mathieu rosenbaum cv

Financial Econometrics Conference, Imperial College London (le 17/05/2008). Professeur Chargé de Cours à l'Ecole Polytechnique, Centre de Mathématiques Appliquées (CMAP)  (2011-2016). 14-Testing the local volatility assumption: a statistical approach 11-Asymptotic results for time-changed Lévy processes sampled at hitting times Joint Statistical Meeting, Denver (le 04/08/2008). This GMU Lasso is implemented in hdme, and can be called with the function gmu_lasso.The snippet below shows its use. 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". Mathematical Finance seminar, Osaka University, (le 21/02/2012). Curriculum Vitae Resume Professor of economics at Paris-Dauphine University since 2016 and lecturer at the Ecole Polytechnique since 2015. Working paper, 2019. Cours à la Summer School "Greek Stochastics Epsilon", Kalamata, (06-08/07/2013). applications to statistical estimation and mathematical finance Séminaire de Probabilités XLVI, 359-375, 2014. Mathematical Statistics Seminar, University of Heidelberg, (le 29/01/2013). Seminar MODALX, Université Paris X (le 17/01/2013). "Market Microstructure, Confronting Many Viewpoints 2", Paris, 10-13 décembre 2012. Professeur résident à l'Ecole Polytechnique, Centre de Mathématiques Appliquées (CMAP) (2016-). 34-An {l_1,l_2,l_infinity}-regularization approach to high-dimensional errors-in-variables models 22-On the expectation of normalized Brownian functionals up to first hitting times with Christian Y. Robert. In: Donati-Martin C., Lejay A., Rouault A. with Paul Jusselin and Thibaut Mastrolia. 31-Some explicit formulas for the Brownian bridge, Brownian meander Mathematical Finance, 22, 133-164, 2012. hal-01393110 Working paper, 2019. Statistics, 41, 31-45, 2007. 17-Central limit theorems for realized volatility under hitting times of an irregular grid 1-Weak dependence for infinite ARCH-type bilinear models 2009/2010-2011/2012 : Cours de Trading Haute Fréquence Optimal à l'ENSAE et pour le master MASEF (avec Charles-Albert Lehalle). Financial Econometrics conference, TSE, (le 17/05/2013). with Marc Hoffmann and Nakahiro Yoshida. QASS conference, Queen Mary University London (le 17/06/2009). Workshop Statistics, Jump Processes and Malliavin Calculus, Barcelona, (le 26/06/2014). Stochastic Processes and their Applications, 123, 2603-2619, 2013. Habilitation à diriger les recherches (2010). Mathematical Finance, 29 (1), p. 3-38, 2019. A complete list of papers can be found at his page. Stochastic Analysis in Finance and Insurance, Oberwolfach, (le 02/03/2017). Finance Seminar, University of Geneva, (le 11/02/2016). Séminaire Chaire "Risques financiers", X-Ponts-UPMC-Société Générale, (le 30/05/2012). AMAMEF Conference, Lausanne, (le 09/09/2015). Workshop The Mathematics of High Frequency Financial Markets, IPAM-UCLA, (le 16/04/2015). Atelier Trading et Microstructure, Collège de France (le 10/12/2008). 20-Quarticity and other functionals of volatility: efficient estimation Groupe de travail « Modèles Stochastiques en Finance », École Polytechnique (le 31/03/2008). Some papers and preprints: • (with Peter Friz and Radoš Radoičić) Cumulants and Martingales. Spring School Cremma V, ENIT Tunis, (22-23/04/2015). 60-From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect. with Sophie Laruelle and Emel Savku. 30-Random scaling and sampling of Brownian motion 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. Responsable de la chaire Analytics and Models for Regulation. plaintiff: jerry goldstein, joel honegger, michael mathieu, onofrio pecoraro, howard rice, michael rosenbaum, birchwood capital advisors, inc. and pto acquisition, inc. IISE Transactions, 50 (9), p. 767-776, 2018. 