Section: Dissemination

Internship advising

• A. Alfonsi - Simon Moreau, ENPC student. He has implemented the method presented in the paper of J. Gregory and J-P. Laurent "Basket Default Swaps, CDO's and Factor Copulas".

  - Philippe Basquin, Institut Galilee Paris XIII : Discretization schemes in the Heston model.

• B. Jourdain

  Zouhair Yakhou, "Exact simulation of the Heston stochastic volatility model" following a paper by Broadie and Kaya (March to May)

• A. Kohatsu-Higa

  - Tomonori Nakatsu (master) : kernel density estimation methods in high dimension

  - Yuusuke noguchi (master): valuation of a japanese type of deferred type annuity

• J. Lelong

  Hanping Tong: Second year student of ENSTA on : ``Adaptative control variable for variance reduction''.

• N. Privault

  - J. Bourgoint, Master I, Ecole Polytechnique.

  - Audrey Drif (with P. Tankov), Master II, DEA Paris I.

• M.C. Quenez

  -advising of 1st year master students on modelisation of financial markets and option pricing in discrete time, Snell enveloppes and optimal stopping problems, Poisson processes ...

• P. Tankov

  Jeremy Poirot:

  ``Monte–Carlo option pricing for tempered stable (CGMY) processes'', Ecole Centrale de Lyon