Advances in Financial Mathematics 2026

9:00 - 9:45 (45min)

Sara Biagini - A native and endogenous version of GHG trading

Amphithéâtre Durand

Sara Biagini

9:45 - 10:30 (45min)

Peter Bank - Anticipative optimal investment by rough dynamic programming

Amphithéâtre Durand

Peter Bank

10:30 - 11:00 (30min)

Coffee break

Amphithéâtre Durand

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)

12:40 - 14:15 (1h35)

Lunch break (Caves Esclangon)

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)

15:45 - 16:15 (30min)

Coffee break

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)

18:45 - 20:00 (1h15)

Free tour of the Musée d'Orsay (by invitation)

20:00 - 22:00 (2h)

Dinner at the Musée d'Orsay (by invitation)

Planning