Paris Bachelier Seminar

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Seminar

Séminaire Doctorants (9h00-11h00)

9h00-9h20 : Zakaria Bensaid
New characterization results for law-invariant BSDEs and risk measures

9h20-9h40 : Cyril Nefzaoui Blanchard
Piecewise constant policy approximation for the Quantile Hedging problem

9h40-10h00 : Arthur Bourdon
Linear independence properties of the signature components of time-augmented stochastic processes

10h00-10h20 : Break

10h20-10h40 : Sébastien Bieber
Optimal Exit Time for Liquidity Providers in Automated Market Makers

10h40-11h00 : Marius Chevallier
Shaping volatility surfaces with optimal transport: arbitrage repair, stress-testing and scenario generation

Séminaire Bachelier (11h15-12h15)

11h15-12h15 : Thibaut Mastrolia
Hawkes driven controlled system and reinforcement learning with DDPG

Date : 5 juin 2026

Place: Amphi Hermite

Mailing list:

Aim: The BACHELIER seminar, organized jointly with the Centre de Mathematiques Appliquées (Ecole Polytechnique), the CEREMADE (Université Paris Dauphine), the Centre de Recherche en Economie et Statistiques (CREST), the Laboratoire de probabilités, statistique et modélisation (Universite de Paris Cité et Sorbonne Université), the Laboratoire de Mathématiques et de Modélisation (Université d'Evry), and the CERMICS (Ecole des Ponts), has for aim to gather researchers in mathematical finance and markets practitioners in order to consider themes around the stochastic modelization in finance and the interactions between the theorical approachs, numerical ones and their applications.

Periodicity: The BACHELIER seminar meets on Friday morning from 11h15 to 12h15 (it may sometimes begin at 10h00 in case of double seminar). The BACHELIER lectures, which precede it, begin at 9h00 and finish at 11h00.

Place: Institut Henri Poincaré. Acces in RER B, station Luxembourg, or in Bus 21, 27, 38, 84 or 89. The number of the room is indicated on the billboard, that can be found at the the entrance of the building.

Organizing Committee:

Eduardo ABI JABER (Ecole Polytechnique) Aurélien ALFONSI (ENPC) Nicole EL KAROUI (Sorbonne Université)
Zorana GRBAC (Université Paris Cité) Caroline HILLAIRET (ENSAE-CREST) Monique JEANBLANC (Université d'Evry)
Gilles PAGES (Sorbonne Université) Huyen PHAM (Ecole Polytechnique) Zhenjie REN (Université d'Evry)
Paul GASSIAT (Université Gustave Eiffel) Olivier GUEANT (Université Paris Cité)
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