Stochastic Modelling and Applications to Finance
Sino-French Summer Institute 2011
June 13th -- 30th 2011
Academy of Mathematics and System Sciences (Beijing, China)
Organized by:
Institute of Applied Mathematics, Key Laboratory of Random Complex Structures and Data Science (Academy of Mathematics and Systems Science, CAS)
Laboratoire de Probabilités et Modèles Aléatoires (Université Pierre et Marie Curie -- Paris VI et Université Paris Diderot -- Paris VII)
Supported by National Natural Science Foundation of China (NSFC) and
Centre National de la Recherche Scientifique (CNRS)
Mini-Courses Program
June 13th -- 17th :
On the concentration properties of mean field particle models (Pierre Del Moral)
Mallivain caulculus and some application (Zhao Dong)
Stochastic impulse control and applications to finance (Huyên Pham)
Pricing and risk management with Lévy processes (Peter Tankov)
Large Deviation (Liming Wu)
June 20th -- 25th :
Fractional regularity: applications in stochastics (Emmanuel Gobet)
Enlargement of filtrations and applications to credit risks (Monique Jeanblanc)
Introduction to stochastic approximation with application to finance (Gilles Pagès)
A New Approach in Backward Stochastic Differential Equation (Zhongming Qian)
An introduction to G-expectation (Yongsheng Song)
Second order BSDE (Jianfeng Zhang)
Workshop on Stochastic Modelling and Applications to Finance
June 27th -- 30th
Titles and abstracts
Mohamed Ben Alaya (Université Paris 13)
Rama Cont (CNRS)
Areski Cousin (Université de Lyon I)
Stéphane Crépey (Université d'Evry)
Min Dai (National University of Singapore)
Sylvain Delattre (Université Paris 7)
Pierre Del Moral (INRIA)
Laurent Denis (Université d'Evry)
Nicole El Karoui (Université Paris 6)
Caroline Hillairet (Ecole Polytechnique)
Mingshang Hu (Shandong University)
Xiangdong Li (Institute of Applied mathematics, AMSS)
Gechun Liang (Oxford University)
Chunhua Ma (Nankai University)
Anis Matoussi (Université du Maine)
Shige Peng (Shandong University)
Monique Pontier (Université de Toulouse)
Mathieu Rosenbaum (Ecole Polytechnique)
Simone Scotti (Université Paris 7)
Shiqi Song (Université d'Evry)
Nizar Touzi (Ecole Polytechnique)
Dewen Xiong (Jiaotong University)
Phillip Yam (Chinese University of Hong Kong)
Zhongxing Ye (Jiaotong University)
Qi Zhang (Fudan University)
Xunyu Zhou (Oxford University)
Scientific Committee: Nicole El Karoui, Zhiming Ma, Shige Peng, Nizar Touzi, Liming Wu, Jia-An Yan
Organizing Committee: Fuzhou Gong, Ying Jiao, Gilles Pagès, Mingyu Xu
Contact us: Ying Jiao, Mingyu Xu