Cours à la "Vietnamese-French Summer School: Mathematical methods applied in the fields of Finance and Economics", Ho Chi Minh City (Août 2012). 26-Limit theorems for nearly unstable Hawkes processes Advanced financial technologies seminar, Stanford University, (le 09/11/2017). 45-Rough volatility: Evidence form option prices Electonic Communications in Probability, 17, article 25, 2012. Working paper, 2019. Joint Statistical Meeting, Denver (le 04/08/2008). Séminaire Econométrie de la Finance, CREST, (le 23/06/2011). with Marc Yor. Conference High Frequency Trading, Curse or Blessing ?, University of Vienna, (le 23/09/2016). 36-How to predict the consequences of a tick value change? Princeton University ORFIE seminar, Princeton, (le 17/11/2015). with Christian Y. Robert. with Mark Podolskij. Par ailleurs, Mathieu Rosenbaum est à l'origine du développement de la thématique "Sports Analytics" à l'X. Stochastics, 89 (6-7), p. 943-966, 2017. Encadrant avec Charles-Albert Lehalle du mémoire "Mesures de dépendances haute fréquence entre actifs financiers", par Aminata Dieye, Nicolas Huth, Sophie Genest et Matthieu Lasnier, Prix ASTEC du meilleur groupe de travail ENSAE en statistique ou finance 2007/2008. Séminaire de statistique, CEREMADE, Université Paris Dauphine (le 21/03/2008). Financial Econometrics Conference, Toulouse School of Economics (le 15/05/2009). with Jean Jacod. Séminaire de Probabilités, LPMA, (le 08/03/2011). A “lasso equivalent” of the Generalized Matrix Uncertainty Selector can also be defined (Rosenbaum and Tsybakov (2010), Sorensen et al. Mathematical Statistics Seminar, University of Heidelberg, (le 29/01/2013). Bernoulli satellite meeting: Asymptotic Statistics and Related Topics, Tokyo, (le 02/09/13). Statistics seminar, Hebrew University, (le 28/03/2016). Quantitative Finance, 18 (6), p. 933-949, 2018. Electronic Communications in Probability, 23 (61), p. 1-12, 2018. with Christian Y. Robert. Groupe de travail Probabilités-Statistiques-Contrôle, ENSTA, (le 11/04/2016). Furthermore, he is managing editor for “Quantitative Finance” and associate editor for “Electronic Journal of Statistics”, “Journal of Applied Probability”, “Mathematical Finance”,  “Mathematics and Financial Economics”, “Statistical Inference for Stochastic Processes”, “SIAM Journal in Financial Mathematics”, “Springer Briefs” and “Statistics and Risk Modeling”. International Conference on Stochastic Analysis and Applications, Hammamet, (le 11/10/2011). 23-Asymptotically optimal discretization of hedging strategies with jumps Séminaire de Probabilités, Université Paris 13, (le 26/03/2014). Journal of Multivariate Analysis, 101, 2434-2451, 2010. Groupe de travail « Modèles Stochastiques en Finance », École Polytechnique (le 31/03/2008). Academic Training:. SIAM Journal on Financial Mathematics, 1, 427-453, 2010. Mathematics and Financial Economics, Springer Verlag, 2013, 7 (4), pp.477-507. The Annals of Statistics, 41, 1462-1484, 2013. Séminaire de Probabilités et Statistiques, Université du Mans, (le 05/01/2012). Séminaire INRIA, équipe TOSCA, Sophia Antipolis, (le 23/05/2012). Bachelier colloquium, Metabief, (le 16/01/2017). Organisateur avec Peter Tankov du groupe de travail du LPMA: Finance Mathématique, Probabilités Numériques et Statistique des Processus, Membre du comité d'organisation des écoles d'été Second, Third and Fourth. Bernoulli, 19, 426-461, 2013. IASC-ARS conference, Singapore, (le 17/12/2015). He obtained his Ph.D from University Paris-Est in 2007. Dynstoch 2011, Heidelberg, (le 16/06/2011). Stochastic Analysis with applications in Biology and Finance, Berlin, (le 04/10/2016). Séminaire MODALX, Université Paris X (le 14/01/2010). with Omar El Euch, Thibaut Mastrolia and Nizar Touzi. Mathematical Statistics Seminar, WIAS Berlin, (le 02/02/2011). Rosenbaum M., Yor M. (2014) On the Law of a Triplet Associated with the Pseudo-Brownian Bridge. "Swing Options Valuation:a BSDE with Constrained Jumps Approach," Working Papers hal-00553356, HAL. 14-Testing the local volatility assumption: a statistical approach Congress in Honor of Yury Kutoyants 70th Birthday, Le Mans, (le 08/09/2016). A solution to the market making problem. 