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Workshop on numerical methods in finance Bordeaux, France, June 1-2 2010 |
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| Important dates | Confirmed participants | Program | Local Information | Contact |
The objective of this workshop is to bring together academics and practitioners to have an overview of recent advanced numerical methods in finance with a specific focus on computational methods for American style options pricing.
This 2-days workshop will feature invited and contributed talks and will take place at the University of Bordeaux, France.
There is no registration fee for the workshop.
| Submission of abstracts | April 20, 2010 |
| Notification of acceptance | May 10, 2010 |
| Deadline for Registration | May 20, 2010 |
| Workshop | June 1-2 2010 |
| Pierre Del Moral | INRIA Bordeaux |
| Nadia Oudjane | EDF R&D |
| Peng Hu | IMB and INRIA Bordeaux Sud Ouest |
| Benjamin Jourdain | Ecole Nationale des Ponts et Chaussées CERMICS |
| Ahmed Kebaier | Université Paris 13 |
| Thomas G. Kurtz | University of Wisconsin - Madison |
| Dan Crisan | Imperial College London |
| Bruno Bouchard | Université Paris Dauphine |
| Céline Labart | Université Pierre et Marie Curie |
| Jérôme Lelong | ENSIMAG, laboratoire Jean Kuntzmann, Grenoble |
| Gilles Pagès | Université Pierre et Marie Curie |
| François Turboult | EDF R&D |
| Xavier Warin | EDF R&D |
| François Xavier Villemin | Crédit Agricole CIB |
| Aurélien Alfonsi | Ecole Nationale des Ponts et Chaussées CERMICS |
| Wim Van Ackooij | EDF R&D |
| Mohammed Mikou | Université de Marne-la-Vallée |
| Anes Dallagi | EDF R&D |
| Kengy Barty | EDF R&D |
| Ajay Jasra | Imperial College London |
| René Aid | EDF R&D |
| Marie Bernhart | Université Paris 7 and EDF R&D |
| Ala Ben-Abbes | EDF R&D |
| Klaus Wiebauer | ENBW |
| Zhihao Cen | Ecole Polytechnique, France |
| Etienne Chevalier | Université d'Evry Val d'Essonne |
| Vincent Torri | Université d'Evry Val d'Essonne |
| Mohamed Ben Alaya | Université Paris 13 |
| Bernard Bercu | INRIA Bordeaux |
| Nicolas Langrené | Université Paris 7 |
| Lokman A. Abbas-Turki | Université de Marne-la-Vallée |
| Imene Ben-Latifa | Université de ENIT Tunis |
| Francisco José Silva | INRIA Saclay et Ecole Polytechnique, France |
| Elisabeth Mironescu | Ecole Centrale de Lyon |
Program
Location: Salle de Conférence, Institut de Mathématiques de Bordeaux, Bat. A33.
- Tuesday 1st
| 13h00-13h30 | Reception of the participants | |
| 13h30-14h10 | Klaus Wiebauer (ENBW Trading) | A practical view on valuation of multi-exercise American style options in gas and electricity markets. [slides] |
| 14h10-14h50 | Xavier Warin (EDF R&D) (with Bruno Bouchard) | Comparison of some Monte Carlo method in high dimension.[slides] |
| Coffee break (10mn) | ||
| 15h00-15h40 | François-Xavier Villemin (Crédit Agricole) | Pricing methods and quantization.[slides] |
| 15h40-16h20 | Gilles Pagès (Université Paris 6) (with Benedikt Wilbertz) | Quantification duale et applications aux options américaines. [slides] |
| Coffee break (10mn) | ||
| 16h30-17h10 | Zhihao Cen (Ecole Polytechnique) (with J. Frederic Bonnans and Thibault Christel) | LNG contracts managements: optimal decision and sensibility analysis. [slides] |
| 17h10-17h50 | Peng Hu (IMB and INRIA Bordeaux) (with Pierre Del Moral, Nadia Oudjane and Bruno Remillard) | On the Robustness of the Snell envelope.[slides] |
| 17h50-18h30 | Ajay Jasra (Imperial College) (with Pierre Del Moral) | Sequential Monte Carlo Methods for Option Pricing.[slides] |
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20h00 |
Dinner: Le Chalet Lyrique (Map) | |
- Wednesday 2nd
| 8h30-13h00 | François Turboult (EDF R&D) (with Yassine Youlal) | Swing option pricing by free boundary estimation. [slides] |
| 9h10-9h50 | Mohamed Mikou (Université Marne la vallée) | A Mutinomial Approximation for American Option Price in an exponential Lévy Model.[slides] |
| Coffee break (10mn) | ||
| 10h00-10h40 | Marie Bernhart (EDF R&D and Université Paris 7) (with Huyên Pham, Peter Tankov and Xavier Warin) | Using BSDE with jumps to value American style options. [slides] |
| 10h40-11h10 | Dan Crisan (Imperial college) (with Konstantinos Manolarakis) | A numerical method for solving backward SDEs. Application to option pricing.[slides] |
| Coffee break (10mn) | ||
| 11h10-11h50 | Benjamin Jourdain (CERMICS) (with Michel Vellekoop) | Regularity of the Exercise Boundary for American Put Options on Assets with Discrete Dividends.[slides] |
| 11h50-12h30 | Kengy Barty (EDF R&D) (with Jean Sebastien Roy and Cyrille Strugarek) | Kernel approximation for continuous stopping time problems.[slides] |
Slides
Barty: [slides]
Bernhart: [slides]
Cen: [slides]
Crisan: [slides]
Hu: [slides]
Jasra: [slides]
Jourdain: [slides]
Mikou: [slides]
Pages: [slides]
Turboult: [slides]
Villemin: [slides]
Warin: [slides]
Wiebauer: [slides]
- Location
The workshop will take place at the Institute of Mathematics of Bordeaux (Institut de Mathématiques de Bordeaux - IMB) which is located on the campus of the University of Bordeaux 1, in the suburban town of Talence. From the main entrance of the University, this is the main building on your right (Bat A33, see the map). 
From the train station (Bordeaux Saint-Jean), take the Tramway Line C, get off at Quinconces and change to tram B towards Pessac centre and get off at Forum. Then keep walking for about 300 meters along the line towards the next station; after passing a roundabout, you will find the main entrance to the University on your right. From the Bordeaux Mérignac airport. A shuttle operates every 45 minutes during daytime (timetable); take the shuttle and get off at the tourist office , then take Tram B on the place des Quinconces towards Pessac centre and get off at Forum.
Here is a map of the tram network.
- Hotels
| Close to the University | Close to the train station | City Center | Meriadeck (close to the city center) |
| Hôtel Ténéo, Talence | Hôtel Star Hôtel Ténéo, Bordeaux Hôtel California II Etap Hôtel Hôtel Kyriad Saint Jean |
Hôtel Comfort Suites Victoria Garden Hôtel Gambetta Hôtel Clémenceau Quality Hôtel Sainte Catherine |
Apart'Hôtel Citadines Bordeaux Etap Hôtel Hôtel Ibis Novotel |
- Tourist Information
Tourist Information on Bordeaux Tourist Information on Aquitaine
Contact
Organizing committee: Pierre Del Moral, Nadia Oudjane, Peng Hu
Local arrangements:
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