Advances in Stochastic Analysis for Handling Risks in Finance and Insurance
Développements récents en analyse stochastique pour la gestion des risques en finance et assurance

11 – 15 September 2023

Scientific Committee 
Comité scientifique 

René Carmona (Princeton University)
Patrick Cheridito (ETH Zürich)
Monique Jeanblanc (Université d’Évry-Val d’Essonne)
Mike Ludkovski (University of California Santa Barbara)
Nizar Touzi (École Polytechnique)

Organizing Committee
Comité d’organisation

Bruno Bouchard-Denize (Université Paris Dauphine-PSL)
Jan Obłój (University of Oxford)
Martin Schweizer (ETH Zürich)

This workshop is the third of a series of three dedicated to advances in stochastic analysis in the context of applications to economics and mathematical finance. It will focus on mathematical models for financial systems of interacting agents. Such models often involve graph or network structures and game theoretical aspects, and in particular mean-field games. This workshop will  bring together experts from mathematical finance and specialists of these fields.

Ce workshop est le troisième d’une série de trois consacrés aux avancées de l’analyse stochastique dans le contexte des applications à l’économie et à la finance mathématique. Il se concentrera sur les modèles mathématiques pour les systèmes financiers d’agents en interaction. Ces modèles impliquent souvent des structures de graphes ou de réseaux et des aspects de la théorie des jeux, en particulier les jeux à champ moyen. Ce workshop réunira des experts de la finance mathématique et des spécialistes de ces domaines.



Eduardo Abi Jaber (École polytechnique)   Equilibrium in functional stochastic games with mean-field interaction
Beatrice Acciaio (ETH Zürich)   Non-linear filtering via optimal transport
Peter Bank (Technical University of Berlin)    Rough PDEs for local stochastic volatility models
Daniel Bartl (University of Vienna)    Structure preservation via the Wasserstein distance
Dirk Becherer (Humboldt University Berlin)  Optimal consumption with labor income and borrowing constraints for recursive preferences
Jose Blanchet (Stanford University)   Optimal transport-based distributionally robust decision making and applications to portfolio selection
Luciano Campi (University of Milan)    Coarse correlated equilibria for continuous time mean field games in open loop strategies
Pierre Cardaliaguet (Université Paris-Dauphine)    Mean field games with an informed major player
Ales Cerny (Bayes Business School, City, University of London)    Numeraire-invariant quadratic hedging and portfolio selection
Umut Cetin (London School of Economics)   High frequency trading and news  
Jean-François Chassagneux (Université Paris Cité)  An optimal transport approach to quantile hedging problems
Samuel Cohen (University of Oxford)    Approximate online learning for large HMMs
Alexander Cox (University of Bath) On the sub-optimality of the follow-the-leader strategy in the follow-the-leader problem with uniform prior
Stephane Crepey (Université Paris Cité)    Resolving a clearing member’s default: A Radner equilibrium approach
Robert Alexander Crowell (ETH Zürich)    Weak existence for McKean-Vlasov SDEs with common noise and propagation of chaos
Christoph Czichowsky (London School of Economics)   A new approach to linear-quadratic control problems with singular terminal condition
Boualem Djehiche (KTH Royal Institute of Technology)    Time-inconsistent optimal stopping problems and zero-sum Dynkin games of mean-field type
Yan Dolinsky (Hebrew University)   Exponential utility maximization in a discrete time Gaussian framework
Claudio Fontana (University of Padova & École Polytechnique)   Local market viability and superhedging under proportional transaction costs 
Marco Frittelli (University of Milano)  Collective arbitrage and the value of cooperation
Xin Guo (UC Berkeley)    MF-OMO: an optimization framework for mean-field games
Antoine Jacquier (Imperial College London)   Universal approximation theorems for Quantum (reservoir) neural networks
Sebastian Jaimungal (University of Toronto)    Risk budgeting allocation for dynamic risk measures
Yifan Jiang (University of Oxford)   Causal distributionally robust optimization – sensitivity and duality
Laura Körber (TU Berlin)   Optimal execution and speculation with trade signals
Sigrid Källblad (KTH Royal Institute of Technology)   Adapted Wasserstein distance between the laws of SDEs
Kostas Kardaras (London School of Economics)  Equilibrium models of production and capacity expansion
Michael Kupper (University of Konstanz)    Markovian transition semigroups under model uncertainty
Yating Liu (Université Paris Dauphine)   A statistical approach for simulating the density solution of a McKean-Vlasov equation
Gudmund Pammer (ETH Zurich)   Stretched Brownian Motion: Analysis of a Fixed-Point Scheme
Miklos Rasonyi (Renyi Institute, Budapest)   Central limit theorem for stochastic gradient Langevin dynamics
Xiaolu Tan (The Chinese University of Hong Kong)    A C1-Itô’s formula for flows of semimartingale distributions
Valentin Tissot-daguette (Princeton University)   Stopping times of boundaries: relaxation, continuity, and neural approximation
Johannes Wiesel (Carnegie Mellon University)  On concentration of the empirical measure for general transport costs
Thaleia Zariphopoulou (University of Texas at Austin)    Mean field games with unbounded controls and general payoffs
Xin Zhang (University of Vienna)   Comparison of second order PDEs on Wasserstein space