27-30 Jan 2026 Paris (France)

Planning

Week List

	Tue. 27	Wed. 28	Thu. 29	Fri. 30
09:00 10:00 11:00 12:00 13:00 14:00 15:00 16:00 17:00 18:00 19:00 20:00 21:00 22:00	Opening Talk 9:00 - 9:10 (10min) Opening Talk Amphithéâtre Durand Nicole El Karoui Nizar Touzi - Bridging Schrödinger and Bass for generative diffusion modeling 9:15 - 10:00 (45min) Nizar Touzi - Bridging Schrödinger and Bass for generative diffusion modeling Amphithéâtre Durand Nizar Touzi https://fin-risks2026.sciencesconf.org/data/program/Nizar_Touzi.pdf Beatrice Acciaio - Extension of Strassen theorem for arbitrage-free prices of American options 10:00 - 10:45 (45min) Beatrice Acciaio - Extension of Strassen theorem for arbitrage-free prices of American options Amphithéâtre Durand Beatrice Acciaio https://fin-risks2026.sciencesconf.org/data/program/Beatrice_Acciaio_1.pdf Coffee break 10:45 - 11:15 (30min) Coffee break Advanced modeling 11:15 - 12:55 (1h40) Advanced modeling Amphithéâtre Durand Speakers: O. Guéant, G. Pammer, E. Hubert, S. Pulido Organizers: A. Alfonsi, I. Kharroubi › Towards a Brenier theorem on $(P_2(...P_2(H)...),W_2)$ and for adapted transport - Gudmund Pammer, TU Graz 11:15-11:40 (25min) › Revisiting contract theory with volatility control - Emma Hubert, U Paris Dauphine 11:40-12:05 (25min) › Explosions of stochastic Volterra equations - Sergio Pulido, U Evry Paris-Saclay 12:05-12:30 (25min) › Buy it, Store it, Sell it: On the Optimality Gap of the Rolling Intrinsic Strategy - Olivier Guéant, U Paris Cité 12:30-12:55 (25min) Lunch break (caves Esclangon) 12:55 - 15:00 (2h05) Lunch break (caves Esclangon) Jan Obloj - Robust pricing and hedging of American options in continuous time 15:00 - 15:45 (45min) Jan Obloj - Robust pricing and hedging of American options in continuous time Amphithéâtre Durand Jan Obloj https://fin-risks2026.sciencesconf.org/data/program/Jan_Obloj.pdf Albina Danilova - Risk aversion of insider and dynamic asymmetric information 15:45 - 16:30 (45min) Albina Danilova - Risk aversion of insider and dynamic asymmetric information Amphithéâtre Durand Albina Danilova https://fin-risks2026.sciencesconf.org/data/program/Albina_Danilova.pdf Coffee break 16:30 - 17:00 (30min) Coffee break Flash talks 17:00 - 18:30 (1h30) Flash talks › Deep BSDE method for Quantile Hedging - Cyril Nefzaoui Blanchard, Université d'Evry 17:00-17:15 (15min) › 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 17:15-17:30 (15min) › Nonlinear weak error expansion of McKean-Vlasov stochastic differential equations - Anh-Dung Le, Ecole des Ponts 17:30-17:45 (15min) › Variance strikes back: sub–game-perfect Nash equilibria in time-inconsistent N-player games, and their mean-field sequel - Chiara Rossato, ETH Zurich 17:45-18:00 (15min) › Stochastic maximum principle for optimal control of non exchangeable mean field systems - Samy Mekkaoui, Ecole Polytechnique 18:00-18:15 (15min) Welcome cocktail 18:30 - 20:00 (1h30) Welcome cocktail	Yufei Zhang - The alpha-Potential Game Paradigm: Theory, Algorithms, and Applications 9:00 - 9:45 (45min) Yufei Zhang - The alpha-Potential Game Paradigm: Theory, Algorithms, and Applications Amphithéâtre Durand Yufei Zhang https://fin-risks2026.sciencesconf.org/data/program/Yufei_Zheng.pdf Mathieu Laurière - Deep Signature Approach for McKean-Vlasov FBSDEs in a Random Environment 9:45 - 10:30 (45min) Mathieu Laurière - Deep Signature Approach for McKean-Vlasov FBSDEs in a Random Environment Amphithéâtre Durand Mathieu Laurière https://fin-risks2026.sciencesconf.org/data/program/Mathieu_Lauriere.pdf Coffee break 10:30 - 11:00 (30min) Coffee break Computational and AI methods in finance 11:00 - 12:30 (1h30) Computational and AI methods in finance Amphithéâtre Durand Organizer: S. De Marco › Data-based entropic optimal transport and its application to generative model - Zhenjie Ren, Université d'Evry 11:00-11:30 (30min) › Constrained deep learning for pricing and hedging european options in incomplete markets - Nicolas Baradel, Ecole Polytechnique 11:30-12:00 (30min) › The Guyon–Lekeufack Path-Dependent Volatility Model in Discrete Time: Calibration under P and Q - Léo Parent, Ecole des Ponts 12:00-12:30 (30min) Lunch break (Caves Esclangon) 12:30 - 15:00 (2h30) Lunch break (Caves Esclangon) Mark Podolskij - Statistical methods for high-dimensional volatility 15:00 - 15:45 (45min) Mark Podolskij - Statistical methods for high-dimensional volatility Amphithéâtre Durand Mark Podolskij https://fin-risks2026.sciencesconf.org/data/program/Mark_Podolskij.pdf Eduardo Abi Jaber - Efficient Simulation of Affine Volterra Processes: From Heston to Hawkes 15:45 - 16:30 (45min) Eduardo Abi Jaber - Efficient Simulation of Affine