Section: Dissemination

PhD advising

• V. Bally and A. Sulem

  M.P. Bavouzet (3rd year), Grant Université Paris Dauphine and INRIA.

  "Malliavin calcul with jumps and application in Finance". (defended December 2006)

• B. Jourdain

  - Aurélien Alfonsi (3nd year), ENPC

  "Credit risk models. Discretization and calibration of financial models." (defended July 2006)

  - Mohamed Sbai

  "Simulation of stochastic differential equations in finance"

• A. Kohatsu-Higa

  Kazuhiro Yasuda : Malliavin Calculus methods for greeks in high dimension

  - Salvador Ortiz (University of Barcelona) Equilibrium models for insiders models

  - Karl Larsson (Lund University. Department of Economics)

• D. Lamberton

  Mohammed MIKOU (2nd year). American options in models with jumps. Allocataire-moniteur at Université de Marne-la-Vallée.

  El Hadj Aly DIA (1st year). Monte-Carlo methods for exotic options in models with jumps. Allocataire at Université de Marne-la-Vallée.

• B. Lapeyre

  - Ralf Laviolette , ENS Cachan (3rd year)

  "Calcul d'options pour des dérivées énergétiques dans des modèles avec sauts''.

  - Jérôme Lelong, ENPC grant, UMLV (3rd year)

  ``Stochastic algorithms and calibration problems in Finance''

  - Julien Guyon, ENPC Convergence rate in Euler schemes for stochastic differential equations with jumps.

• M.C. Kammerer-Quenez

  - B. Jottreau, UMLV

  ``Risk default modeling ''

• G. Pagès

  - Fabien Panloup

  - Abass Sagna (2nd year) works on vector quantization and numerical applications.

  - Camille Illand (starting) works on American Asian options.

• N. Privault

  - A. Reveillac, University of La Rochelle. 2005-

  - D. David (codirection with E. Augeraud), University of La Rochelle. 2005-

  - B. Kaffel, (codirection with F. Abid), University of Sfax, Tunisia. 2004-

  - Y. Ma, (codirection with L. Wu), Wuhan University, defense expected 25/11/07. 2004-

  - A. Joulin, University of La Rochelle, defended on 06/10/06. 2003-2006

• A. Sulem

  - David Lefèvre, Université Paris-Dauphine

  ``Utility maximisation in partial observation''

  - Marouen Messaoud (3rd year), Université Paris-Dauphine

  "Stochastic control, Calibration and Malliavin calculus with jumps"

  - Youssef Elouerkhaoui : (UBS Londres, Citibank from November)

  "Incomplete issues in credit markets"

• A. Sulem and P. Carpentier (ENSTA)

  Cyrille Strugarek, Cifre agreement ENPC–EDF, 2nd year.

  "Optimisation of portfolio of energy and financial assets in the electricity market"

• J. Printems, Y. Achdou and A. Sulem (Paris 6)

  David Pommier (2nd year)

  Cifre agreement INRIA–CIC

  ``Sparse grid for large dimensional financial issues''.

• N. Privault and A. Sulem

  Mathieu Hamel (Cifre agreement Euro-VL (Filière Société-Générale)) started in September 2006.

  Pricing of hybrid financial derivative products on change and interest rate