Equipe ALEA Website

  • Increase font size
  • Default font size
  • Decrease font size

Workshop on numerical methods in finance 1-2 Juin 2010

Print PDF

For problems, info or help contact This e-mail address is being protected from spambots. You need JavaScript enabled to view it or   This e-mail address is being protected from spambots. You need JavaScript enabled to view it

 

 

 

Workshop on numerical methods in finance

Bordeaux, France, June 1-2 2010

 

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.


Important Dates

Submission of abstracts April 20, 2010
Notification of acceptance May 10, 2010
Deadline for Registration May 20, 2010
Workshop June 1-2 2010

 


Confirmed Participants

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]

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]


Local Information

  • 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: This e-mail address is being protected from spambots. You need JavaScript enabled to view it

For further information, please send an email to This e-mail address is being protected from spambots. You need JavaScript enabled to view it , This e-mail address is being protected from spambots. You need JavaScript enabled to view it or This e-mail address is being protected from spambots. You need JavaScript enabled to view it