Events & Calendar
8th Cremma Spring School : Stochastic Modeling and Applications
Cet événement scientifique est organisé depuis 2007 dans le cadre du Centre Euro-Méditerranéen pour les Mathématiques et leurs applications (CREMMA). Les partenaires académiques co-organisateurs de l’école sont l’Université Tunis El Manar (ENIT-LAMSIN et la FST, faculté des Sciences de Tunis), Ecole Polytechnique (CMAP), Le Mans Université (l’Institut du Risque et de l’Assurance et le LMM) et le MIMS.
Pour plus de détails, consultez le site du CREMMA
REGISTRATION IS NECESSARY AND IT IS TO BE MADE ON THIS WEBSITE (click on register here, upper right).
Organizing Commitee:
Anis Matoussi, Mohamed Mnif
Scientific Commitee:
Anis Matoussi, Mohamed Mnif, Habib Ouerdiane et Nizar Touzi
Sponsors:
MIMS, LeMans University, Ecole polytechnique (CMAP), FST, ENSAE
MAIN LECTURERS
Alexandre Brouste (Le Mans University, France)
Two statistical experiments encountered in energy studies
Mathieu Rosenbaum (Ecole Polytechnique Palaiseau, France)
Rough volatility
Caroline Hillairet (ENSAE, France) and Mohamed Mrad (University Paris 13, France)
Progressive utility for Yield curve modeling
Programme du Mercredi
Programme Workshop – CREMMA 8
9h00 – 9h30 : Monique PONTIER (Université Toulouse 1)
Implied volatility phenomena as market's aversion to risk
9h30 – 10h00 : Wissal SABBAGH (Université Evry, Paris-Saclay)
Valuation of pricing adjustments via Anticipated BSDEs
10h00 – 10h30 : PAUSE CAFÉ
10h30 – 11h00 : Sarah KAAKAI (Ecole Polytechnique)
A pathwise construction of Birth-Death-Swap systems leading to an averaging result in the presence of two timescales
11h00 – 11h30 :Omar EUCH (Université Pierre et Marie Curie)
Multi-factor approximation of rough volatility models
11h30 – 12h00 :Othmane MOUNJID (Ecole Polytechnique)
Optimal liquidity-based trading tactics
12h00 – 13h45 : DÉJEUNER (Restaurant l’Assiette)
14h00 – 14h30 : Stéphane CREPEY (Université Evry, Paris-Saclay)
XVA Principles, Nested Monte Carlo Strategies and GPU Optimizations
14h30 – 15h00 : Hadjer MOUSSAOUI (Université de Toulon)
Optimal control for a system driven by a coupled FBSDE
15h00 – 15h30 : PAUSE CAFÉ
15h30 – 16h00 : Nicolas BARADEL (ENSAE)
Optimal control under uncertainty and Bayesian parameters adjustments
15h30 – 16h00 : Rym SALHI (UTM-FST, Le Mans Université)
Exponential Quadratic BSDEs with jumps
23-27 April 2018
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23 April |
24 April |
12 April |
26 April |
27 April |
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8h30-9h Registration |
9h-10h45
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9h-10h45
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9h-10h45
Alexandre Brouste
Two statistical experiments encountered in energy studies |
Alexandre Brouste
Two statistical experiments encountered in energy studies |
|
Mathieu Rosenbaum
Rough volatility |
Omar Euch
Rough volatility |
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Coffee break |
Coffee break |
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Coffee break |
Coffee break |
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11h-12h30
Mohamed Mrad
Progressive utility for yield curve modeling simulation |
11h-12h30
Mohamed Mrad
Progressive utility for yield curve modeling simulation |
Workshop
9h-16h |
11h-12h30
Caroline Hillairet
Progressive utility for yield curve modeling simulation |
11h-12h30
Caroline Hillairet
Progressive utility for yield curve modeling simulation |
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Lunch break |
Lunch break |
|
Lunch break |
Lunch break |
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14h00-16:00
Alexandre Brouste
Two statistical experiments encountered in energy studies |
14h00-16h00
Mathieu Rosenbaum
Rough volatility |
|
14h00-16:00
Caroline Hillairet
Progressive utility for yield curve modeling simulation |
14h00-16h00
Othmane Mounjid
Rough volatility |
| Participant | Institution |
|---|---|
| Meriem Abidli | Fst |
| Brouste Alexandre | Le Mans Université |
| Rim Amami | Faculté des Sciences de Tunis |
| Belhadj Amel | Dr. Moulay Tahar University, Saida, Algeria |
| Zineb ARAB | Sétif 1 university |
| Dhouha Attia | FST |
| Nicolas Baradel | ENSAE |
| Nada Barhoumi | Fst |
| Lamia Ben Ajmia | ENIT_LAMSIN |
| Sahar BEN AZIZA | UTM |
| Mouna Ben Derouiche | ENIT |
| Khouloud ben fadhel | Faculté des Sciences Mathématiques , Physiques et Naturelles de Tunis |
| Narjes Ben Salem | Faculté des sciences de Tunis |
| Islem Ben tita | FST |
| Messaouda BENHAMIDA | Faculté des sciences Tunis Manar |
| Rym Boukriba | International university of Tunisia |
| Chaima Bouzida | FST |
| Stéphane Crépey | University of Evry, France |
| chayma daayeb | enit |
| sadok el meddeb | FST |
| M'hamed Gaïgi | Ecole Nationale d'Ingénieurs de Tunis (ENIT) |
| slim gharbi | fst |
| Souhir gliouez | Ecole Polytechnique de Tunis |
| Mohammed Lakhdar Hadji | Badji Mokhtar University- Annaba |
| NABIHA HAMDAOUI | FSS |
| Rim Hmaidi | FST |
| Hajjej Ishak | ENSAE/CREST- ENIT/LAMSIN |
| Rihab Jebali | Faculté des sciences mathématiques physiques et naturelles de Tunis |
| oussema jmai | faculté de science de tunis |
| Sarah Kaakai | Ecole Polytechnique |
| Atef Lechiheb | Fst |
| Raphael Lee | ENSAE |
| Azmi MAKHLOUF | ENIT-LAMSIN |
| arij manai | univérsité du Maine |
| Belksier Manel | Badji Mokhtar Annaba university -Algeria- |
| Abir Mansour | faculté des sciences mathématiques physiques et naturelles de Tunis |
| Sirine MANSOURI | Faculté des Sciences Mathématiques, Physiques et Naturelles de Tunis |
| Anis Matoussi | Le Mans Université / Ecole Polytechnique |
| Mohamed Mnif | ENIT-LAMSIN |
| Cherif Mongia | Faculté des sciences de Tunis |
| Othmane Mounjid | CMAP Ecole polytechnique |
| Hadjer Moussaoui | Laboratory IMATH, university of Toulon, France |
| Mohamed MRAD | LAGA Université Paris 13 |
| Sarra Neffati | UTM-ENIT & Le Mans Université |
| Bougherra Rania | Badji Mokhtar Annaba university -Algeria- |
| Hammami Raoudha | Faculty of Tunis El Manar |
| Amel Redjil | Department of mathematics and laPS, Annaba university, Algeria |
| Amel Redjil | Department of mathematics and LaPS laboratory , Annaba university, Algeria |
| Mathieu Rosenbaum | Ecole Polytechnique |
| wissal sabbagh | University of Evry |
| rym salhi | université du maine |
| Yasmine Slama | FST |
| Chefia ZIRI | LAMSIN / LMM |
secretary@mims-institut.org
