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.
Zouhair Yakhou, "Exact simulation of the Heston stochastic volatility model" following a paper by Broadie and Kaya (March to May)
- Tomonori Nakatsu (master) : kernel density estimation methods in high dimension
- Yuusuke noguchi (master): valuation of a japanese type of deferred type annuity
Hanping Tong: Second year student of ENSTA on : ``Adaptative control variable for variance reduction''.
- J. Bourgoint, Master I, Ecole Polytechnique.
- Audrey Drif (with P. Tankov), Master II, DEA Paris I.
-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 ...
``Monte–Carlo option pricing for tempered stable (CGMY) processes'', Ecole Centrale de Lyon