09:00
10:00
11:00
12:00
13:00
14:00
15:00
16:00
17:00
›9:00 (15min)
›9:15 (40min)
https://gp60.sciencesconf.org/data/program/gp60_giles.pdf›9:55 (40min)
Approximation of interest rate models with stochastic volatility
Bernard Lapeyre (Chairman : Benjamin Jourdain)
Bernard Lapeyre (Chairman : Benjamin Jourdain)
›10:20 (30min)
›10:50 (40min)
A rough volatility tour with Hawkes, Heston, Zumbach and Professor Pagès.
Mathieu Rosenbaum (Chairman : Catherine Matias)
Mathieu Rosenbaum (Chairman : Catherine Matias)
›11:30 (40min)
A Variance Reduced Expectation Maximization algorithm for finite sum optimization
Gersende Fort (Chairman : Catherine Matias)
Gersende Fort (Chairman : Catherine Matias)
›12:10 (1h50)
›14:00 (40min)
›14:40 (40min)
Construction of Mac-Kean and Boltzmann type flows: the sewing lemma approach
Vlad Bally (Chairman : Noufel Frikha)
Vlad Bally (Chairman : Noufel Frikha)
›15:20 (30min)
›15:50 (40min)
Constructing functional control variates using quantization
Antoine Lejay (Chairman : Idris Kharroubi)
Antoine Lejay (Chairman : Idris Kharroubi)
›16:30 (40min)
