Tuesday, January 27, 2026
| Time | Event | (+) |
| 09:00 - 09:10 | Opening Talk (Amphithéâtre Durand) - Nicole El Karoui | |
| 09:15 - 10:00 | Nizar Touzi - Bridging Shrödinger and Bass for generative diffusion modeling (Amphithéâtre Durand) - Nizar Touzi |
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| 10:00 - 10:45 | Beatrice Acciaio - Extension of Strassen theorem for arbitrage-free prices of American options (Amphithéâtre Durand) - Beatrice Acciaio |
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| 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 | |
| 15:00 - 15:45 | Jan Obloj - Robust pricing and hedging of American options in continuous time (Amphithéâtre Durand) - Jan Obloj |
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| 15:45 - 16:30 | Albina Danilova - Risk aversion of insider and dynamic asymmetric information (Amphithéâtre Durand) - Albina Danilova |
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| 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 | › TBA - 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 |
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| 09:45 - 10:30 | Mathieu Laurière - Deep Signature Approach for McKean-Vlasov FBSDEs in a Random Environment (Amphithéâtre Durand) - Mathieu Laurière |
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| 10:30 - 11:00 | Coffee break | |
| 11:00 - 12:40 | 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 | |
| 15:00 - 15:45 | Mark Podolskij - Statistical methods for high-dimensional volatility (Amphithéâtre Durand) - Mark Podolskij |
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| 15:45 - 16:30 | Eduardo Abi Jaber - Efficient Simulation of Affine Volterra Processes: From Heston to Hawkes (Amphithéâtre Durand) - Eduardo Abi Jaber |
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| 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 | › TBA - 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 | Sara Biagini - A native and endogenous version of GHG trading (Amphithéâtre Durand) - Sara Biagini |
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| 09:45 - 10:30 | Peter Bank - Anticipative optimal investment by rough dynamic programming (Amphithéâtre Durand) - Peter Bank |
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| 10:30 - 11:00 | Coffee break (Amphithéâtre Durand) | |
| 11:00 - 12:40 | Climate and Green Finance (Amphithéâtre Durand) - Organizer: Peter Tankov | |
| 14:15 - 15:45 | Practitioners (Amphithéâtre Durand) | (+) |
| 14:15 - 15:00 | › Managing discontinuities in Autocallable payoffs - Arnaud Gocsei, Société Générale | |
| 15:00 - 15:45 | › TBA - Grégoire Loeper, BNP Paribas | |
| 15:45 - 16:15 | Coffee break | |
| 16:15 - 17:45 | Practitioners (Amphithéâtre Durand) | (+) |
| 16:15 - 17:00 | › Multivariate execution model - Philippe Dumont, Société Générale | |
| 17:00 - 17:45 | › Rock'n Roll-Down: PnL & arbitrages when rolling interpolated forward curves - Yann Benhamou, CACIB | |
| 20:00 - 22:00 | Dinner at the Musée d'Orsay (by invitation) |
Friday, January 30, 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 |
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| 09:45 - 10:30 | Martino Grasselli - A joint framework for SPX, VIX and VXX (Amphithéâtre Durand) - Martino Grasselli |
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| 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 | › TBA - 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 | › TBA - Louis Latournerie, Ecole Polytechnique, ENSAE |
