Purpose of the thematic cycle

Monte-Carlo methods are already widely used by the financial industry to price derivatives, estimate risks, or to calibrate/estimate models. They can also be used to handle big data, in machine learning, to perform online optimization, to study the propagation of uncertainty in fluid mechanics or geophysics. Under the same label «Monte-Carlo», one actually finds very different techniques and communities that evolve in different directions. This thematic cycle aims at confronting the different viewpoints of these communities and at contributing to a general reflexion on how these techniques can be used by the financial industry. It will gather together actuaries, data scientists, economists, risk managers and mathematicians specialized in Monte-Carlo techniques in finance. It is organized by various academic institutions located in Paris, with the financial support of the Louis-Bachelier Institute.

During this cycle, we will mainly focus on three topics:

- Propagation of uncertainty
- Particle methods for the management of risks
- Stochastic algorithms and big data.

For each topic, academic lectures of eight to twelve hours will be given, and followed by a one day workshop. The lectures aim at presenting the most advanced technologies while being accessible to young researchers. More specialized talks will be organized during the workshops, as well as round tables so as to create interactions between academics and practitioners. A final conference will conclude the cycle.


Organizers

- Bruno Bouchard (University Paris Dauphine)
- Areski Cousin (ISFA, University Lyon 1)
- Virginie Ehrlacher (Ecole des Ponts ParisTech)
- Romuald Elie (University Paris-Est Marne La Vallée)
- Gersende Fort (Télécom ParisTech)
- Stéphane Gaiffas (Ecole Polytechnique)
- Emmanuel Gobet (Ecole Polytechnique)
- Benjamin Jourdain (Ecole des Ponts ParisTech)
- Gilles Pagès (University Pierre et Marie Curie)


Scientific committee


- René Carmona (Princeton University)
- Nicole El Karoui (University Pierre et Marie Curie)
- Pierre Henry-Labordère (Société Générale)
- Julien Guyon (Bloomberg)
- Monique Jeanblanc (University of Evry)
- Bernard Lapeyre (Ecole des Ponts ParisTech)
- Charles-Albert Lehalle (Capital Fund Management)
- Eric Moulines (Télécom ParisTech)
- Nadia Oudjane (EDF RD)
- Huyen Pham (University Paris Diderot)
- Christian Robert (University Paris Dauphine)
- Denis Talay (INRIA Sophia Antipolis)
- Nizar Touzi (Ecole Polytechnique)


Sponsors

Louis Bachelier Institute, Chaire Risques Financiers, Chaire Finance et Développement durable, Chaire Economie des nouvelles données, Chaire Marchés en mutation, ANR ISOTACE, Institut Henri Poincaré.