54-Pivotal estimation via self-normalization for high-dimensional linear models with error in variables. Statistics and Finance seminar, University of Chicago, (le 17/01/2014). Electronic Journal of Statistics, 4, 1300-1323, 2010. Evidence from the Tokyo Stock Exchange pilot program Evidence from the Tokyo Stock Exchange pilot program, Large tick assets: implicit spread and optimal tick size, Simulating and analyzing order book data: The queue-reactive model, Understanding the stakes of high frequency trading, Limit theorems for nearly unstable Hawkes processes, Estimating the efficient price from the order flow: a Brownian Cox process approach, A new approach for the dynamics of ultra high frequency data: the model with uncertainty zones, Volatility Estimation under Endogenous Microstructure Noise. Co-responsable du Master Probabilité et Finance. Matthieu has 7 jobs listed on their profile. with Alexandre Tsybakov. 39-Asymptotic lower bounds for optimal tracking: a linear programming approach Large Deviations and Asymptotic Methods in Finance, Springer Proceedings in Mathematics & Statistics, 559-590, 2015. Workshop on Mathematical Finance and Related Issues, Kyoto, (le 05/09/2012). 2008/2009-2009/2010 : TDs d'Estimation Fonctionnelle à l'ENSAE. Swarthmore College, Swarthmore, Pennsylvania, 1965-1969 Westinghouse Science Talent Search Scholarship Phi … 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. 16-Testing the finiteness of the support of a distribution: a statistical look at Tsirelson's equation with Omar El Euch, Thibaut Mastrolia and Nizar Touzi. with Weibing Huang and Pamela Saliba. with Christian Y. Robert. Fields institute seminar, Toronto, (le 31/01/2018). with Jim Gatheral and Thibault Jaisson. with Jean Jacod. Working paper, 2018. 2004/2005 : Khôlles de mathématiques en PCSI au lycée Fénelon. See the complete profile on LinkedIn and discover Matthieu’s connections and jobs at similar companies. The Journal of Trading, 9, 49-73, 2014. 59-Optimal auction duration: a price formation viewpoint. Editeur en chef de Microstructure and Liquidity (avec F. Abergel, J.P. Bouchaud, J. Hasbrouck, C.A. Responsable de la chaire Analytics and Models for Regulation.. Co-responsable du Master Probabilité et Finance.. Professeur à l'Université Pierre et Marie Curie, Paris 6, Laboratoire de Probabilités et Modèles Aléatoires (LPMA) (2011-2016). Cours à la Bachelier Winter School, Metabief, (21-23/01/2014). Bachelier World Congress, New York, (le 19/07/2016). SIAM Journal on Financial Mathematics, 1, 427-453, 2010. Dynstoch 2011, Heidelberg, (le 16/06/2011). Recent Developments in the Statistics of high Frequency Data, TSE, (le 13/11/2013) "Statistics for Stochastic Processes : Inference, Limit Theorems, Finance and Data Analysis 1-2-3-4", Electonic Communications in Probability, 17, article 25, 2012. "European Summer School in Financial Mathematics", Paris 24-29 août 2009, Paris 23-27 août 2010, Zurich 5-9 septembre 2011 et des conférences. 64- Market making and incentives design in the presence of a dark pool: a deep reinforcement learning approach. 