Jacod
17:00-17:45 Bruno Dupire
18:00-19:30 Cocktail
19:30-23:00 Dîner des Anciens / Alumni Dinner
Registration required, click here for details
Wednesday, January 12
9:00-10:00 Jean-Pierre Fouque
"Heston 1.5"
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
13:00-14:15 Lunch time
14:15-14:45 Walter Schachermayer
Law invariant risk measures on L (Rd)
14:45-15:15 Nizar Touzi
Model independent bounds under calibration constraints: a stochastic control approach
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
Thursday, January 13
9:00-10:00 Bruno Dupire
Functional Ito Calculus and Risk Management
10:00-10:30 Coffee break
10:30-11:00 Julien Guyon
The smile in stochastic volatility models
11:00-11:30 Philippe Balland
Talk Cancelled
11:30-12:00 Lorenzo Bergomi
Correlations in asynchronous markets
12:00-12:30 Salah Amraoui
Credit Correlation Books : New pricing and Risk Management factors beyond Market Modelling
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)
15:00-15:30 Coffee break
15:30-16:00 Jean-Philippe Bouchaud
Correlation risk and time varying principal components
16:00-16:30 Charles-Albert Lehalle
Understanding and controlling intra day risk
16:30-17:00 Rama Cont
Price dynamics in limit order markets: a journey across time scales
17:00-17:30 Frédéric Abergel
Some recent evolutions in order-book modelling