Research presentations
Number of the published data : 58
No. Subject of presentation Conference title (Medium,e.g. presentation pamphlet) Presentation date
1 Regularity of the law for an exit time for one-dimensional elliptic diffusions
Probability & Statistics Seminar, Kansas University
09/21/2016
2 Probabilistic Interpretation of the Parametrix Method.
Probability Seminar, Iowa State University
09/14/2016
3 Probabilist interpretation of the Parametrix method
Oslo University, Probability Seminar, Department of Mathematics
08/31/2016
4 Parametrix methods: Probabilistic interpretations
WORKSHOP: STOCHASTIC PROCESSES - NUMERICAL METHODS AND RELATED TOPICS
08/22/2016
5 On an alternative method for unbiased simulation for multidimensional stochastic differential equations and other applications.
オペレーションズリサーチ学会北海道支部. サマースクール 2016
06/08/2016
6 Probabilistic interpretation of the parametrix method
Modern methods of stochastic analysis and statistics
05/31/2016
7 Parametrix: Probabilistic interpretations
New trends in stochastic analysis
12/08/2015
8 The parametrix method applied to skew diffu- sions The parametrix method is a method in partial differential equations that allows the expansion of solutions for uniformly elliptic parabolic equations with Holder coefficients. In this talk, I will present a methodology to analyse the behaviour of the density of the so-called skew diffusions. This class of one dimensional diffusions have discontinuous coefficients at one point. We show how to apply the parametrix method using skew brownian motion. We also give some conclusions about the regularity of the density and a probabilistic representation.
Stochastic calculus, Monte-Carlo methods and Mathematical Finance A Conference in honor of Professor Vlad Bally
10/08/2015
9 Diffusion models with discontinuous coefficients
東北大学確率論セミナー
07/27/2015
10 Models with Discontinuous Coefficients
The Third Asian Quantitative Finance Conference
07/07/2015
11 Some methods of proof for the Euler-Maruyama scheme
Mathematical Finance and Related Issues
03/18/2015
12 The probabilistic parametrix method as a simulation method
Conference on Mathematical Analysis in Economic Theory
01/27/2015
13 The Parametrix as a Monte Carlo Simulation Method for SDEs
Quantitative Mathematical Finance QMF 2014
12/18/2014
14 The Parametrix Method and its Probabilistic Interpretations
Risk: Modelling, Optimization, Inference. 2014
12/12/2014
15 The parametrix method for jump sdes
Computational Methods for Jump Processes. Warwick,
07/08/2014
16 Stochastic di fferential equations with irregular coefficients.
Statistics, Jump Processes and Malliavin Calculus: Recent Applications. Barcelona
06/25/2014
17 Probabilistic representation of the parametrix method.
Stochastic Analysis in Finance and Insurance. Oberwolfach Workshop.
05/10/2014
18 The parametrix for non-markov processes
Seminar on Mathematical Finance, Numerical Probability and Statistics of Processes of LPMA
04/02/2014
19 A Survey on the Parametrix Method for Irregular Coefficients.
Third Mathematical Finance Joint Seminar. Atami, Japan
01/26/2014
20 LAMN property for jump type processes
Asymptotic Statistics and Related Topics: Theories and Methodologies
09/03/2013
21 Statistical inference and Malliavin calculus.
Special Session on Recent advance in stochastic processes and their applications. World Statistics Congress,