40-Asymptotic optimal tracking: feedback strategies 48-The behaviour of high-frequency traders under different market stress scenari. with Frédéric Abergel and Charles-Albert Lehalle. After being Assistant Professor at École Polytechnique, he became Professor at University Pierre et Marie Curie (Paris 6) in 2011. Statistics and Modeling for Complex Data, ENPC, (le 22/06/2011). Bernoulli, 19, 426-461, 2013. Séminaire du SAF, Université Lyon 1, (le 15/02/2013). HAL; HALSHS; TEL; MédiHAL; Liste des portails; AURéHAL; API; Data; Documentation; Episciences.org with Othmane Mounjid and Pamela Saliba. Rosenbaum M., Yor M. (2014) On the Law of a Triplet Associated with the Pseudo-Brownian Bridge. Talli Yehuda Rosenbaum is an individual and couple therapist and is certified as a sex therapist by The American Association for Sex Educators, Counselors and Therapists (AASECT) , as well as the Israeli Society for Sex Therapy (ISST). Identifying Microbial Interactions with Growth Patterns in Infants, ... Abhishek Kaul, Curriculum Vitae … with Laurent Duvernet and Christian Y. Robert. High Frequency Financial Econometrics Workshop, Barcelona, (le 11/06/2015). Séminaire de statistique, CEREMADE, Université Paris Dauphine (le 21/03/2008). with Mark Podolskij. Congress in Honor of Yury Kutoyants 70th Birthday, Le Mans, (le 08/09/2016). Optimal auction duration: A price formation viewpoint. Asymptotic statistics and computations, ISM and University of Tokyo, (le 12/03/2014). 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. 5-On the limiting spectral distribution of the covariance matrices of time-lagged processes with Omar El Euch and Masaaki Fukasawa. Mathieu Rosenbaum is a full-time professor at Ecole Polytechnique, where he holds the chair “Analytics and Models for Regulation”. with Weibing Huang and Charles-Albert Lehalle. Consultez le profil complet sur LinkedIn et découvrez les relations de ZHANG, ainsi que des emplois dans des entreprises similaires. with Alexandre Belloni, Victor Chernozhukov, and Alexandre Tsybakov, Mathieu Rosenbaum. 58-From asymptotic properties of general point processes to the ranking of financial agents. Malka Elisheva Schaps (Mary Elizabeth Schaps) Born August 6, 1948, Cleveland, Ohio Immigrated to Israel, August 1972. Working paper, 2019. 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. Married, four children. Voir le profil de ZHANG Yu, FRM sur LinkedIn, le plus grand réseau professionnel mondial. 45-Rough volatility: Evidence form option prices 2-Estimation of the volatility persistence in a discretely observed diffusion model CFE conference, Pisa, (le 06/12/2014). Sino-French Summer Institute, Beijing, (le 30/06/2011). Market Microstructure and Liquidity, 1, 1550003, 2015. Mathieu Rosenbaum is a full-time professor at Ecole Polytechnique, where he holds the chair “Analytics and Models for Regulation”. The Annals of Applied Probability, 26 (5), p. 2860-2882, 2016. IASC-ARS conference, Singapore, (le 17/12/2015). with Omar El Euch. He also has several editorial activities. Generalized Matrix Uncertainty Lasso. Quantitative Finance, 18 (6), p. 933-949, 2018. 12-A new approach for the dynamics of ultra high frequency data: the model with uncertainty zones Annals of Finance, 8, 31-48, 2012. 55-Optimal liquidity-based trading tactics. 18-Improved matrix uncertainty selector Frontiers in Financial Econometrics, Princeton University (le 25/09/2009). International Conference on Stochastic Analysis and Applications, Hammamet, (le 11/10/2011). Séminaire de finance-assurance du laboratoire de finance du CREST (le 26/04/2007). Advanced financial technologies seminar, Stanford University, (le 09/11/2017). (2018) for the details of this algorithm.. Professeur à l'Université Pierre et Marie Curie, Paris 6, Laboratoire de Probabilités et Modèles Aléatoires (LPMA) (2011-2016). Cet ouvrage de cours synthétique traite l'ensemble des items de cardiologie du programme de DCEM2-DCEM4.Chaque chapitre, consacré à un item, est rédigé suivant un plan identique, original, clair et très didactique qui facilite l'apprentissage. NUS-University Paris