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