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Advances in Financial Mathematics
7th-10th january 2014
Advances
in Financial Mathematics
15-21 rue de l’Ecole de Médecine - Monastère des Cordeliers - Paris VI
Practitioner day
on 10th January 2014
Plenary speakers
Paul Glasserman (Columbia University)
Matheus Grasselli (Fields Institute Toronto)
David Hobson (University of Warwick)
Andrei Kirilenko (MIT)
Georges Papanicolaou (Stanford University)
Mete Soner (ETH Zurich)
Peter Tankov (Paris 7 University)
Main topics
Systemic Risk
Stochastic Control, Optimization
Numerical Probability
Asymptotic Methods
Order Book Modeling and Microstructure
Model-Free Hedging
Numerical Methods for Non-Linear Equations in Finance
Recent Development in BSDE’s
Aurélien Alfonsi
Lorenzo Bergomi
Nicole El Karoui
Emmanuel Gobet
Pierre Henry-Labordère
Ecole des Ponts ParisTech
Société Générale
Université Pierre et Marie Curie
Ecole Polytechnique
Société Générale
O r g a n i z ING
Committee
Benjamin Jourdain
Bernard Lapeyre
Ecole des Ponts ParisTech
Ecole des Ponts ParisTech
Gilles Pagès
Université Pierre et Marie Curie
Mathieu Rosenbaum
Université Pierre et Marie Curie
Nizar Touzi
Ecole Polytechnique
financialrisks2014.org
Paris, Couvent des Cordeliers 2014
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Advances in Financial Mathematics
Welcome to the "Couvent des Cordeliers"
at the Second Conference of
the Chair "Financial Risk"
Paris, Couvent des Cordeliers 2014
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Advances in Financial Mathematics
Le couvent des Cordeliers
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Le couvent des Cordeliers
• One of the oldest monastic implementations (1250-1570)
• It gave its name to the Club of the Cordeliers, by Geoges Danton in 1790 which
held its first meetings there during the French Revolution.
• It remains the refectory and the cloister, depending on the University UPMC
• Partially dedicated to medicine
Paris, Couvent des Cordeliers 2014
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Advances in Financial Mathematics
At the revolution 1793
At the revolution 1793
Paris, Couvent des Cordeliers 2014
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Advances in Financial Mathematics
Paris, Couvent des Cordeliers 2014
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Advances in Financial Mathematics
The Chair "Financial Risk"
The Chair "Financial Risk"
The Chair Financial Risks is a research partnership
• Sponsored by the Bank Société Générale
• with the Academic Institutions, Ecole Polytechnique, Ecole des Ponts et
Chaussées, and Université Pierre et Marie Curie
• In particular with the Laboratories CMAP, CERMICS, LPMA
• created within the Risk Foundation,
• Two periods, 2007-2012 and 2012-2017
• Also oriented to the formation with two Master Programs in Financial
Mathematics (UPMC-X) and (MarneLa Vallée-Ponts)
Very important leverage effect on research in Financial Mathematics and on the
connection between the academic world and the professional world
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What Risks ?
Advances in Financial Mathematics
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What Risks ?
• Market risk, volatility risk, basis Risk, Interest rate risk, inflation risk
• Default risk, counterparty risk, credit risk, Sovereign Risk
• Liquidity risk, funding risk
• Contagion risk,
• Operational Risk: model risk, legal risk, high frequency risk, fraud risk, people
risk,
Inventaire à la Jacques Prevert
Regulation and Risk Measures
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Thanks
Advances in Financial Mathematics
Thanks
• For the organizers, and more specially Emmanuel Gobet
• The staff of the CMAP, and of Institut Louis Bachelier
• All the participants
To the very promising Conference
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