London-Paris Bachelier Workshop in Financial Mathematics

We are pleased to announce that a new edition of the London-Paris Bachelier Workshop in Financial Mathematics will be held online on 11 and 12 March 2021.

Schedule

Thursday 11 March

14h00 – 14h35 (Paris) 13.00 – 13.35 (London) : Luitgard Veraart, The London School of Economics, Department of Mathematics
When does portfolio compression reduce systemic risk?

14h35 – 15h10 (Paris) 13.35 – 14.10 (London) : Noufel Frikha, Université de Paris, LPSM
Some new integration by parts formula for finance and their Monte Carlo simulation

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
Adaptive trading strategies across liquidity pools

17h05 – 17h40 (Paris) 16.05 – 16.40 (London) : Eyal Neuman, Imperial College London, Department of Mathematics
The Multiplicative Chaos of H=0 Fractional Brownian Fields as the Interface between Volatility Models

17h45 – 19h00 (Paris) 16.45 – 18.00 (London) : Discussions

Friday 12 March

10h00 – 10h35 (Paris) 09.00 – 09.35 (London) : Cyril Benezet, ENSIIE, Université Paris Saclay, LaMME
Simulation of factor copulas with given marginals and estimation of extreme risk measures.

10h35 – 11h10 (Paris) 09.35 – 10.10 (London) : Tomasz Kosmala, Queen Mary University, Department of Mathematics
Markov risk mappings and risk-sensitive optimal stopping.

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
Optimal Trading with Diering Trade Signals

12h05 – 12h40 (Paris) 11.05 – 11.40 (London) : Sarah Kaakaï, Le Mans Université, LMM
Optimal and sustainable Pay-As-You-Go pension policy with minimum pension guarantee

Abstracts

Find out more about the full programme and abstracts.

Poster Session

Posters to be presented by

• Duc-Thinh VU (Paris Dauphine University, Ceremade)
  Consistent Risk Measure on L0: NA Condition, Pricing and Dual Representation
• Guillaume Szulda (LPSM, Universite de Paris)
  Multiple yield curve modelling with CBI processes
• Marcos Leutscher (Ensae Paris, CREST)
  Control and optimal stopping Mean Field Games: a linear programming approach
• Florian Bourgey (Ecole Polytechnique, CMAP)
  Weak approximations and VIX option prices expansions in rough forward variances models
• Tim King (King's College London)
  Curved Schemes for SDEs on Manifolds
• Andrei Ionescu (Kings' College London)
  Pathwise robust gamma hedging using reduced rough paths
• Zexin Wang (Imperial College London)
  Optimal Liquidation with Hidden Orders under Self-Exciting Market Order Dynamics
• Maxime Grangereau (CMAP Ecole polytechnique and EDF R&D)
  Federated stochastic control of numerous heterogeneous energy storage systems
• Laura Tinsi (EDF Lab and CREST ENSAE Paris)
  Sequential decision making with probabilistic forecasts
• Zacharia Issa (King's College London)
  An Optimal Transport Approach to Market Regime Clustering
• Zineb El Filali Ech-Chafiq (Universite Grenoble Alpes, CNRS and Quantitative Analyst at Natixis)
  Automatic Control Variates for option pricing using Neural Networks
• Ofelia Bonesini (University of Padova)
  Functional Quantization of rough volatility and applications to the VIX

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)