Diderot conference, (le 14/09/2015). Electronic Journal of Statistics, 10, p. 1729-1750, 2016. This leads us to adopt the fractional stochastic volatility (FSV) model of Comte and Renault. Opening meeting of the DFG Research Training Group, Berlin, (le 17/11/2012). with Omar El Euch, Masaaki Fukasawa and Jim Gatheral. Séminaire de Statisques, Université Rennes 1, (le 30/01/2015). Séminaire Bachelier, Institut Henri Poincaré, (le 09/10/2012). Seminar on Stochastic Analysis and Stochastic Finance, TU Berlin, (le 28/04/2016). Lehalle). SIAM Conference on Optimization - Vancouver - Canada (May 2017). Statistics for Stochastic Differential Equations Models, Cartagena, Espagne (le 10/05/2007). Bernoulli satellite meeting: Asymptotic Statistics and Related Topics, Tokyo, (le 02/09/13). Find out more about scholarships. Séminaire Finance, Université Rennes 1 (le 26/06/2008). Optimization and Equilibrium, Two-days Workshop (by invitation) - Concepci on - Chile (April 2017). with Thibault Jaisson. Byrne Workshop on Stochastic Analysis in Finance and Insurance, University of Michigan, (le 08/06/2016). 25-Understanding the stakes of high frequency trading Grade : Professeur à l'Ecole Polytechnique, Mail : mathieu.rosenbaum[arrowbase]polytechnique.edu. Workshop on Extreme Value and Time Series Analysis, Karlsruhe, (le 21/03/2016). An {L1, L2, Linf}-Approach to High-Dimensional Errors-in-variables Models, with Mathieu Rosenbaum and Alexandre B. Tsybakov (pdf, Electronic Journal of Statistics 2016, Vol. 2004/2005-2007/2008 : TDs à l’ENSAE (Ecole Nationale de la Statistique et de l’Administration Economique) : Statistique Mathématique, Calcul Stochastique, Mathématiques financières. Market Microstructure and Liquidity, 3 (4), 1850005, 2017. 4-Integrated volatility and round off error avec Frédéric Abergel, Jean-Philippe Bouchaud, Thierry Foucault et Charles-Albert Lehalle, Wiley Finance. 61- Optimal make take fees in a multi market maker environment. Journée des chaires de l'institut Louis Bachelier, Paris, (le 20/10/2017). He is one of the editors in chief of the journal “Market Microstructure and Liquidity“. CI845: Advances in forecasting Organizers: Michael Owyang Michael Owyang, Federal Reserve Bank of St Louis, United States. 57-From Glosten-Milgrom to the whole limit order book and applications to financial regulation. with Jiatu Cai, Masaaki Fukasawa and Peter Tankov. Estimating volatility from recent high frequency data, we revisit the question of the smoothness of the volatility process. Mark Podolskij, Aarhus University, Denmark. SIAM conference on financial mathematics and engineering, Chicago, (le 14/11/2014). 73rd Annual Meeting of the Institute of Mathematical Statistics, Goteborg, (le 10/08/2010). Séminaire de Statistique, Université Rennes 1, (le 24/06/2011). Electronic Journal of Probability, 19, article 37, 2014. Journée "dépendance", ENGREF Paris (le 05/06/2009). Mathieu Rosenbaum & Peter Tankov, 2011. Séminaire de Probabilités, LPMA, (le 08/03/2011). Vienna Congress on Mathematical Finance, Vienna, (le 14/09/2016). Ana Galvao, University of Warwick, United Kingdom. He obtained his Ph.D from University Paris-Est in 2007. The Annals of Applied Probability, 24, 1002-1048, 2014. 