› Market making and incentives design in the presence of a dark pool: a deep reinforcement learning approach - Bastien Baldacci, Ecole Polytechnique
17:00-17:10 (10min)
› A synthetic model for Asset-Liability Management and Analysis of the SCR with the standard formula - Adel Cherchali, ENPC
17:10-17:20 (10min)
› Jacobi volatility process for Libor Market model - Sophian Mehalla, ENPC
17:20-17:30 (10min)
› Meta-model of a large credit risk portfolio in the Gaussian copula model - Florian Bourgey, Ecole Polytechnique
17:30-17:40 (10min)
› Dynamic Default Contagion: From Eiseinberg--Noe to the Mean Field - Andreas Sojmark, Imperial College
17:40-17:50 (10min)
› Additive normal tempered stable processes for equity derivatives and power law scaling - Michele Azzone, PhD Candidate
17:50-18:00 (10min)
› A weak solution theory for stochastic Volterra equations of convolution type - Eduardo Abi Jaber, Université Paris I
11:00-11:25 (25min)
› Multiple yield curve modeling via CBI processes - Claudio Fontana, University of Padova
11:25-11:50 (25min)
› Optimal Auction Duration: a Price Formation Point of View. - Thibaut Mastrolia, Centre de Mathématiques Appliquées - Ecole Polytechnique
11:50-12:15 (25min)
› Pricing of Bermudan and American options in high dimensional Markovian and non-Markovian models - Ludovic Goudenège, CNRS
12:15-12:40 (25min)
› 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
11:00-11:25 (25min)
› The Alpha-Heston stochastic volatility model - Ying Jiao, Lyon I
11:25-11:50 (25min)
› Recover Dynamic Utility from Observable Process: Application to the economic equilibrium - Mohamed Mrad, Université Paris 13
11:50-12:15 (25min)
› Mean-field Langevin system, optimal control and deep neural network - Zhenjie Ren, Paris Dauphine University
12:15-12:40 (25min)
› Intergenerational risk sharing in DC pension plan with minimum pension guarantee - Sarah Kaakai, Le Mans University
11:00-11:25 (25min)
› On pricing rules and optimal strategies in general Kyle-Back models - Albina Danilova, Department of Mathematics London School of Economics
11:25-11:50 (25min)
› Adapted Wasserstein distances and stability in mathematical finance - Julio Backhoff-Veraguas, University of Twente
11:50-12:15 (25min)
› Multilevel Monte-Carlo methods and applications to some Initial Margin computations - Stefano De Marco, Ecole Polytechnique
12:15-12:40 (25min)
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