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Workshop on Financial Mathematics and Numerical Probability

Organizer: Noufel Frikha, Ying Jiao, Simone Scotti

June 19th -- 21th, 2013
Beijing International Center for Mathematical Research
78 Jing Chun Garden, Room 77201 (镜春园 78 号院 77201 教室)



Themes : Backward stochastic differential equations, Error calculus in finance, Financial risks, Probabilistic numerical methods, Optimisation

Program : Planning Title and abstract
Indication of voyage : Zhongguanyuan Global Village


Invited participants

Carassus Laurence (Université de Reims Champagne-Ardenne)
   Maximization of non-concave utility functions in discrete-time financial market models
Elie Laure (Université Paris Diderot -- Paris 7)
Di Girolami Cristina (Università G.D'Annunzio di Pescara and Université du Maine)
Hitier Sébastien (BNP Paribas Hong Kong)
Kang Wanmo (KAIST)
   Exact Simulation of Wishart Multidimensional Stochastic Volatility Model
Labart Céline (Université de Savoie )
   Simulation of BSDEs by Wiener Chaos Expansion
Laruelle Sophie (Ecole Centrale de Paris)
   Nonlinear Randomized Urn Models: a Stochastic Approximation Viewpoint
Lelong Jérôme (ENSIMAG Grenoble)
Lin Qian (Bielefeld University)
   Nash equilibrium payoffs for stochastic differential games and applications to finance
Ma Chunhua (Nankai University)
   Parameter estimation in the heavy-tailed branching mechanism
Pagès Gilles (Université Pierre et Marie Curie -- Paris 6)
Popier Alexandre (Université du Maine)
Sagna Abass (ENSIIE, Evry)
   Marginal quantization of Euler diffusion processes and its application
Vinckenbosch Laura (INRIA Nancy)
Xu Mingyu (Academy of Mathematics and Systems Science)


Contact : Ms. Meng YU