310 Col oquio Brasileiro de Matem atica (by invitation) - Rio de Janeiro - Brazil (July/August 2017). Financial Econometrics Conference, Université Toulouse 1, (le 22/05/2015). ESAIM-PS, 19, 578-589, 2015. World Statistics Congress, Marrakech, (le 17/07/2017). EDF R&D research-engineer in financial economics of energy markets (1998-2003) and manager (2003-2006). Gran Sasso Workshop in Mathematical Finance, L'Aquila, (le 28/09/2017). Séminaire de finance-assurance du laboratoire de finance du CREST (le 06/12/2007). Jessica Till - CV Page 5 2018-2020 Zena Severin – MS student, University of Iceland Iron mineralogy in carbonated peridotites of the Samail Ophiolite, Oman 2011-2012 Mathieu Pythoud – undergraduate, Univ. 8. Omar El Euch, Masaaki Fukasawa, Jim Gatheral, Mathieu Rosenbaum, Short-Term At-the-Money Asymptotics under Stochastic Volatility Models, SIAM Journal on Financial Mathematics, 10.1137/18M1167565, 10, 2, (491-511), (2019). Lecture Notes in Mathematics, vol 2123. SIAM Journal of Financial Mathematics, 7,  34-69, 2016. INFORMS Applied Probability Society Conference, Istanbul, (le 06/07/2015). Workshop on Fractional Brownian Motion and Rough Models, Barcelona, (le 08/06/2017). Séminaire de Statistiques, Université Toulouse 1, (le 17/05/2011). Cours à la "Vietnamese-French Summer School: Mathematical methods applied in the fields of Finance and Economics", Ho Chi Minh City (Août 2012). 38-Linear and conic programming estimators in high-dimensional errors-in-variables models que pourrait contenir cette page personnelle qui est sous la responsabilité de son auteur. Chaque item comprend les éléments systématiques suivants : Séminaire de Probabilités et Statistiques, Université Paris 11, (le 28/04/2011). Bachelier colloquium, Metabief, (le 16/01/2017). preparation : 7. The Annals of Statistics, 38, 2620-2651, 2010. with Aditi Dandapani and Paul Jusselin. A solution to the market making problem. Ever since, the focus on REM has expanded because of its potential applicability in telecommunications. 8-Testing the type of a semi-martingale: Ito against multifractal 35-Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes Conference Statistics for Stochastic Processes, Paris, (le 19/12/2013). Stochastic Processes and Their Applications, 121, 1607-1632, 2011. 24-On the law of a triplet associated with the pseudo-Brownian bridge with Charles-Albert Lehalle and Othmane Mounjid. Rhein-Main kolloquium Stochastik, Mainz, (le 03/02/2017). with Khalil Dayri. with Jim Gatheral and Paul Jusselin. with Thibault Jaisson. Statistics seminar, Hebrew University, (le 28/03/2016). CURRICULUM VITAE. Workshop "Market Frictions", Institut Henri Poincaré, Paris, (le 16/09/2010). 13-Volatility and covariation estimation when microstructure noise and trading times are endogenous Working paper, 2020. Workshop on Large deviations and asymptotic methods in finance, Imperial College London, (le 11/04/2013). Finance research seminar, University of St Gallen, (le 24/10/2017). In particular, he is one of the organizers of the conference “Market Microstructure, Confronting Many Viewpoints“, which takes place every two years in Paris. Toggle navigation. Conference Market Microstructure and High Frequency Data, University of Chicago, (le 16/05/2015). 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). Mathieu Rosenbaum has collaborations with various financial institutions, notably BNP-Paribas since 2004. 4e Conférence française d'économétrie, Rennes, (le 22/11/2012). Econophys Kolkata V, Saha Institute of Nuclear Physics, Kolkata (le 09/03/2010). 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. Séminaire Européen de Statistique 2007. 52-No-arbitrage implies power-law market impact and rough volatility. SIAM Journal of Financial Mathematics, 8, p. 854-900, 2017. with Sylvain Delattre and Christian Y. Robert. 65- The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem. 28-Simulating and analyzing order book data: The queue-reactive model Workshop Mathematical finance beyond classical models, Zurich, (le 16/09/2015). Groupe de travail « Probabilités Numériques et Finance », LPMA, Université Paris 6 (le 27/03/2008). He also received the 2020 Louis Bachelier Prize. 