44-Asymptotic behavior of local times related statistics for fractional Brownian motion In: Donati-Martin C., Lejay A., Rouault A. 2011/2012-2015/2016 : Professeur à l'UPMC : Cours de Mesures de risques (M2), Statistique des données haute fréquence (M2), Mathématiques financières (M2), Méthodes statistiques en finance (M2), Processus markoviens de sauts (M1). Séminaire de Probabilités et Statistiques, Université du Mans (le 11/12/2008). with Frédéric Abergel and Charles-Albert Lehalle. HAL . with Romuald Elie and Marc Yor. 28-Simulating and analyzing order book data: The queue-reactive model Opening meeting of the DFG Research Training Group, Berlin, (le 17/11/2012). Séminaire Chaire "Risques financiers", X-Ponts-Société Générale, institut Louis Bachelier (le 17/11/2008). 15-Statistical finance at the École Polytechnique, Paris: the informal FIESTA research group Market Microstructure and Liquidity, 3 (4), 1850005, 2017. with Masaaki Fukasawa. 58-From asymptotic properties of general point processes to the ranking of financial agents. 2nd Heidelberg-Mannheim Stochastics Colloquium, Heidelberg, (le 26/11/2015). with Jim Gatheral and Thibault Jaisson. Working paper, 2018. (2018)).We refer to Sorensen et al. Il a par exemple initié des partenariats avec l’entreprise Opta Sports, avec la Ligue de football professionnel et le Paris-Saint Germain avec lequel il a coorganisé le hackathon "Sports Analytics Challenge" en 2019. In fact, REM can be used to extract relevant information about … with Thibault Jaisson. with Marc Yor. Some papers and preprints: • (with Peter Friz and Radoš Radoičić) Cumulants and Martingales. with Christian Y. Robert. Practitioners version in Global Trading, 50, 2014 Q2. Nomura Seminar, University of Oxford, (le 25/11/2011). She is also an AASECT certified sex therapy supervisor. "Market Microstructure, Confronting Many Viewpoints", Paris, 6-10 décembre 2010, with Charles-Albert Lehalle and Othmane Mounjid. The Annals of Statistics, 38, 2620-2651, 2010. with Sylvain Delattre and Christian Y. Robert. 9-The model with uncertainty zones for ultra high frequency prices and durations; Séminaire de Statisques, Université Rennes 1, (le 30/01/2015). Journal of Financial Econometrics, 9, 344-366, 2011. Professeur résident à l'Ecole Polytechnique, Centre de Mathématiques Appliquées (CMAP) (2016-). 2009/2010-2010/2011 : Cours de Mathématiques Financières à l'Université de Fudan à Shanghai with Jiatu Cai, Masaaki Fukasawa and Peter Tankov. 2019-present: participation to the chair IDR re2a directed by Alexandre Brouste, Anis Matoussi, Mathieu Rosenbaum and Nizar Touzi, 2018-present: working group ARC on actuarial risk with Caroline Hillairet and Olivier Lopez, 2016-2018: participation to the chair … Cornell-Manhattan Finance Seminar (le 04/06/2014). Working paper, 2018. James T. Rosenbaum (born September 29, 1949) is an American physician-scientist who is Chief of Ophthalmology emeritus at the Legacy Devers Eye Institute, Portland, Oregon, where he held the Richard Chenoweth Chair, and Chief of Arthritis and Rheumatic Diseases at the Oregon Health & Science University where he holds the Edward E Rosenbaum Professorship in Inflammation Research. Workshop "Market Frictions", Institut Henri Poincaré, Paris, (le 16/09/2010). To appear in Mathematical Finance, 2019. with Omar El Euch and Jim Gatheral. Managing editeur pour Quantitative Finance. with Laurent Duvernet and Christian Y. Robert. Groupe de travail de statistique du LPMA, Université Paris 6 (le 03/05/2010). with Mark Podolskij. 