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London-Paris Bachelier Workshop in Financial Mathematics

11 Mar ARTICLE Finance

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

Poster Session


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

  • 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

Scientific Committee

Umut Cetin (London School of Economics), Emmanuel Gobet (Ecole Polytechnique), Monique Jeanblanc (Université Evry), Johannes Muhle Karbe (Imperial College London)


Organizing Committee

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.

At this event

John Armstrong

John Armstrong

Senior Lecturer in Financial Mathematics, Probability and Statistics

Roxana Dumitrescu

Roxana Dumitrescu

Lecturer in Financial Mathematics

Martin Forde

Martin Forde

Lecturer in Financial Mathematics

Blanka Horvath

Blanka Horvath

Lecturer in Financial Mathematics

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