Scientific Committee
Comité scientifique
Marc Abeille (CRITEO)
Guillaume Carlier (Université Paris Dauphine)
Mathieu Rosenbaum (Ecole Polytechnique)
Nizar Touzi (École Polytechnique)
Thaleia Zariphopoulou (University of Texas at Austin)
Organizing Committee
Comité d’organisation
Bruno Bouchard-Denize (Université Paris Dauphine-PSL)
Jan Obłój (University of Oxford)
Jean-Luc Pfisterer (ETH Zürich)
Martin Schweizer (ETH Zürich)
IMPORTANT WARNING: Scam / Phishing / SMiShing ! Note that ill-intentioned people may be trying to contact some of participants by email or phone to get money and personal details, by pretending to be part of the staff of our conference center (CIRM). CIRM and the organizers will NEVER contact you by phone on this issue and will NEVER ask you to pay for accommodation/ board / possible registration fee in advance. Any due payment will be taken onsite at CIRM during your stay.
This workshop is the first 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 the notions of information and uncertainty with two core areas: reinforcement learning and robustness. This workshop will bring together experts from mathematical finance and specialists of these fields.
Cet atelier est le premier d’une nouvelle série de trois consacrés aux progrès de l’analyse stochastique dans le contexte des applications à l’économie et à la finance mathématique. Il se concentrera sur les notions d’information et d’incertitude avec deux domaines principaux : l’apprentissage par renforcement et la robustesse. Cet atelier réunira des experts de la finance mathématique et des spécialistes de ces domaines.
SPEAKERS
Erhan Bayraktar (University of Michigan) Uniform-in-time weakpropagation of chaos for consensus-based optimization
Mathias Beiglböck (TUWien) Introduction to causal transport and applications
Philippe Bergault (Université Paris Dauphine, PSL) Mean field games in a stackelberg problem with an informed major player
José Blanchet (Stanford University) Optimal pricing in dynamic two-sided market places witk a fixed-demand design
Hans Bühler (Co-CEO) Deep hedging with deep set based strategies
Sam Cohen (Mathematical Institute) Optimal control with controlled information flows
Rama Cont (CNRS) Dynamic Hedging under model uncertainty
Samuel Drapeau (Shanghai Jiao Tong University) Clocking – A stochastic process modeling approach using AI
Marco Frittelli (University of Milano) Collective phenomena in financial markets : Arbitrage, replication, completness and risk
Ivan Guo (Monash University) Partially Ordered Peacocks
Xin Guo (UC Berkeley) An alpho-potential game framework for multi-agent system
Julien Guyon (École nationale des ponts et chaussées, Institut Polytechnique de Paris | NYU Tandon) The discrete-time 4-factor path-dependent volatility model : calibration under P and Q
Marc Hoffman (Université Paris Dauphine-PSL) Volatility and rainfall modelling : an intriguing parallel story across scales via roughness
Yifan Jiang (University of Oxford) A transfer principle for computing the adapted Wassertein distance
Sigrid Källblad (KTH Royal Institute of Technology) Optimal adaptive control using measure-valued martingales
Michael Kupper (University of Konstanz) Martingales and path-dependent PDEs via evolutionary semigroups
Gregoire Loeper (Monash University) On stochastic PDE’s and their applications to derivative pricing
Gudmund Pammer (TU Graz) On the geometry of Causal Transport
Huyen Pham (Ecole Polytechnique) Optimal transport approach for generative diffusion model
Alejandra Quintos (University of Wisconsin-Madison) Generaliezd multivariate Cox models with common and idiosyncratic shocks
Mathieu Rosenbaum (École Polytechnique) Volatility and order flow : a tale of two fractional Brownian motions
Johannes Ruf (London School of Economics) Predictable variations in stochastic calculus
Leandro Sánchez-Betancourt(University of Oxford) Optimal dynamic fees in automated market makers
David Siska (University of Edinburgh) Convergence of policy gradient methods in discrete and continuous time reinforcement learning
Xiaolu Tan (The Chinese University of Hong Kong) On the convergence rate of a mean-field optimal control problem
Nizar Touzi (New York University) On approximate Nash equilibria in mean field games
Johannes Wiesel (Copenhagen University) A dynamic programming principle for multiperiod control problems with bicausal
Serdar Yüksel (Queen’s University) Stochastic control with partial and decentralized information : Regularity, optimality and learning
Thaleia Zariphopoulou (The University of Texas at Austin) Information acquisistion and mean field games
Luhao Zhang (Johns Hopkins University) A class of interpretable and decomposable multi-period convex risk measures
Xin Zhang (New York University) Exciting games and Monge-Ampère aquations
Yufei Zhang (Imperial College London) Continuous-time mean fiel games : a primal-dual characterization
Xunyu Zhou (Columbia University) Mean-variance portfolio selection by continuous-time reinforcement Learning : Algorithms; regret analysis and empirical study
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