6-Sparse recovery under matrix uncertainty The Annals of Applied Probability, 28 (6), p. 3813-3856, 2018. Fees and scholarships. Conférence SPA 2009, TU Berlin (le 27/07/2009). Journal of the Royal Statistical Society (B), 79 (3), p. 939-956, 2017. Stochastic Processes and Their Applications, 121, 1607-1632, 2011. Séminaire du SAF, Université Lyon 1, (le 15/02/2013). Measuring Risk conference, Princeton University, (le 08/10/2011). Cours à la Bachelier Winter School, Metabief, (21-23/01/2014). Research project mentored by Professor Mathieu Rosenbaum (Ecole Polytechnique) Studied deterministic and stochastic data sampling schemes for estimation of integrated volatility to mitigate the micro-structure effects in high-frequency setting (bias) as well as reduce the estimation error (variance) with Paul Doukhan and Hélène Madre. Cours à la Summer School "Greek Stochastics Epsilon", Kalamata, (06-08/07/2013). Mathieu Rosenbaum’s research mainly focuses on statistical finance problems, such as market microstructure modeling or designing statistical procedures for high frequency data and on regulatory issues, especially in the context of high frequency trading. with Peter Tankov. Journée doctorants du séminaire Bachelier, Paris (le 22/06/2007). Spring School Cremma V, ENIT Tunis, (22-23/04/2015). Séminaire Chaire "Risques financiers", X-Ponts-UPMC-Société Générale, (le 30/05/2012). Groupe de travail « Méthodes Stochastiques et Finance», LAMA, Université de Marne-La-Vallée (le 09/12/2005). Liquidity and Tick Size conference, NYSE-Euronext London, (le 16/12/2013). Global Derivatives, Barcelona, (le 10/05/2017). 10th European Summer School in Financial Mathematics, Dresden, (Août 2017). Malka Elisheva Schaps (Mary Elizabeth Schaps) Born August 6, 1948, Cleveland, Ohio Immigrated to Israel, August 1972. with Bastien Baldacci, Philippe Bergault and Joffrey Derchu. Optimization and Equilibrium, Two-days Workshop (by invitation) - Concepci on - Chile (April 2017). Séminaire parisien de statistique, Paris (le 17/09/2007). Mathieu Rosenbaum is a full-time professor at Ecole Polytechnique, where he holds the chair “Analytics and Models for Regulation”. 29-Large tick assets: implicit spread and optimal tick size Working paper, 2019. "Statistics for Stochastic Processes : Inference, Limit Theorems, Finance and Data Analysis 1-2-3-4", Journée en l'honneur de George Papanicolaou, Université Paris 7, (le 01/12/2011). Evidence from the Tokyo Stock Exchange pilot program IISE Transactions, 50 (9), p. 767-776, 2018. Lehalle). Generalized Matrix Uncertainty Lasso. Our main result is that log-volatility behaves essentially as a fractional Brownian motion with Hurst exponent H of order 0.1, at any reasonable time scale. Risk and Stochastics conference, LSE, (le 9/05/2013). Working paper, 2019. Thèse de Doctorat à l’Université Paris-Est (Laboratoire d’Analyse et de Mathématiques Appliquées- LAMA) et au CREST, en collaboration avec BNP-Paribas (2007). Electronic Journal of Statistics, 10, p. 1729-1750, 2016. Stochastic Analysis and Statistical Inference V, University of Tokyo (le 22/02/2010). Conference Asymptotics in Finance, University of Chicago, (le 03/05/2012). Bernoulli, 15, 687-720, 2009. 52-No-arbitrage implies power-law market impact and rough volatility. Séminaire Probabilités et Mathématiques Financières, Université d'Evry, (le 27/01/2011). Conference Mathematical Finance and Related Issues, Osaka University, (le 17/02/2015). with Weibing Huang and Pamela Saliba. Journée Mathématiques Financières , Université d'Evry (le 21/02/2013). Statistics for Stochastic Differential Equations Models, Cartagena, Espagne (le 10/05/2007). 56-Assessing MiFID 2 regulation on tick sizes: A transaction costs analysis viewpoint. The Annals of Applied Probability, 27 (4), p. 2455-2514, 2017. Séminaire de Statistique, Université Rennes 1, (le 24/06/2011). Groupe de travail « Méthodes Stochastiques et Finance», LAMA, Université Paris-Est Marne-La-Vallée (le 15/01/2010). Séminaire de finance-assurance du laboratoire de finance du CREST (le 06/12/2007). Mathematical Finance, 29 (1), p. 3-38, 2019. Mathieu Rosenbaum (University Paris 6) Patrick Sentis (University of Montpellier) Paolo Sodini (Stockholm School of Economics) Ariane Szafarz (Université Libre de Bruxelles) Christophe Spaenjers (HEC Paris) ... CV Research Interests: continuous-time finance, production models. He also received the 2020 Louis Bachelier Prize. 