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Tuesday, January 14, 2020
| Time | Event | |
| 09:00 - 09:45 | Super-Heston rough volatility, Zumbach effect and the Guyon's conjecture - Mathieu Rosenbaum | |
| 09:45 - 10:30 | A generic construction for high order approximation schemes of semigroups using random grids - Aurélien Alfonsi | |
| 10:30 - 11:00 | Coffee break | |
| 11:00 - 12:40 | Computational Finance & Advanced Numerics | |
| 11:00 - 11:25 | › Yet Another learning algorithm for BSDE - Jean-François Chassagneux, Université Paris Diderot | |
| 11:25 - 11:50 | › Pricing American options in the rough Heston model - Sergio Pulido, ENSIIE | |
| 11:50 - 12:15 | › General multilevel Monte Carlo methods for pricing discretely monitored Asian options - Nabil Kahale, ESCP | |
| 12:15 - 12:40 | › Neural network regression for Bermudan option pricing - Jérôme Lelong, Université Grenoble Alpes | |
| 12:40 - 15:00 | Lunch break (make your own plan) | |
| 15:00 - 15:45 | Deep neural networks, generic universal interpolation and controlled differential equations - Christa Cuchiero | |
| 15:45 - 16:30 | Deep optimal stopping - Patrick Cheridito | |
| 16:30 - 17:00 | Coffee break | |
| 17:00 - 18:30 | Flash Talks | |
| 17:00 - 17:10 | › Market making and incentives design in the presence of a dark pool: a deep reinforcement learning approach - Bastien Baldacci, Ecole Polytechnique | |
| 17:10 - 17:20 | › A synthetic model for Asset-Liability Management and Analysis of the SCR with the standard formula - Adel Cherchali, ENPC | |
| 17:20 - 17:30 | › Jacobi volatility process for Libor Market model - Sophian Mehalla, ENPC | |
| 17:30 - 17:40 | › Meta-model of a large credit risk portfolio in the Gaussian copula model - Florian Bourgey, Ecole Polytechnique | |
| 17:40 - 17:50 | › Dynamic Default Contagion: From Eiseinberg--Noe to the Mean Field - Andreas Sojmark, Imperial College | |
| 17:50 - 18:00 | › Additive normal tempered stable processes for equity derivatives and power law scaling - Michele Azzone, PhD Candidate | |
| 20:00 - 22:00 | Cocktail dinner - Afaria, 15 rue Desnouettes, Paris |
Wednesday, January 15, 2020
| Time | Event | |
| 09:00 - 09:45 | A Theory of FinTech - Steven Kou | |
| 09:45 - 10:30 | Term structure models with stochastic discontinuities - Zorana Grbac | |
| 10:30 - 11:00 | Coffee break | |
| 11:00 - 12:40 | Advanced Modeling | |
| 11:00 - 11:25 | › A weak solution theory for stochastic Volterra equations of convolution type - Eduardo Abi Jaber, Université Paris I | |
| 11:25 - 11:50 | › Multiple yield curve modeling via CBI processes - Claudio Fontana, University of Padova | |
| 11:50 - 12:15 | › Optimal Auction Duration: a Price Formation Point of View. - Thibaut Mastrolia, Centre de Mathématiques Appliquées - Ecole Polytechnique | |
| 12:15 - 12:40 | › Pricing of Bermudan and American options in high dimensional Markovian and non-Markovian models - Ludovic Goudenège, CNRS | |
| 12:40 - 15:00 | Lunch break (make your own plan) | |
| 15:00 - 15:45 | Quenched mass transport of particles towards a target - Idris Kharroubi | |
| 15:45 - 16:30 | Mean-field Markov decision processes with common noise and open-loop controls - Huyên Pham | |
| 16:30 - 17:00 | Coffee break | |
| 17:00 - 18:00 | Flash Talks | |
| 17:00 - 17:10 | › Conditional Monte Carlo Learning for diffusions - Babacar Diallo, Sorbonne Université | |
