Advances in Financial Mathematics 2026

9:00 - 9:10 (10min)

Opening Talk

Amphithéâtre Durand

Nicole El Karoui

9:15 - 10:00 (45min)

Nizar Touzi - Bridging Shrödinger and Bass for generative diffusion modeling

Amphithéâtre Durand

Nizar Touzi

https://fin-risks2026.sciencesconf.org/data/program/Abstract_Touzi.pdf

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/Abstract_Acciaio.pdf

10:45 - 11:15 (30min)

Coffee break

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)

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/Abstract_Obloj.pdf

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/Abstract_Danilova.pdf

16:30 - 17:00 (30min)

Coffee break

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)

› TBA - Samy Mekkaoui, Ecole Polytechnique 18:00-18:15 (15min)

18:30 - 20:00 (1h30)

Welcome cocktail

Planning