38-Linear and conic programming estimators in high-dimensional errors-in-variables models Séminaire de Statistiques du CREST, (le 23/01/2017). This GMU Lasso is implemented in hdme, and can be called with the function gmu_lasso.The snippet below shows its use. 1-Weak dependence for infinite ARCH-type bilinear models 5-On the limiting spectral distribution of the covariance matrices of time-lagged processes with Christian Y. Robert. Dealing with the Inventory Risk. Financial Mathematics Seminar, the Stevanovich center for financial mathematics, University of Chicago (le 14/12/2007). "Advances in Financial Mathematics", Paris, 10-13 janvier 2017. In particular, he is one of the organizers of the conference “Market Microstructure, Confronting Many Viewpoints“, which takes place every two years in Paris. Professeur Chargé de Cours à l'Ecole Polytechnique, Centre de Mathématiques Appliquées (CMAP)  (2011-2016). Mathematical Finance, 22, 133-164, 2012. Statistics and Finance seminars, Columbia University, (les 7 et 10/10/2013). Bachelier World Congress, New York, (le 19/07/2016). Séminaire de Probabilités-statistiques de l’université Paris 13 (le 06/06/2007). Responsable de la chaire Analytics and Models for Regulation. with Marc Yor. with Emmanuel Bacry and Marc Hoffmann. 4-Integrated volatility and round off error 41-Volatility is rough Market Microstructure and Liquidity, 1, 1550003, 2015. with Paul Jusselin and Thibaut Mastrolia. Working paper, 2019. This effort is substantially extended, edited and updated. Workshop on Stochastic and Quantitative Finance, Imperial college London, (le 29/11/2014). Journée "dépendance", ENGREF Paris (le 05/06/2009). Quantitative Finance retrospective workshop, Fields Institute Toronto, (le 27/10/2013) Caltech Engineering and Applied Science faculty work at the edges of fundamental science to invent the technologies of the future. Conference in Memory of Marc Yor, Université Paris 6, (le 04/06/2015). Journal of the American Statistical Association, 110, 107-122, 2015. of Minnesota Magnetic characterization of oceanic gabbros 2010-2011 Kimberly Yauk – undergraduate, Univ. Sino-French Summer Institute, Beijing, (le 30/06/2011). with Thibault Jaisson. Workshop Stochastic Analysis in Finance and Insurance, Oberwolfach, (04-10/05/2014). with Jiatu Cai and Peter Tankov. "Dynstoch 2012". ESAIM-PS, 19, 578-589, 2015. SIAM Journal on Financial Mathematics, 10 (2), p. 491-511, 2019. que pourrait contenir cette page personnelle qui est sous la responsabilité de son auteur. NUS-University Paris Diderot conference, (le 14/09/2015). 18-Improved matrix uncertainty selector with Bastien Baldacci and Paul Jusselin. with Paul Jusselin. hal-01393110 QASS conference, Queen Mary University London (le 17/06/2009). 12-A new approach for the dynamics of ultra high frequency data: the model with uncertainty zones Marie Bernhart & Huyên Pham & Peter Tankov & Xavier Warin, 2011. View Matthieu Morvan’s profile on LinkedIn, the world's largest professional community. with Alexandre Belloni and Alexandre Tsybakov. Statistics and Probability Letters, 79, 55-62, 2009. Agnes Varda’s “Kung-fu master!” is a French film that tells the story of a love affair between a 40-year-old woman and a 15-year-old boy. Fields institute seminar, Toronto, (le 31/01/2018). • (with Paul Jusselin, and Mathieu Rosenbaum) The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem.. Risk, Forthcoming (2020). VMS-SMF Joint Congress, Hue, (le 21/08/2012). with Weibing Huang and Charles-Albert Lehalle. Mannheim Probability and Statistics Seminar, (le 14/12/2016). AMAMEF Conference, Lausanne, (le 09/09/2015). Conference Statistics for Stochastic Processes, Paris, (le 19/12/2013). 