## Team : mathfi

## Section: Dissemination

## Participation to workshops, conferences and invitations

B. Arouna

An Adaptative Monte Carlo Method, Application to Variance Reduction in Finance, MC2QMC, Juan-les-Pins, Juin 2004

V. Bally:

- Talk "Lower bounds for the density of locally elliptic Ito processes" in the Franco -Roumain colloquim, Craiova, Romania, August 28-30, 2004.

- Invited by Begonia Fenrandez in the university of Mexico, October 1-18, 2004.

- talk on "Lower bounds for the density of locally elliptic Ito processes" in the colloquium "Mexican congress on PDE's", October 2004

- talk on "Lower bounds for the density of locally elliptic Ito processes" in the workshop in the memory of Axel Gorund in Marseilles, October 22-23, 2004.

- invitation by Lucia Caramellino in the university Roma III, October 25 - December 6 2004

M.P. Bavouzet

Talk on `Monte Carlo method using Malliavin calculus on the Poisson space for the computation of Greeks', Third world congress of Bachelier finance society, July 21-24 2004, Chicago.

Talk on `Monte Carlo method using Malliavin calculus on the Poisson space for the computation of Greeks', Workshop on Lévy processes in finance, May 2004, INRIA

B. Jourdain

- MC2MC04, June 7-10 2004, Juan-les-Pins, "Probabilistic approximation of some nonlinear parabolic PDEs" (Plenary session)

A. Kohatsu-Higa

- Seminar on "The Euler scheme and parameter estimation", Technische Universität, Chemnitz, October 2004.

- Visit to the project Complex Systems and Nonlinear Dynamics, Prof. Dr. Günter Radons at Institut für Physik Komplexe Systeme und Nichtlineare Dynamik, Technische Universität, Chemnitz, (Oct. 20-23) and visit to Abdelhadi Benabdallah at Max Planck Institute for the Physics of Complex Systems to incorporate some recent results on stochastic filtering for the simulation of stochastic models in physics.

D. Lamberton

- Two armed bandits and finance. Lectures on Mathematical Finance. Rome, June 2004.

- Approximation de mesures invariants de diffusions. Colloque Contrôle stochastique et applications. Rouen, June 2004.

- Exercise boundaries of American Options near Maturity. Workshop on Advanced Mathematical Methods for Finance. Munich, October 2004.

B. Lapeyre

- "Utilisation d'Agorithmes Stochastiques pour la Reduction de Variance", Conférence en l'honneur du 60ème anniversaire de Nicole El Karoui, 2-4 juin 2004, Institut Henri Poincaré

- Invitation to the week on "Risk Management and Model Specifications Issues in Finance", April 12-16, 2004, IMA in IMA Thematic Year on Probability and Statistics in Complex Systems: Genomics, Networks, and Financial Engineering, Minneapolis, USA.

- Invited by the finance group of the ``Operations Research and Financial Engineering" department of Princeton University, November 15-19 2004.

3 talks on ``Variance reduction methods for European and American options''.

D. Lefèvre

- ``Anticipative stochastic control : Application to the value of information in controlled stochastic systems'', Journées MAS de la SMAI, Nancy, September 7, 2004.

- invited for 6 weeks (June-July) in the university of Pompeu Fabra in Barcelona by A. Kohatsu-Higa

Nicola Moreni

- Pricing American Options: a variance reduction technique for the longstaff-schwartz algorithm, Third world congress of Bachelier finance society, July 21-24 2004, Chicago.

- American Options on High Dimensional Assets, MC2QMC, Juan-les-Pins, Juin 2004

M. Messaoud

" Calibration of local volatility model using entropy minimization", Premia seminar, ENPC, February 2004.

Talk on `Monte Carlo method using Malliavin calculus on the Poisson space for the computation of Greeks', Workshop on Lévy processes in finance, May 2004, INRIA Rocquencourt.

"Computation of Greeks using Malliavin's calculus in jump type market models", 6

^{th}World Congress of the Bernoulli Society for Mathematical Statistics and Probability, 26-31 2004.

M.C. Quenez

- "problème d'optimisation d'utilité dans le cas d'incertitude sur le modèle et sur le taux de préférence pour le temps", congrès en l'honneur de Nicole El Karoui (juin 2004), Institut Henri Poincaré.

- talks on defalut risk models, Seminar, University of Marne-La-Vallée, March-April 2004.

J. Printems

- invited speaker in the International congress ``Monte Carlo & Quasi Monte Carlo Methods'', 7–10 June 2004, Juan-les-Pins (France). Title : ``Optimal quantization methods for Multidimensional American Options'' in the mini-symposium ``From the Pricing of American Option on Baskets to the Discretization of RBSDEs.'' (see Omega).

A. Sulem

Invited speaker in the workshop ""Computational Finance and Physics", Centre of Mathematics for Applications (CMA), University of Oslo, March 2004.

talk on ``Utility maximisation in an influenced insider market" in the probabilty seminar of the University of Barcelona, May 2004.

Invited talk on "A policy iteration algorithm for fixed point problems with nonexpansive operators", 7th RMR on "Stochastic Optimal Control and Applications, University of Rouen, June 11 2004

Invited speaker in the workshop "New Techniques in Applied Stochastics", August 2004, Helsinki, Finland

Invited speaker in the "Workshop on Mathematical Finance and Insurance", May 2004, Yellow Mountain, China

Invited for a plenay conference on "Impulse control of jump diffusion processes: Theoretical and numerical aspects", MAS days of SMAI, September 8th, Nancy

seminar on "Maximisation d'utilité dans un marché influencé par un initié", University of Marne la Vallée, November 5th, 2004

talk on "Risk sensitive impulse control and application to optimal asset allocation with transaction costs", seminar Instituto per le Applicazioni del Calcolo "M. Picone", Consiglio Nazionale delle Ricerche, Rome, December 20th.

invited by R. Natalini in the Instituto per le Applicazioni del Calcolo, Rome, December 18-24.

P. Tankov

- Two invited lectures at the 11th workshop on Mathematics and Economics, University of Oslo, 15 October 2004

- Talk at the financial mathematics and applied probability seminar, King's college, London, 16 November 2004

A. Zanette

*Pricing and Hedging American Options by Monte Carlo methods using a Malliavin calculus approach*MC2QMC 2004 Conferences Juan Les Pins France*Monte Carlo Methods for Pricing and Hedging American Options in High Dimension***Italian Conference AMASES Modena 2004**