| 17:10 - 17:20 | › Approximation of McKean-Vlasov equations by derivation in the Wasserstein spce - Alvin Tse, ENPC | |
| 17:20 - 17:30 | › Approximation of Optimal Transport problems with marginal moments constraints - Rafael Coyaud, ENPC | |
| 17:30 - 17:40 | › A new family of one dimensional martingale couplings - William Margheriti, ENPC | |
| 17:40 - 17:50 | › Viscosity solutions for McKean-Vlasov optimal control problems - Matteo Burzoni, University of Oxford | |
| 17:50 - 18:00 | › Pathwise uniqueness and Large deviations of stochastic Volterra equations - Alexandre Pannier, Imperial College London |
Thursday, January 16, 2020
| Time | Event | |
| 09:00 - 09:45 | Irrelevance of expected shortfall and VaR for tail-risk traders with s-shaped utility - Damiano Brigo | |
| 09:45 - 10:30 | Revenue ratio of a mining strategy on a public blockchain - Cyril Grunspan | |
| 10:30 - 11:00 | Coffee break | |
| 11:00 - 12:40 | New Trends | |
| 11:00 - 11:25 | › Modern Market Generators: A short walk though generative models for financial time series and their challenges, applications and pitfalls. - Blanka Horvath, King's College London | |
| 11:25 - 11:50 | › The Alpha-Heston stochastic volatility model - Ying Jiao, Lyon I | |
| 11:50 - 12:15 | › Recover Dynamic Utility from Observable Process: Application to the economic equilibrium - Mohamed Mrad, Université Paris 13 | |
| 12:15 - 12:40 | › Mean-field Langevin system, optimal control and deep neural network - Zhenjie Ren, Paris Dauphine University | |
| 12:40 - 14:45 | Lunch break (make your own plan) | |
| 14:45 - 16:30 | Practioners | |
| 14:45 - 15:20 | › TBA - Pierre Henry-Labordère, SGCIB | |
| 15:20 - 15:55 | › Dynamic of a SSVI smile and implied volatility bubbles - Claude Martini, Zeliade Systems | |
| 15:55 - 16:30 | › The Joint S&P 500/VIX Smile Calibration Puzzle Solved: A Dispersion-Constrained Martingale Transport Approach - Julien Guyon, Bloomberg L.P. | |
| 16:30 - 17:00 | Coffee break | |
| 17:00 - 18:30 | Practioners | |
| 17:00 - 17:35 | › Fast pricing and non linear interpolation in high dimension - Olivier Croissant, Natixis | |
| 20:00 - 22:00 | Conference Dinner - Au Père Louis, 38 Rue Monsieur Le Prince, Paris |
Friday, January 17, 2020
| Time | Event | |
| 09:00 - 09:45 | A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging - Michael Ludkovski | |
| 09:45 - 10:30 | All adapted topologies are equal - Mathias Beiglböck | |
| 10:30 - 11:00 | Coffee break | |
| 11:00 - 12:40 | Model Risk, Robustness and Regulation | |
| 11:00 - 11:25 | › Intergenerational risk sharing in DC pension plan with minimum pension guarantee - Sarah Kaakai, Le Mans University | |
| 11:25 - 11:50 | › On pricing rules and optimal strategies in general Kyle-Back models - Albina Danilova, Department of Mathematics London School of Economics | |
| 11:50 - 12:15 | › Adapted Wasserstein distances and stability in mathematical finance - Julio Backhoff-Veraguas, University of Twente | |
| 12:15 - 12:40 | › Multilevel Monte-Carlo methods and applications to some Initial Margin computations - Stefano De Marco, Ecole Polytechnique | |
| 12:40 - 15:00 | Lunch break (make your own plan) | |
| 15:00 - 15:45 | Equilibrium Asset Pricing with Frictions - Johannes Muhle-Karbe |
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