Advances in Financial Mathematics

Super-Heston rough volatility, Zumbach effect and the Guyon's conjecture

Mathieu Rosenbaum

A generic construction for high order approximation schemes of semigroups using random grids

Aurélien Alfonsi

Coffee break

Computational Finance & Advanced Numerics

› Yet Another learning algorithm for BSDE - Jean-François Chassagneux, Université Paris Diderot 11:00-11:25 (25min)

› Pricing American options in the rough Heston model - Sergio Pulido, ENSIIE 11:25-11:50 (25min)

› General multilevel Monte Carlo methods for pricing discretely monitored Asian options - Nabil Kahale, ESCP 11:50-12:15 (25min)

› Neural network regression for Bermudan option pricing - Jérôme Lelong, Université Grenoble Alpes 12:15-12:40 (25min)

Lunch break (make your own plan)

Deep neural networks, generic universal interpolation and controlled differential equations

Christa Cuchiero

Deep optimal stopping

Patrick Cheridito

Coffee break

Flash Talks

› 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)

Cocktail dinner

Afaria, 15 rue Desnouettes, Paris

Planning