Volterra Processes: From Heston to Hawkes Amphithéâtre Durand Eduardo Abi Jaber https://fin-risks2026.sciencesconf.org/data/program/Eduardo_AbiJaber.pdf Coffee break 16:30 - 17:00 (30min) Coffee break Flash talks 17:00 - 18:30 (1h30) Flash talks Amphithéâtre Durand › On the surjectivity of the conditional expectation given a real random variable - Thibault Jeannin, Ecole des Ponts 17:00-17:15 (15min) › Approximately optimal distributed controls for high-dimensional stochastic systems with pairwise interaction through controls - Elise Devey, Inria MathRisk 17:15-17:30 (15min) › Optimized Multi-Level Monte Carlo Parametrization and Antithetic Sampling for Economic Capital Estimation in Insurance - Mathieu Truc, Milliman 17:30-17:45 (15min) › Functional Itô-formula and Taylor expansions for non-anticipative maps of càdlàg rough paths - Francesca Primavera, Ecole Polytechnique 17:45-18:00 (15min) › From rough to multifractal multidimensional volatility: A multidimensional Log S-fBM model - Othmane ZARHALI, Université Paris Dauphine-PSL 18:00-18:15 (15min) › Nested Elicitability of the Expected Shortfall - Azar Louzi, Sorbonne Université 18:15-18:30 (15min)	Sara Biagini - A native and endogenous version of GHG trading 9:00 - 9:45 (45min) Sara Biagini - A native and endogenous version of GHG trading Amphithéâtre Durand Sara Biagini https://fin-risks2026.sciencesconf.org/data/program/Sara_Biagini.pdf Peter Bank - Anticipative optimal investment by rough dynamic programming 9:45 - 10:30 (45min) Peter Bank - Anticipative optimal investment by rough dynamic programming Amphithéâtre Durand Peter Bank https://fin-risks2026.sciencesconf.org/data/program/Peter_Bank.pdf Coffee break 10:30 - 11:00 (30min) Coffee break Amphithéâtre Durand Climate and Green Finance 11:00 - 12:40 (1h40) Climate and Green Finance Amphithéâtre Durand Organizer: Peter Tankov › Sustainable optimal investment & sustainable taxation - Ajla Nurkanovic, TU Kaiserslautern 11:00-11:25 (25min) › The effect of carbon price uncertainty on decarbonization efforts and economic growth - Benoit Chevalier-Roignant, EM Lyon 11:25-11:50 (25min) › Analysing the Role of Hedgers and Speculators in the EU ETS - Rüdiger Kiesel, U Duisburg-Essen 11:50-12:15 (25min) › Climate change: towards the "end of times" (of insurability)? - Stéphane Loisel, CNAM 12:15-12:40 (25min) Lunch break (Caves Esclangon) 12:40 - 14:15 (1h35) Lunch break (Caves Esclangon) Practitioners 14:15 - 15:45 (1h30) Practitioners Amphithéâtre Durand › Multivariate execution model - Philippe Dumont, Société Générale 14:15-15:00 (45min) › The Martingale Sinkhorn Algorithm - Grégoire Loeper, BNP Paribas 15:00-15:45 (45min) Coffee break 15:45 - 16:15 (30min) Coffee break Practitioners 16:15 - 17:45 (1h30) Practitioners Amphithéâtre Durand › Managing discontinuities in Autocallable payoffs - Arnaud Gocsei, Société Générale 16:15-17:00 (45min) › Rock'n Roll-Down: PnL & arbitrages when rolling interpolated forward curves - Yann Benhamou, CACIB 17:00-17:45 (45min) Free tour of the Musée d'Orsay (by invitation) 18:45 - 20:00 (1h15) Free tour of the Musée d'Orsay (by invitation) Dinner at the Musée d'Orsay (by invitation) 20:00 - 22:00 (2h) Dinner at the Musée d'Orsay (by invitation)	Caroline Hillairet - Multivariate Self-Exciting Processes with Dependencies and application to cyber loss processes 9:00 - 9:45 (45min) Caroline Hillairet - Multivariate Self-Exciting Processes with Dependencies and application to cyber loss processes Amphithéâtre Durand Caroline Hillairet https://fin-risks2026.sciencesconf.org/data/program/Caroline_Hillairet.pdf Martino Grasselli - A joint framework for SPX, VIX and VXX 9:45 - 10:30 (45min) Martino Grasselli - A joint framework for SPX, VIX and VXX Amphithéâtre Durand Martino Grasselli https://fin-risks2026.sciencesconf.org/data/program/Abstract_Grasselli_2.pdf Coffee break 10:30 - 11:00 (30min) Coffee break Decentralized finance 11:00 - 12:40 (1h40) Decentralized finance Amphithéâtre Durand Speakers: M. Allouche, P. Bergault, S. Cabossioras and P. Dufay, L. Latournerie. Organizer: Emmanuel Gobet › How DeFi is revolutionizing financial asset lending: legal and business challenges - Stephanie Cabossioras, Forge - Philippe Dufay, Société Générale 11:00-11:25 (25min) › Crypto Asset Valuation in Fragmented Markets - Michael Allouche, Kaiko 11:25-11:50 (25min) › Optimal Exit Time for Liquidity Providers in Automated Market Makers - Philippe Bergault, Ceremade, U. Paris Dauphine 11:50-12:15 (25min) › Modeling the risks within the protocol Aave, with an application to portfolio allocation - Louis Latournerie, Ecole Polytechnique, ENSAE 12:15-12:40 (25min)

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