Advising a student (PFE, Paris 13 University) on the model of Heston.
Advising of the intership of Majd Cheikh-Ali (ENSTA, 2nd year) on : "Pricing and Hedging within the Fouque-Papanicolaou-Sircar stochastic volatility model". This has lead to a routine implemented in the Premia software.
Jérôme Elfassy, "Pricing of options in a LIBOR market model with volatility skews", scientific training period ENPC (April to June).
A. Kohatsu-Higa and P. Tankov.
Tatiana Ershova (Ecole Polytechnique) : Discretisation of SDE with Kusuoka schemes.
Anh Tuan Ngo (Ecole Polytechnique) : Risk sensitive ergodic control and Hedging in markets with jumps.