Participation to workshops, conferences and invitations
Journées de Probabilités 2005, Nancy: "Schémas de discrétisation pour les processus de Cox-Ingersoll-Ross et carrés de Bessel".
- March 2005 : conference in Cambridge (workshop on numerical methods in finance) on "Integration by parts formula for locally smooht laws and applications to sensitivity computations".
- June 2005 : participation to the conference on "Harnack inequalities" in Cortona. Talk on "Lawer bounds for the density of Ito processes".
- September 2005 : talk on "lawer bounds for the density of a diffusion process under Hormander condition" in the workshop organised in Nancy in the honor of Professor Malliavin.
- November 2005 : talk on "Integration by parts formula for locally smooht laws and applications to sensitivity computations" in the workshop organised by AMaMeF in London.
Talks have been given on weak approximation results in the Bachelier seminar (IHP), in the study group "Probabilités Numériques, Statistique des Processus et Finance" (Paris 6-Paris 7 universities) and in the study group "méthodes stochastiques et finance" (ENPC-INRIA-UMLV).
Institut Elie Cartan, Nancy , Journées de probabilités, September 2005. Euler scheme and tempered distributions.
University of Technology, Sydney , Quantitative Methods in Finance 2005 Conference, December 2005. Rate of convergence for the deltas and gammas.
Université de Marne-la-Vallée , MATHFI seminar, February 2005. Euler scheme and tempered distributions.
Université Paris VI , seminar of numerical probability, statistics of processes and finance, April 2005. Euler scheme and tempered distributions.
IHP , Bachelier seminar, June 2005. Rate of convergence for the deltas and gammas.
INRIA Sophia-Antipolis , OMEGA seminar, September 2005. Euler scheme and tempered distributions.
HSBC, Capital Markets Research, Paris , November 2005. Rate of convergence for the deltas and gammas.
On the relation between risk sensitive control and indifference pricing, Bachelier seminar, IHP Paris October 28th.
Congresses and Workshops
- Kyle-Back type models of insider trading. Probability Workshop. University of the Ryukyus. Okinawa, Japan, September 2005 and AMaMeF Conference. Imperial College, London, October 2005.
- A variance reduction method for the simulation of densities. Presented at Monte Carlo Methods.University of Cambridge. Isaac Newton Institute for Mathematical Sciences. Developments in Quantitative Finance, May 2005 and Stochastic Numerics Conference. RIMS, Kyoto June 2005.
- Insider models with finite utility. International Symposium on Stochastic Processes and Mathematical Finance, Kusatsu, Japan, March 2005.
Insider trading in anticipating markets. Dipartimento di Matematica per le Decisioni. Florence University. May 2005.
- Méthodes de dualité et discrétisation d'EDS. Ecole Polytechnique, February 2005, and University of Rennes, February 2005.
- Duality methods and weak convergence of discretizations schemes for SDEs, Isaac Newton Institute, Cambridge, April 2005.
- three months at the Isaac Newton Institute (April-June 2005) on the programme "Developments in Quantitative Finance".
-Une introduction à l'évaluation et la couverture des options, Monastir, November 2005.
- invited at the Isaac Newton Institute for Mathematical Sciences in Cambridge, UK for a week dedicated to MonteCarlo methods in Finance , May 16-20 in the framework of a semester on Developments in Quantitative Finance.
September 2004-April 2005: internship in the Financial Engineering group, Banca IMI, Milano
Matsuyama University, Japan, November 15-21.
Wuhan University, China, October 23-29.
Third conference on stochastic analysis and probability, 13-17 December 2005, Marrakech. ``A probabilistic interpretation to the symmetries of a partial differential-difference equation''.
ESF Workshop on Entropy methods in PDE theory and stochastics, 23-25 November 2005, Johannes Gutenberg-Universität, Mainz. ``On convex concentration inequalities''.
AMaMeF Workshop on stochastic analysis and computational finance, 9-12 November 2005, Imperial College, London. ``A computation of Theta by integration by parts in a jump-diffusion model''.
International conference on mathematical analysis of random phenomena, 12-17 September 2005, Hammamet, Tunisia. ``The Skorohod isometry on compact Lie groups via quantum stochastic calculus''.
Journées de Probabilités, 5-9 September 2005, University of Nancy. ``Intégration par parties pour certains processus à sauts et applications''.
8/12/05: ``Densités de Wigner sur les algèbres de Lie et calcul de Malliavin''.
Université de Wuhan:
28/10/05: ``Density estimation via integration by parts for point processes''.
Université de Wuhan et Université de Huagong, Wuhan, 25/10/05 et 27/10/05: ``Blow up and stability of semilinear PDEs''.
Université de Versailles:
13/10/05: ``Inégalités de concentration convexe et calcul stochastique forward/backward''.
Invited Conference on the PREMIA Software for the SMAI event on Financial Mathematics, November 2005, IHP, Paris.
Invited Conference, Stochastic Analysis Conference in Ascona, Swizerland, May 2005.
Invited Conference for the conference in the honor of Professor Bernt Øksendal for his 60th birthday, Oslo, June 2005.
IV Conference on Lévy processes and Applications, Manchester, UK, 20 January 2005
Developments in Quantitative Finance, Cambridge, UK, May 2005
II Abel symposium on Stochastic Analysis and Applications, Oslo, Norway, July 2005
Weierstrass Institute, Berlin, June 2005
University of Oslo, Norway, September 2005