Planning
Tuesday, January 27, 2026
| Time |
Event |
(+)
|
|
09:00 - 09:10
|
Opening Talk (Amphithéâtre Durand) - Nicole El Karoui |
|
|
09:15 - 10:00
|
Nizar Touzi - Bridging Schrödinger and Bass for generative diffusion modeling (Amphithéâtre Durand) - Nizar Touzi |
|
|
10:00 - 10:45
|
Beatrice Acciaio - Extension of Strassen theorem for arbitrage-free prices of American options (Amphithéâtre Durand) - Beatrice Acciaio |
|
|
10:45 - 11:15
|
Coffee break |
|
|
11:15 - 12:55
|
Advanced modeling (Amphithéâtre Durand) - Speakers: O. Guéant, G. Pammer, E. Hubert, S. Pulido Organizers: A. Alfonsi, I. Kharroubi |
(+)
|
|
11:15 - 11:40 |
› Towards a Brenier theorem on $(P_2(...P_2(H)...),W_2)$ and for adapted transport - Gudmund Pammer, TU Graz |
|
|
11:40 - 12:05 |
› Revisiting contract theory with volatility control - Emma Hubert, U Paris Dauphine |
|
|
12:05 - 12:30 |
› Explosions of stochastic Volterra equations - Sergio Pulido, U Evry Paris-Saclay |
|
|
12:30 - 12:55 |
› Buy it, Store it, Sell it: On the Optimality Gap of the Rolling Intrinsic Strategy - Olivier Guéant, U Paris Cité |
|
|
12:55 - 15:00
|
Lunch break (caves Esclangon) |
|
|
15:00 - 15:45
|
Jan Obloj - Robust pricing and hedging of American options in continuous time (Amphithéâtre Durand) - Jan Obloj |
|
|
15:45 - 16:30
|
Albina Danilova - Risk aversion of insider and dynamic asymmetric information (Amphithéâtre Durand) - Albina Danilova |
|
|
16:30 - 17:00
|
Coffee break |
|
|
17:00 - 18:30
|
Flash talks |
(+)
|
|
17:00 - 17:15 |
› Deep BSDE method for Quantile Hedging - Cyril Nefzaoui Blanchard, Université d'Evry |
|
|
17:15 - 17:30 |
› Fourier-Laplace Transform Discontinuities and Computation in the Volterra Stein-Stein Model: A Fredholm--Wishart Approach - Maxime Guellil, Centre de Mathématiques Appliquées - Ecole Polytechnique, Laboratoire de Probabilités, Statistique et Modélisation |
|
|
17:30 - 17:45 |
› Nonlinear weak error expansion of McKean-Vlasov stochastic differential equations - Anh-Dung Le, Ecole des Ponts |
|
|
17:45 - 18:00 |
› Variance strikes back: sub–game-perfect Nash equilibria in time-inconsistent N-player games, and their mean-field sequel - Chiara Rossato, ETH Zurich |
|
|
18:00 - 18:15 |
› Stochastic maximum principle for optimal control of non exchangeable mean field systems - Samy Mekkaoui, Ecole Polytechnique |
|
|
18:30 - 20:00
|
Welcome cocktail |
|
Wednesday, January 28, 2026
| Time |
Event |
(+)
|
|
09:00 - 09:45
|
Yufei Zhang - The alpha-Potential Game Paradigm: Theory, Algorithms, and Applications (Amphithéâtre Durand) - Yufei Zhang |
|
|
09:45 - 10:30
|
Mathieu Laurière - Deep Signature Approach for McKean-Vlasov FBSDEs in a Random Environment (Amphithéâtre Durand) - Mathieu Laurière |
|
|
10:30 - 11:00
|
Coffee break |
|
|
11:00 - 12:30
|
Computational and AI methods in finance (Amphithéâtre Durand) - Organizer: S. De Marco |
(+)
|
|
11:00 - 11:30 |
› Data-based entropic optimal transport and its application to generative model - Zhenjie Ren, Université d'Evry |
|
|
11:30 - 12:00 |
› Constrained deep learning for pricing and hedging european options in incomplete markets - Nicolas Baradel, Ecole Polytechnique |
|
|
12:00 - 12:30 |
› The Guyon–Lekeufack Path-Dependent Volatility Model in Discrete Time: Calibration under P and Q - Léo Parent, Ecole des Ponts |
|
|
12:30 - 15:00
|
Lunch break (Caves Esclangon) |
|
|
15:00 - 15:45
|
Mark Podolskij - Statistical methods for high-dimensional volatility (Amphithéâtre Durand) - Mark Podolskij |
|
|
15:45 - 16:30
|
Eduardo Abi Jaber - Efficient Simulation of Affine Volterra Processes: From Heston to Hawkes (Amphithéâtre Durand) - Eduardo Abi Jaber |
|
|
16:30 - 17:00
|
Coffee break |
|
|
17:00 - 18:30
|
Flash talks (Amphithéâtre Durand) |
(+)
|
|
17:00 - 17:15 |
› On the surjectivity of the conditional expectation given a real random variable - Thibault Jeannin, Ecole des Ponts |
|
|
17:15 - 17:30 |
› Approximately optimal distributed controls for high-dimensional stochastic systems with pairwise interaction through controls - Elise Devey, Inria MathRisk |
|
|
17:30 - 17:45 |
› Optimized Multi-Level Monte Carlo Parametrization and Antithetic Sampling for Economic Capital Estimation in Insurance - Mathieu Truc, Milliman |
|
|
17:45 - 18:00 |
› Functional Itô-formula and Taylor expansions for non-anticipative maps of càdlàg rough paths - Francesca Primavera, Ecole Polytechnique |
|
|
18:00 - 18:15 |
› From rough to multifractal multidimensional volatility: A multidimensional Log S-fBM model - Othmane ZARHALI, Université Paris Dauphine-PSL |
|
|
18:15 - 18:30 |
› Nested Elicitability of the Expected Shortfall - Azar Louzi, Sorbonne Université |
|
Thursday, January 29, 2026
| Time |
Event |
(+)
|
|
09:00 - 09:45
|
Caroline Hillairet - Multivariate Self-Exciting Processes with Dependencies and application to cyber loss processes (Amphithéâtre Durand) - Caroline Hillairet |
|
|
09:45 - 10:30
|
Martino Grasselli - A joint framework for SPX, VIX and VXX (Amphithéâtre Durand) - Martino Grasselli |
|
|
10:30 - 11:00
|
Coffee break |
|
|
11:00 - 12:40
|
Decentralized finance (Amphithéâtre Durand) - Speakers: M. Allouche, P. Bergault, S. Cabossioras and P. Dufay, L. Latournerie. Organizer: Emmanuel Gobet |
(+)
|
|
11:00 - 11:25 |
› How DeFi is revolutionizing financial asset lending: legal and business challenges - Stephanie Cabossioras, Forge - Philippe Dufay, Société Générale |
|
|
11:25 - 11:50 |
› Crypto Asset Valuation in Fragmented Markets - Michael Allouche, Kaiko |
|
|
11:50 - 12:15 |
› Optimal Exit Time for Liquidity Providers in Automated Market Makers - Philippe Bergault, Ceremade, U. Paris Dauphine |
|
|
12:15 - 12:40 |
› Modeling the risks within the protocol Aave, with an application to portfolio allocation - Louis Latournerie, Ecole Polytechnique, ENSAE |
|
|
Loading... 
