CMAP

ChairDerivatives of the Future 
This Chair is held at the Applied Mathematics Department, Ecole Polytechnique, and is sponsored by the French Federation of Banks. There are two main components in this research project:
 An up to date research activity on the risk management under market conditions outside the classical paradigm of the BlackScholes model. The main focus of our team is on market illiquidity, and new financial markets as longevity derivatives and environemental financial instruments.
 An advanced PhD project at the European level centered around the SMAI European Summer School in Financial Mathematics.
Events:
Our weekly working group: Stochastic Methods in Finance, Ecole Polytechnique.
16 March 2010, 9am1pm: Hedging Illiquidity Risk, joint organization with the Chair FBFEDHEC. Location: FBF, 18 rue La Fayette 75009 Paris.
Special Semester on Longevity Risk, starting on February 2011. Location: Institut Henri Poincaré, Paris.
Scientific Publications:
Published or Forthcoming Papers:
R. Aid, L. Campi, A. Nguyen Huu, N. Touzi (2009). A Structural Risk Neutral Model of Electricity Prices, To appear in International Journal of Theoretical and Applied Finance.
E. Bacry, J.F.Muzy (2009). Multifractal models for asset prices, To appear in Encyclopedia of Finance.
J. BionNadal (2009). Time consistent dynamic risk processes, Stochastic processes and their applications, 119, p 633654.
J. BionNadal (2009). BidAsk dynamic pricing in financial markets with transaction costs and liquidity risk, To appear in Journal of Mathematical Economics.
B. Bouchard, R. Elie, N. Touzi (2009). DiscreteTime Approximation of BSDEs and Probabilistic Schemes for Fully Nonlinear PDEs, To appear in Radon Series on Computational and Applied Mathematics.
B. Bouchard, R. Elie, N. Touzi (2009). Stochastic Target Problems with Controlled Loss, To appear in SIAM Journal on Control and Optimization.
A. Cretarola, F. Gozzi, H. Pham, P. Tankov (2009). Optimal consumption
policies in illiquid markets. To appear in Finance and Stochastics.
R. Cont, P. Tankov (2009). Constant proportion portfolio insurance in the presence of jumps in asset prices, Mathematical Finance, 19, p 379401.
N. El Karoui, Y. Jiao (2009). Stein's method and zero bias transformation for CDO tranche pricing, Finance and Stochastics, 13, p 151180.
A. Galichon (2009). The VaR at Risk, To appear in International Journal on
Theoretic and Applied Finance, special issue on the occasion of the 2008
XColumbia conference in Paris.
P. Imkeller, G. Dos Reis (2009). Path regularity and explicit convergence rate for BSDE with truncated
quadratic growth, To appear in Stochastic processes and their applications.
P. Imkeller, G. Dos Reis, J. Zhang (2009). Results on numerics for FBSDE with drivers of quadratic growth, To appear in Special Springer volume in honour of Eckhard Platen's 60th birthday.
H. Pham, P. Tankov (2009). A coupled system of integrodifferential equations arising in liquidity risk model, Applied Mathematics and Optimization, 59, p 147173.
A.Porchet , N. Touzi, X. Warin (2009). Valuation of a powerplant under production constraints and markets incompleteness, Mathematical Methods of Operations research, 70, p 4775.
C.Y. Robert, M. Rosenbaum (2009). Volatility and covariation estimation when microstructure noise and
trading times are endogenous, to appear in Mathematical Finance.
M. Rosenbaum (2009). Integrated volatility and round off error, Bernoulli, 15, p 687720.
M. Rosenbaum (2009). First order pvariation and Besov spaces, Statistics and Probability Letters, 79, p 5562.
M. Rosenbaum, A. Tsykabov (2009). Sparse Recovery under Matrix Uncertainty, to appear in Annals of Statistics.
M. Soner, N. Touzi (2009). The Dynamic Programming Equation for Second Order Stochastic Target Problems, SIAM J. Control Optim., 48, p 23442365.
P. Tankov (2009). Pricing and hedging gap risk, To appear in Journal of Computational Finance.
P. Tankov, E. Voltchkova (2009). Asymptotic analysis of hedging errors in models with jumps, Stochastic processes and their applications, 119, p 20042027.
P. Tankov, E.Voltchkova (2009). Jumpdiffusion models: a practitioner's guide , To appear in Banque et Marchés.
Working Papers:
R. Aid, O. Féron, N. Touzi, C. Vialas (2009). An arbitragefree interest rate model consistent with economic constraints for longterm asset liability management.
E. Bacry, A.Gloter, M.Hoffmann, J.F.Muzy (2009). Estimation of the multifractal spectrum in a mixed asymptotic framework.
P. Barrieu, H. Bensusan, N. El Karoui, C. Hillairet, S. Loisel, C. Ravanelli, Y. Salhi (2009). Understanding, Modeling and Managing Longevity Risk : Key issues and Main Challenges.
A.Benabid, H.Bensusan, N. El Karoui (2009). Wishart Stochastic Volatility: Asymptotic Smile and Numerical Framework.
A.Benabid, H.Bensusan, N. El Karoui (2009). Short term Smile in general Whishart Stochatic Volatility Model.
B. Bouchard, N. Touzi (2009). Weak dynamic programming principle for viscosity solutions.
M. Broden, P. Tankov (2009). Errors from discrete hedging in exponential Levy models: the L2 approach.
G. Carlier, A. Galichon, F. Santambrogio (2009). From Knothe's transport to Brenier's map and a continuation method for optimal transport.
L. Carasso, N. El Karoui Jan Obloj (2009). On AzémaYor processes, their optimal properties and the Bachelier Drawdown equation.
G. Chemla, R. Aid, A. Porchet, N. Touzi (2009). Vertical integration and risk management in competitive markets of nonstorable goods.
V. Chernozhukov, I. FernandezVal, A. Galichon (2009). Quantile and Probability Curves without Crossing.
D. Crisan, K. Manolarakis et N. Touzi (2009). On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights.
I. Ekeland, A. Galichon, M. Henry (2009). Comonotonic measures of multivariate risks.
N. El Karoui, M. Jeanblanc, Y. Jiao (2009). Modelling of succesive Default events, a density buttomup approach.
A. Fahim, N. Touzi, et X. Warin (2009). A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs.
A. Galichon, M. Henry (2009). Inference in models with multiple equilibria.
A.
Galichon, M. Henry (2009). Dilation Bootstrap: A
methodology for constructing confidence
regions with partially identified models.
M. Hoffmann, M. Rosenbaum, N. Yoshida (2009). Estimation of the LeadLag Effect from Non Synchronous Data.
A. KohatsuHiga, P. Tankov (2009). Jumpadapted discretization schemes for Levydriven SDEs.
A. Kozhemyak, E.
Bacry, J.F. Muzy (2009). LogNormal continuous
cascades: aggregation properties and estimation.
Application to financial timeseries.
C.Y. Robert. M. Rosenbaum (2009). On the microstructural hedging error.
C.Y. Robert, M. Rosenbaum
(2009). A new approach for the dynamics of ultra high
frequency data: the
model with uncertainty zones.
P.
Tankov (2009). Pricing and hedging in exponential
Levy models: review of recent results .