Planning
| Time |
Event |
|
|
09:00 - 09:30
|
Reception |
|
|
09:30 - 10:50
|
Market models (Salle à préciser) |
|
| 09:30 - 10:05 |
› No-arbitrage implies power-law market impact and rough volatility - Mathieu Rosenbaum, Ecole Polytechnique |
|
| 10:10 - 10:45 |
› Lifting the Heston model - Eduardo Abi Jaber, Université Paris Dauphine - AXA |
|
|
10:50 - 11:20
|
Coffee break |
|
|
11:20 - 12:40
|
Risk management and numerical method (Salle à préciser) |
|
| 11:20 - 11:55 |
› Perfect hedging under price impact and market liquidity - Bruno Bouchard, Université Paris-Dauphine |
|
| 12:00 - 12:35 |
› Uncertainty quantification of stochastic approximation limits, application to uncertain CVaR - Emmanuel Gobet, Ecole Polytechnique |
|
|
12:40 - 14:10
|
Lunch (buffet on site) |
|
|
14:10 - 15:30
|
Capital optimisation (Salle à préciser) |
|
| 14:10 - 14:45 |
› XVA analysis from the balance sheet - Stéphane Crépey, Université d'Evry-Val-d'Essonne |
|
| 14:50 - 15:30 |
› A few modelling challenges regarding savings business - Jérémie Bonnefoy, AXA |
|
|
15:30 - 16:00
|
Coffee break |
|
|
16:00 - 17:00
|
discussion (Salle à préciser) |
|
|