13-Volatility and covariation estimation when microstructure noise and trading times are endogenous Workshop Statistics, Jump Processes and Malliavin Calculus, Barcelona, (le 26/06/2014). 40-Asymptotic optimal tracking: feedback strategies "Market Microstructure, Confronting Many Viewpoints 4", Paris, 6-9 décembre 2016. CV/resume; Statement of purpose; You will receive an answer in your candidate space within 2 months of the closing date for the application session. with Eyal Neuman. Financial Economics Seminar, BI Oslo, (le 04/12/2013). (eds) Séminaire de Probabilités XLVI. Swarthmore College, Swarthmore, Pennsylvania, 1965-1969 Westinghouse Science Talent Search Scholarship Phi … Co-responsable avec Nicole El Karoui, Emmanuel Gobet et Gilles Pagès du Master 2 Probabilités et Finance, UPMC et Ecole Polytechnique. Recent Advances in High Frequency Financial Econometrics, London School of Economics (le 15/11/2008). The Fascination of Probability, Statistics and their Applications, In Honour of Ole E. Barndorff-Nielsen, Springer, 283-301, 2016. Paris-Southeast Asia Conference in Mathematical Finance, Siem Reap, (le 07/02/2015). with Aditi Dandapani and Paul Jusselin. Stochastic Processes and Their Applications, 122, 3901-3920, 2012. Stochastic Colloquium, Göttingen Universität, (le 09/02/2011). 7th European summer school in financial mathematics, Oxford, (le 04/09/2014). Advances in Applied Probability, Annals of Applied Probability, Annals of Statistics, Applied Mathematical Modelling, Bernoulli, Biometrika, Computational Statistics and Data Analysis, Econometrica, Econometric Theory, Electronic Communications in Probability, Electronic Journal of Probability, Electronic Journal of Statistics, ESAIM PS, Finance and Stochastics, International Journal of Theoretical and Applied Finance, Journal of the American Statistical Association, Journal of Applied Probability, Journal of Banking and Finance, Journal of Econometrics, Journal of Economic Dynamics and Control, Journal of Finance, Journal of Financial Econometrics, Journal of Multivariate Analysis, Journal of the American Statistical Association, Journal of the Japan Statistical Society, Journal of the Royal Statistical Society B, Journal of Statistical Planning and Inference, Management Science, Mathematical Finance, Mathematics and Financial Economics, Operations Research, Statistics and Probability Letters, Studies in Nonlinear Dynamics & Econometrics, Quantitative Finance, Scandinavian Journal of Statistics, SIAM Journal on Financial Mathematics, Statistica Sinica, Stochastic Processes and Their Applications. Econophysics Of Order-Driven Markets, Springer, 2011. Working paper, 2020. A note on Almgren-Chriss optimal execution problem with geometric Brownian motion, Mathieu Rosenbaum – 2020 Louis Bachelier Prize Winner, “The information content of high-frequency traders aggressive orders: recent evidence” at Quantitative Finance, Solving the enigma of volatility smiles – Quantitative Regulation, The quadratic rough Heston model and the joint S&P 500/Vix smile calibration problem, Market Microstructure, Confronting Many Viewpoints, From microscopic price dynamics to multidimensional rough volatility models, From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect, Optimal make take fees in a multi market maker environment, From asymptotic properties of general point processes to the ranking of financial agents, Optimal auction duration: A price formation viewpoint, From Glosten-Milgrom to the whole limit order book and applications to financial regulation, No-arbitrage implies power-law market impact and rough volatility, Optimal make-take fees for market making regulation, The behaviour of high-frequency traders under different market stress scenarios, The microstructural foundations of leverage effect and rough volatility, How to predict the consequences of a tick value change? After being Assistant Professor at École Polytechnique, he became Professor at University Pierre et Marie Curie (Paris 6) in 2011. 