We are pleased to announce that a new edition of the London-Paris Bachelier Workshop in Financial Mathematics will be held on 11 and 12 March 2021 online.
Thursday 11th March
14h00 – 14h35 (Paris) 13.00 – 13.35 (London) : Luitgard Veraart, The London School of Economics, Department of Mathematics
14h35 – 15h10 (Paris) 13.35 – 14.10 (London) : Noufel Frikha, Université de Paris, LPSM
15h10 – 15h30 (Paris) 14.10 – 14.30 (London) : Teasers for the Poster session
15h30 – 16h15 (Paris) 14.30 – 15.15 (London): Poster sessions
16h15 – 16h30 (Paris) 14.15 – 15.30 (London) : Coffee break
16h30 – 17h05 (Paris) 15.30 – 16.05 (London) : Iuliia Manziuk, Ecole Polytechnique, CMAP
17h05 – 17h40 (Paris) 16.05 – 16.40 (London) : Eyal Neuman, Imperial College London, Department of Mathematics
17h45 – 19h00 (Paris) 16.45 – 18.00 (London) : Discussions
Friday 12th March
10h00 – 10h35 (Paris) 09.00 – 09.35 (London) : Cyril Benezet, ENSIEE, Université Paris Saclay, LaMME
10h35 – 11h10 (Paris) 09.35 – 10.10 (London) : Tomasz Kosmala, Queen Mary University, Department of Mathematics
11h10 – 11h30 (Paris) 10.10 – 10.30 (London) : Coffee break
11h30 – 12h05 (Paris) 10.30 – 11.05 (London) : Ryan Donnelly, King's College London, Department of Mathematics
12h05 – 12h40 (Paris) 11.05 – 11.40 (London) : Sarah Kaakaï, Le Mans Université, LMM
We invite PhD students in Financial Mathematics from Paris and London based universities to submit a paper for possible poster presentation.
Submission deadline: 22 February 2021
Notice of acceptance: 28 February 2021
To submit a paper send the following information to email@example.com
- Name of the paper and abstract
- Name and affiliation of all the authors
- Name of the speaker and their PhD advisor(s)
- Expected date of PhD defence
Umut Cetin (London School of Economics), Emmanuel Gobet (Ecole Polytechnique), Monique Jeanblanc (Université Evry), Johannes Muhle Karbe (Imperial College London)
John Armstrong (King's College London), Bruno Bouchard (Université Dauphine), Jean-François Chassagneux (Université de Paris), Roxana Dumitrescu (King's College London), Caroline Hillairet (ENSAE), Blanka Horvath (King's College London), Martin Forde (King's College London), Zhenjie Ren (Université Dauphine)
Cyril BENEZET (ENSIIE, Université Paris Saclay, LaMME)
Simulation of factor copulas with given marginals and estimation of extreme risk measures.
Abstract: In this work, we are interested in the computation of statistics of the form E[g(X)] or E[g(X)|A] for a rare event A, where X is a multidimensional random vector which we cannot directly simulate. In a factor copula with given marginals context, we introduce an algorithm by Markov Chain transform to approximately sample from X and compute the desired quantity. We give convergence results with convergence rates. Last, we provide an application to extreme risk management, where X is a vector of assets returns with heavy-tailed marginals. This is a joint work with Emmanuel Gobet and Rodrigo Targino.