Section: Dissemination

Participation to workshops, conferences and invitations

• A. Alfonsi

  • "On the discretization schemes for the CIR (and Bessel squared) process"

  • Colloque sur l'Approximation Numérique des Processus Stochastiques, 23-24 Janvier 2006 ? l'INRIA SOPHIA ANTIPOLIS.

  • VII Workshop on Quantitative Finance, January 26 - 27, 2006

  • Amamef conference, INRIA Rocquencourt, February 1-3, 2006.

  • "Call Put duality for perpetual American options and volatility calibration", Colloque "Jeunes probabilistes et statisticiens" Aussois, 23 avril-28 avril 2006.

• V. Bally

  • March 2006: Visit to the University Roma 3 to work with L. Caramellino on "Lower bounds for the density of Ito processes under weak regularity assuptions"

  • Conference on "Malliavin calculus for jump type diffusions and applications in finance" in the "Conference on stochastic processes and applications in control and finace" held in Kyoto, August 20-24 , 2006.

  • Organizqation of the session of "Probability" in the "Colloque Franco-Roumain de Mathématiques Appliquées" held in Chambery, France, August 28 - September 1st, 2006.

  • Organization of a mini-workshop in the University Marne la Vallee on ``lower bounds for the fundamental solutions of PDE problems: analytical and probabilistic approach.'' There has been two mini-courses given by V. Vespri (university of Firenze) and S. Polidoro (university of Bolgna) and number of talks given by French probabilists.

• B. Jourdain

  • "Call Put duality for perpetual American options and volatility calibration", Amamef conference, INRIA Rocquencourt, February.

• A. Kohatsu-Higa

  • Applications of Malliavin Calculus in Finance. Nakanoshima Center. Financial Engineering and Current problems. December 1, 2006.

  • Recent results on asymmetric information and insider trading. Plenary spaker. Bachelier Congress. August 20, 2006.

  • Euler-Maruyama scheme: Recent results. Meeting of the Japan Mathematical Society. September 20, 2006.

  • Université de Marne-la-Vallée. journées Analyse et Probabilités. UFG conditons for regularity of the law of a diffusion process

• D. Lamberton

  • Optimal stopping of a one dimensional diffusion. Symposium on optimal stopping. Manchester, January 2006.

  • Optimal stopping and American options. Spring school in Finance. Bologna, May 2006.

  • A penalized bandit algorithm. Mathematical Finance Seminar. King's College, London, June 2006.

  • Lectures on mathematical finance, University of Monastir (Tunisia): Arrêt optimal et options américaines, Arbitrage et martingales, Monastir, June 2006.

• B. Lapeyre

  • "CDC Ixis" bank , mini course on "Adaptive Monte-Carlo methods" October 13 2006.

  • Tokyo Institute of Technology, seminar on Financial Engineering, "Premia an experimental option pricer", November 17 2006.

  • Osaka University, Graduate School of Engineering Sciences, "A unified framework for adaptive variance reduction methods", November 21 2006.

• J. Lelong

  • Invited by Professor Syoiti Ninomiya ? Tokyo (Center for Research in Advanced Financial Technology, Tokyo Institute of Technology), Novembre 2006. Talk on : Truncated Stochastic Algorithms and Variance Reduction: toward an automatic procedure

  • RESIM 2006, Bamberg (Germany), October 2006: Truncated Stochastic Algorithms and Variance Reduction: toward an automatic procedure

  • Journées MAS, Lille, September 2006: A Central Limit Theorem for Truncating Stochastic Algorithms

  • Société Générale, July 2006: Stochastic algorithm and Adaptive Variance Reduction Method

  • Working group of the CMAP, Ecole Polytechnique, June 2006: Central Limit Theorems for Truncating and Averaging Stochastic Algorithms: a functional approach

• G. Pagès

  • Talk at NMF'06 (Versailles, 02-2006).

  • Invited session (organizer) at SPA 2006 (Paris, July 2006): Optimal Quantization and Applications.

  • Invited plenary speaker at MCQMC'06 (Ulm, Germany, August 2006).

  • Scientific committee of ESANN'06 (Brug es).

• N. Privault

  • Lectures on stochastic analysis on the Poisson space applied to finance, in the framework of the MathFi project at INRIA. (UMLV)

  • ``Cálculo estocástico y ecuaciones diferenciales parciales'', 8 hours, Universidad Juárez Autónoma de Tabasco, Mexico, 23 october - 3 november 2006.

  • ``Financial modeling and numerical methods'', 15 hours, CIMPA-IMAMIS School, Open University Malaysia and UKM, Kuala Lumpur, 22 may - 2 june 2006.

  • ``Stochastic finance with jumps'', 15 hours, Master in Applied Mathematics, University of Tunis, 8-17 march 2006.

• A. Sellami

  • Quantization of the filter process and applications to optimal stopping problems under partial observation, joint work with H. Pham and W. Runggaldier

  • Functional quantization of multi-dimensional stochastic differential equations and option pricing, joint work with G. Pagès

  • Quantization based filtering method using first order approximation and comparison with the particle filtering approach, Cambridge, Nonlinear Statistical Signal Processing Workshop 2006, http://www-sigproc.eng.cam.ac.uk/NSSPW/ , 12-14 September 2006.

• A. Sulem

  • Invited Plenary speaker at the " join Conference on Financial Mathematics and Engineering" (FME06), SIAM, Juillet 2006, Boston. http://www.siam.org/meetings/fm06/invited.php

  • Invited conference in the international colloquium "Numerical and Stochastic Models", Paris , Octobre 2006. http://www.proba.jussieu.fr/nsm/

  • Invited conference, Russian-Scandinavian Symposium on "Probability Theory and Applied Probability" August 2006, Petrozavodsk, Russia.

  • Séminaire Bachelier, IHP, Paris, November 2006 http://www.bachelier-paris.com/

  • Invited talk in the seminar on "Viscosity solutions and applications in control and finance", Université Paris-Dauphine, November 2006. http://www.ceremade.dauphine.fr/conferences.php

  • Joint presentation with P. Tankov of the software Premia to the Bayerische Landesbank, Munich, March 2006,

  • Presentation of Premia to La banque Postale, Natexis-Banques Populaires, QuodFinancial, Lexifi ...)

• P. Tankov

  • Numerical methods in finance, February 1-3, 2006, INRIA Rocquencourt "Quadratic hedging in models with jumps"

  • Conference on Stochastics in Science in Honor of Ole E. Barndorff-Nielsen, March 20-24, 2006, Guanajuato, Mexico, "Dependence models for multidimensional Levy processes and applications to finance"

  • 4th world congress of the Bachelier financial society, August 17-20, 2006, Tokyo, Japan, "Optimal quadratic hedging in models with jumps"

  • International conference on mathematical finance and related topics, August 21-23, 2006, Kanazawa, Japan, "Utility-based hedging in jump models" (joint work with Agnes Sulem)

  • Workshop on mathematical finance and stochastic control, August 24-27, 2006, Kyoto, Japan, "Optimal consumption under liquidity risk"

  • Presentations of Premia at different places, in particular at Bayerische Landesbank, Munich

• A. Zanette

  • En efficient finite difference method for pricing American lookback options AMASES Conference Trieste 2006

  • A Mixed PDE-Monte Carlo Approach for Pricing Credit Default Index Swaptions Bachelier Finance Conference Tokyo 2006.