33-The different asymptotic regimes of nearly unstable autoregressive processes Séminaire de Probabilités XLVI, 359-375, 2014. Consultez le profil complet sur LinkedIn et découvrez les relations de ZHANG, ainsi que des emplois dans des entreprises similaires. Professeur Chargé de Cours résident à l'Ecole Polytechnique, Centre de Mathématiques Appliquées (CMAP)  (2008-2011). 55-Optimal liquidity-based trading tactics. Séminaire de Statistique, ENSAE, (le 31/03/2014). "Market Microstructure, Confronting Many Viewpoints 3", Paris, 8-11 décembre 2014. Conference Celebrating the Scientific Achievements of Ole Barndorff-Nielsen, Aarhus, (le 17/06/2015). 2008/2009-2015/2016 : Professeur Chargé de Cours à l'Ecole Polytechnique : Cours de Probability Theory, TDs de Calcul Stochastique/Mathématiques Financières et Statistique, encadrement d' "EA". 3-First order p-variation and Besov spaces Séminaire de Probabilités et Statistiques, Université Paris 11, (le 28/04/2011). 8-Testing the type of a semi-martingale: Ito against multifractal 2009/2010-2011/2012 : Cours de Trading Haute Fréquence Optimal à l'ENSAE et pour le master MASEF (avec Charles-Albert Lehalle). "European Summer School in Financial Mathematics", Paris 24-29 août 2009, Paris 23-27 août 2010, Zurich 5-9 septembre 2011 et des conférences. 16-Testing the finiteness of the support of a distribution: a statistical look at Tsirelson's equation with Marc Hoffmann and Nakahiro Yoshida. with Alexandre Tsybakov. HAL; HALSHS; TEL; MédiHAL; Liste des portails; AURéHAL; API; Data; Documentation; Episciences.org 39-Asymptotic lower bounds for optimal tracking: a linear programming approach Workshop Statistics for Stochastic Processes, University of Tokyo, (le 23/02/2011). Vienna Congress on Mathematical Finance, Vienna, (le 14/09/2016). Journée des chaires de l'institut Louis Bachelier, Paris, (le 20/10/2017). Working paper, 2019. 2-Estimation of the volatility persistence in a discretely observed diffusion model 21-Estimating the efficient price from the order flow: a Brownian Cox process approach Statistique des modèles financiers et mathématiques financières, données haute fréquence, microstructure des marchés, économétrie de la finance, modèles à volatilité stochastique, mouvement brownien fractionnaire, mémoire longue, espaces de Besov et estimation par ondelettes, sparsité, matrices aléatoires. Quant summit, London, (le 15/03/2017). She cohosts the Intimate Judaism podcast and is co-author of […] Working paper, 2018. with Khalil Dayri. Finance Seminar, ETH Zürich (le 27/06/2010). Séminaire de Statistiques, TSE, (le 18/10/2013). London Mathematical Finance Seminar, University College London, (le 12/02/2015). Mathieu Rosenbaum & Peter Tankov, 2011. with Sophie Laruelle and Emel Savku. SIAM Journal of Financial Mathematics, 7,  34-69, 2016. Stochastic Processes and Their Applications, 118, 1434-1462, 2008. Organizers: Mathieu Rosenbaum Nour Meddahi, Toulouse School of Economics, France. He received the Europlace Award for Best Young Researcher in Finance in 2014 and the European Research Council Grant in 2015. Workshop on Extreme Value and Time Series Analysis, Karlsruhe, (le 21/03/2016). Conference Stochatic Modeling, Verona, (le 19/12/2017). Finance and Stochastics seminar, Imperial College London, (le 15/02/2017). Workshop "Risk Modelling and High Frequency Data" , TU Munich (le 16/06/2008). Statistique Asymptotique des Processus Stochastiques VII , Université du Mans (le 17/03/2009). Workshop on Recent Advances in High-Frequency Statistics, Humbolt Universitat Berlin, (le 21/11/2014). Recent Developments in the Statistics of high Frequency Data, TSE, (le 13/11/2013) Analytics and Models for Regulation at CMAP – École Polytechnique. Séminaire Bachelier, Institut Henri Poincaré, (le 05/12/2014). Financial Econometrics Conference, Université Toulouse 1, (le 22/05/2015). This leads us to adopt the fractional stochastic volatility (FSV) model of Comte and Renault. 