08/26/2013
22 Multi level Monte Carlo (MLMC) for irregular functions and irregular diffusions.,
International Workshop on Quantitative Finance,
03/18/2013
23 Approximations faibles pour quelques fonctionnelles irrégulières
Groupe de travail modélisation stochastique et finance
02/15/2013
24 Recent Advances in Infinite Dimensional Analysis with Applications
金融工学・数理計量ファイナンスの諸問題 2012
12/01/2012
25 Simulation of Levy Driven Stochastic Differential Equations by
Bernoulli special semester course
06/21/2012
26 Some Malliavin Calculus Techniques to Deal with Diffusions with Irregular Drifts
Stochastic Analysis and Its Applications
06/05/2012
27 On weak approximation of stochastic differential equations with discontinuous drift ceofficient.
Computational Stochastics
03/26/2012
28 Greeks and Simulation in models with jumps
conférence finance quantitative et statistique à Paris Diderot
03/01/2012
29 On the smoothness of the fundamental solution for some non-elliptic partial differential equation with non-smooth coefficients
Seminar of the Institute of Mathematics at Academia Sinica
12/19/2011
30 Approximations for SDEs driven by Levy processes
Workshop Rough Paths and Numerical Integration Methods21.-23.09.2011
09/23/2011
31 Estimates for the error of some simulationschemes for sde's driven by Lévy processes
35th Conference on Stochastic Processes and their Applications
06/19/2011
32 Approximation methods for stochastic differential equations driven by L'evy processes
Seventh Seminar onStochastic Analysis, Random Fields and Applications
05/24/2011
33 Methods to Deal with Non-smooth Coefficients in Malliavin Calculus
KU David Nualart Conference
03/19/2011
34 A Malliavin calculus method to study densities of additive functionalsof SDE's with irregular drifts
IMPACT-Workshop Peter Imkeller
02/26/2011
35 A Malliavin Calculus method to study SDE's with irregular drifts. 21/2/2011
INRIA, Sophia-Antipolis, Tosca project seminar.
02/11/2011
36 Department of Systems Engineering and Engineering Management.
Seminar at The Chine University of Hong Kong
12/29/2010
37 A Malliavin Calculus method to study SDE's with irregular drifts. Indian Statistical Institute, Bangalore-India, August 13-17, 2010
ICM Satellite Conference on Probability and Stochastic Processes,
08/14/2010
38 Numerical Methods for SDEs driven by Levy processes. August 4-12, 2010.
Short course at Sydney University, Sydney- Australia,
08/04/2010
39 Approximations for SDE Driven by Levy Processes
KIER-TMU International Workshop on Financial Engineering
08/02/2010
40 A Malliavin Calculus method to study SDE's with irregular drifts. , Korea, July 14, 2010.
Ajou Conference in honour of Alain Bensoussan
07/14/2010
41 Malliavin Calculus for SDE's with irregular drift.
Seminar of Probability and Numerical Methods at Universite de Marne-La Vallee
05/07/2010
42 Recent results on Greek estimation for nancial quantities.
ICC Workshop on IT Convergence. KAIST, Korea.
02/18/2010
43 Higher order Monte Carlo Schemes for SDEs.
Workshop on Statistics and Mathematical Finance.
02/05/2010
44 Approximations for SDE's driven by L'evy processes.
France and Stochastics for and from Finance
08/05/2009
45 Approximations for SDE's driven by L'evy processes.
Third Conference on Numerical Methods in Finance
04/15/2009
46 Insiders as large traders
Special Seminar (Danwakai) Osaka University. Faculty of Engineering Sciences.
02/24/2009
47 Risk measures in Finance
Annual Meeting of the Spanish Statistic and Operation Research Society
02/12/2009
48 Insiders as large traders
Mathematical Finance and Related Fields (local workshop) at Kyushu University.
01/22/2009
49 semigroup approach for weak approximations with an application to infinite activity L'evy driven SDEs
Universitat de Barcelona
12/15/2008
50 Estimating multidimensional density functions using the Malliavin-Thalmaier formula.
Invited Session "Modelling the nancial markets". World Congress of the International Association of Statistical Computing.
12/06/2008
51 A semigroup approach for weak approximations with an application to in nite activity L'evy driven SDEs.
Workshop on Computational Methods with Applications in Finance, Insurance and the Life Sciences AND Stochastic Methods in Partial Di erential Equations and Applications of Deterministic and Stochastic PDEs.
11/18/2008
52 A semigroup approach for weak approximations with an application to in nite activity L'evy driven SDEs.
Workshop on Numerics and Stochastics
08/26/2008
53 Estimating multidimensional density functions using the Malliavin-Thalmaier formula.
Thematic Days. Centre de Recerca Matematica
06/25/2008
54 Weak Back equlibrium. Insider models for the max and arg max.
Finance Seminar
05/29/2008
55 Weak Kyle-Back models for the max and argmax.
Third Generalv Amamef Conference
05/06/2008
56 Weak Kyle-Back models for the max and argmax.
Stochastic Processes and Applications in Mathematical Finance.
03/20/2008
57 Weak Back equlibrium. Insider models for the max and arg max.
Chinese University of Hong Kong. Department of Industrial Engineering and Systems.
03/05/2008
58 Estimating multidimensional density functions using the Malliavin-Thalmaier formula.
Applicationsin Finance. International Conference of Mathematics on the 90th anniversary of the Ponti cia Universidad Catolica del Peru.
08/07/2007