in honour of Gilles Pagès' 60th birthday
26-28 May 2021 Paris (France)

Program

Wednesday, May 26, 2021 ›
09:00
10:00
11:00
12:00
13:00
14:00
15:00
16:00
17:00
›9:00 (15min)
Introduction
Lorenzo Zambotti
›9:15 (40min)
Multilevel Monte Carlo using approximate distributions
Mike Giles (Chairman : Benjamin Jourdain)
›9:55 (40min)
Approximation of interest rate models with stochastic volatility
Bernard Lapeyre (Chairman : Benjamin Jourdain)
›10:20 (30min)
Coffee break
›10:50 (40min)
A rough volatility tour with Hawkes, Heston, Zumbach and Professor Pagès.
Mathieu Rosenbaum (Chairman : Catherine Matias)
›11:30 (40min)
A Variance Reduced Expectation Maximization algorithm for finite sum optimization
Gersende Fort (Chairman : Catherine Matias)
›12:10 (1h50)
Lunch
›14:00 (40min)
Optimal Group Size for Microlending
Philip Protter (Chairman : Noufel Frikha)
›14:40 (40min)
Construction of Mac-Kean and Boltzmann type flows: the sewing lemma approach
Vlad Bally (Chairman : Noufel Frikha)
›15:20 (30min)
Coffee break
›15:50 (40min)
Constructing functional control variates using quantization
Antoine Lejay (Chairman : Idris Kharroubi)
›16:30 (40min)
Dual Quantization
Benedikt Wilbertz (Chairman : Idris Kharroubi)
Session
Speech
Logistics
Break
Tour
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