International Conference on Quantitative Finance, Insurance and Risk-Management Thursday October 09 : Quantitative Finance and Risk-Management 08h00 08h30 09h00 Registration Greetings : Noureddine Mouaddib / Youssef Ouknine Antoine Frachot 10h45 Are Banks Special? 11h15 The Impact of Dividend Policy on the Valuation of Equity, Debt and Credit Risk Dan Galai Professor, Center for academic Studies Michel Crouhy, Head of R&D - Natixis Credit Valuation Adjustments and local times Bernard Lapeyre, Ecole des Ponts ParisTech 09h30 Mathematics and Finance, Risk and Regulation: 25 years of training and research close to financial markets Nicole El Karoui, Ecole Polytechnique 11h45 Path-wise Ito calculus and scenario analysis of hedging strategies Rama Cont, Imperial College, London, England 10h00 Risk Modelling in Financial Optimization and its Statistical Connections 12h15 Projet LoLitA : Longevity with Lifestyle A Stéphane Loisel, ISFA, Université Lyon 1 12h30 Lunch R. Tyrrell Rockafellar, USA 1030 Coffee Break Academic Session 14h00 14h30 Professional session Robust hedging and martingale optimal transport 14h Robust long-term allocations for institutional investors Nizar Touzi François Oustry Professor, Ecole Polytechnique CEO Raise Partner Last passage times and Black -Scholes formula 14h30 Youssef Ouknine, University Cadi Ayyad – Marrakech Estimation de la fair-value des contrats d’épargne en assurance-vie avec clause de participation aux bénéfices François Bonin Actuaire Senior, Hiram Finance 15h00 On the equivalence of nancial structures with long-term assets 15h00 Etienne Koehler Jean-Marc Bonnisseau Head of CVA Risk Modelling, HSBC Bank, London Professor, University Paris 1 15h30 Impact de la régulation sur la valorisation des produits financiers Valuation in illiquid markets and the Feynman-Kac representation 15h30 Gestion des risques des filiales à l’international Mohamed El Harim , BMCE Bank Ernst Eberlein , University of Freiburg, Germany 16h00 Coffee Break 16h30 Coffee Break Liquidity and market impact for hedging and pricing derivatives Frederic Abergel 16h30 Gestion et gouvernance du risqué de modèle Pascal Gibart CACIB Paris Professor, ISFA Lyon, France 17h 20h30 Simulating and analyzing order book data: The queuereactive model La modélisation d’options sur actifs non cotés Mathieu Rosenbaum, Université Paris 6 Hiram Finance Philippe Lacombe Cocktail & Gala Dinner International Conference on Quantitative Finance, Insurance and Risk-Management Friday October 10 : Applied Sessions Academic Session Professional session Session 4 : Finance quantitative 09h Multilevel Richardson-Romberg extrapolation for fast Monte Carlo simulation Session 5 : Assurance/Risk-Management 9h00 Gilles Pagès, Valuation challenges and market trends in derivatives pricing: a practitioner point of view Eric Benhamou, Head of Innovation, Reuters University Paris 6 09h30 Existence and optimality conditions in stochastic control 09h30 Risque de modèle dans la gestion d’un portefeuille de projet d’infrastructure en partenariat public-privé Brahim Mzerdi, University de Biskra, Algeria Aziz Enasri 10h00 On some quickest detection problem related to longevity risk Yahia Salhi, ISFA, Université Lyon 1 10h30 BlueCap Consulting, Paris 10h00 Adil Reghai, Head of Equity R&D, NATIXIS 10h30 Coffee Break 11h00 11h30 Modeling perspective in Finance Coffee Break How does asymmetrical information create market incompleteness? Anne Eyraud-Loisel, ISFA Université Lyon 1 : 11h00 Optimal investment and contingent claim valuation in illiquid markets 11h30 Utilisation des réseaux neurones dans la calibration d’un système de mini-crise Eric Fodjo Consultant Senior, I-FIHN Consulting, Paris Teemu Pennanen, King’s’ College, London Equity portfolio insurance against a benchmark: Setting, replication and optimality Hamza Bahaji HATIXIS Asset Management 12h30 Lunch Après-midi du vendredi 10 octobre 15h00 Le dispositif de gestion des risques dans le secteur bancaire marocain Abdeladim Bouzza, Bank Al Maghrib 15h00 Modélisation de la mortalité d'expérience en Afrique subsaharienne francophone Aymric KAMEGA Université de Bretagne 15h45 New challenge between Finance and Insurance : the example of Longevity risk : introduction to basic life insurance 15h30 On the valuation and risk-management of foreign exchange financial products Nordine Choukar Partner Mazars Alexander Boumezoued, University Paris 6 16h00 16h00 Coffee Break 16h30 Coffee Break 16h30
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