Emmanuel GOBET - Teaching


Ecole Polytechnique

  1. 1st year program (X10-11-12-13): Aléatoire MAP311.
    Teaching material:
  2. 2nd year program: MODAL Simulation Numérique Aléatoire MAP474.
    Teaching material here (restricted access).
  3. 3rd year program: Méthodes de Monte-Carlo et processus stochastiques, du linéaire au non-linéaire MAP564.
  4. Master 2 Probabilités et Statistiques Orsay-Ecole Polytechnique: Simulation Aleatoire, MAP655B
  5. Master 2 Probabilités et Finance Paris 6-Ecole Polytechnique: Processus stochastiques et produits dérivés (avec N. El Karoui), MAP653B

Summer Schools

  1. XV Spanish-French School on Numerical Simulation in Physics and Engineering, at Malaga (Spain). Introduction to stochastic calculus and to the resolution of PDEs using Monte Carlo simulations. September 2012. Lecture notes.
  2. Spring school in Stochastic Analysis in finance, at Roscoff (France). Asymptotic expansions and local volatility models. March 2012. Lecture notes.
  3. Summer school in Probability Theory, at Disentis (Switzerland). Numerical approximations of Backward Stochastic Differential Equations. July 2010. Slides.
  4. European Summer School in Financial Mathematics at HEC - Jouy-en-Josas (France). Backward Stochastic Differential Equations and Financial Applications (with Jin Ma). August 2009.

Other

  1. Journées Nationales de l'APMEP, Octobre 2011. Mathématiques appliquées et finance. Transparents ici.

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