2004/2005 : Khôlles de mathématiques en PCSI au lycée Fénelon. 37-Ergodicity and diffusivity of Markovian order book models: a general framework Advances in Stochastic Analysis for Risk Modeling, CIRM, Marseille, (le 16/11/2017). "Le centre de la Recherche en Économie et Statistique ne peut être tenu responsable pénalement des infractions aux lois Candidatures et calendrier des … Ever since, the focus on REM has expanded because of its potential applicability in telecommunications. Toggle navigation. arXiv … with Othmane Mounjid and Pamela Saliba. Journal of Financial Econometrics, 16 (4), p. 588-598, 2018. 25-Understanding the stakes of high frequency trading with Omar El Euch and Masaaki Fukasawa. Financial Econometrics conference, TSE, (le 17/05/2013). 54-Pivotal estimation via self-normalization for high-dimensional linear models with error in variables. Journée "dépendance", ENGREF Paris (le 05/06/2009). World Statistics Congress, Hong Kong, (le 30/08/13). Co-responsable du Master Probabilité et Finance. with Giulia Livieri, Saad Mouti and Andrea Pallavicini. 10-A new microstructure noise index Mathematical Finance seminar, ETH Zurich, (le 28/11/2013). Depuis 2016: Professeur à l'Ecole Polytechnique: Cours de Modélisation statistique (3e année), Méthodes statistiques en finance (M2), Finance haute fréquence: outils probabilistes, modélisation statistique à travers les échelles et trading optimal (M2), Encadrement de projets (3e année). Find out more about scholarships. Risk Magazine, May 2020. EDF R&D research-engineer in financial economics of energy markets (1998-2003) and manager (2003-2006). Editeur de "Market Microstructure, Confronting Many Viewpoints" (2012), Workshop on Fractional Brownian Motion and Rough Models, Barcelona, (le 08/06/2017). Encadrement de groupes de travail de 3e année ENSAE. Séminaire Finance, Université Rennes 1 (le 26/06/2008). The Annals of Applied Probability, 24, 1002-1048, 2014. CURRICULUM VITAE. with Alexandre Belloni and Alexandre Tsybakov. Global Derivatives, Budapest, (le 11/05/2016). 7-On the microstructural hedging error Sujet : « Étude de quelques problèmes d’estimation statistique en finance ». International Conference on Quantitative Finance, Insurance and Risk-Management, Marrakech, (le 09/10/2014). ICIAM 2015, Beijing, (le 13/08/2015). • (with Omar El Euch, Radoš Radoičić and Mathieu Rosenbaum) The Zumbach effect under rough Heston. 53-Optimal make-take fees for market making regulation. with Alexandre Belloni, Victor Chernozhukov, Abhishek Kaul and Alexandre Tsybakov. with Omar El Euch. Groupe de travail « Probabilités Numériques et Finance », LPMA, Université Paris 6 (le 27/03/2008). Seminar on Stochastic Analysis and Stochastic Finance, TU Berlin, (le 28/04/2016). Large Deviations and Asymptotic Methods in Finance, Springer Proceedings in Mathematics & Statistics, 559-590, 2015. Mathieu ROSENBAUM - Professeur - bureau 00 3010 Erwan SCORNET - Maître de Conférences - bureau 00 2034 Amandine VEBER - Maître de Conférences - bureau 00 3007 and Mathieu Rosenbaum. Joint IMU-AMS conference, Tel Aviv, (le 16/06/2014). Mathematical Finance seminar, Osaka University, (le 21/02/2012). with Omar El Euch, Masaaki Fukasawa and Jim Gatheral. with Jean Jacod. 2008/2009-2009/2010 : TDs d'Estimation Fonctionnelle à l'ENSAE. Mathematical Finance Seminar, Osaka University, (le 12/01/2016). Curriculum Vitae Resume Professor of economics at Paris-Dauphine University since 2016 and lecturer at the Ecole Polytechnique since 2015. Accepted Papers. Cours à l'école d'été "Summer School in Risk Management and Risk Sharing", UBC Vancouver (Juillet 2010). 30-Random scaling and sampling of Brownian motion 32-Optimal discretization of hedging strategies with directional views He also has several editorial activities.
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