23-Asymptotically optimal discretization of hedging strategies with jumps Summer Classes in Probability, Columbia University, (02-06.06.2014). Workshop Current Challenges in Financial Mathematics and Economics, LSE, (le 27/08/2015). World Statistics Congress, Hong Kong, (le 30/08/13). Finance and Stochastics, 22 (2), p. 241-280, 2018. Financial Economics Seminar, BI Oslo, (le 04/12/2013). "Asymptotically optimal discretization of hedging strategies with jumps," Papers 1108.5940, arXiv.org, revised Apr 2014. with Masaaki Fukasawa. with Giulia Livieri, Saad Mouti and Andrea Pallavicini. Electronic Communications in Probability, 23 (61), p. 1-12, 2018. Stochastic Processes and Their Applications, 122, 3901-3920, 2012. Journée Mathématiques Financières , Université d'Evry (le 21/02/2013). Conference Modeling and Managing Financial Risks, Paris, (le 12/01/2011). Stochastic Analysis and Mathematical Finance - A Fruitful Partnership , Oaxaca, (le 24/05/2016). with Romuald Elie and Marc Yor. Recent Advances in High Frequency Financial Econometrics, London School of Economics (le 15/11/2008). Practitioners version in Global Trading, 50, 2014 Q2. Financial Mathematics Seminar, the Stevanovich center for financial mathematics, University of Chicago (le 14/12/2007). Working paper, 2018. with Marc Yor. Marie Bernhart & Huyên Pham & Peter Tankov & Xavier Warin, 2011. Journal of Financial Econometrics, 9, 344-366, 2011. Mathematical Colloquium, Vienna University, (le 10/01/2018). Journal of Multivariate Analysis, 101, 2434-2451, 2010. « Imperial College Workshop on High Frequency Data », Tanaka Business School, Londres (le 22/02/2007). Statistique Asymptotique des Processus Stochastiques VII , Université du Mans (le 17/03/2009). 41-Volatility is rough and Mathieu Rosenbaum. Working paper, 2019. The Annals of Applied Probability, 25, 600-631, 2015. Séminaire de Probabilités et Statistiques, Université du Mans (le 11/12/2008). 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). Quantitative Finance retrospective workshop, Fields Institute Toronto, (le 27/10/2013) Stochastics, 89 (6-7), p. 943-966, 2017. Conférence SPA 2009, TU Berlin (le 27/07/2009). with Marc Yor. Quant summit, London, (le 15/03/2017). Séminaire de Statistiques, TSE, (le 18/10/2013). 46-Perfect hedging under rough Heston models Conference Market Microstructure Confronting Many Viewpoints 3, Paris, (le 10/12/2014). From Probability to Statistics and Back: High-Dimensional Models and Processes; A Festschrift in Honor of Jon A. Wellner, IMS Collections, 9, 276-290, 2013. 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) Academic Training:. 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. 29-Large tick assets: implicit spread and optimal tick size (2018)).We refer to Sorensen et al. Conference Mathematical Finance and Related Issues, Osaka University, (le 17/02/2015). 37-Ergodicity and diffusivity of Markovian order book models: a general framework 21-Estimating the efficient price from the order flow: a Brownian Cox process approach P. Jusselin, T. Mastrolia, M. Rosenbaum. 49-Short-term at-the-money asymptotics under stochastic volatility models. with Christian Y. Robert. She is also an AASECT certified sex therapy supervisor. To appear in Mathematical Finance, 2019. with Omar El Euch and Jim Gatheral. with Charles-Albert Lehalle, Nicolas Megarbane and Pamela Saliba. Journal of the Royal Statistical Society (B), 79 (3), p. 939-956, 2017. Statistics and Probability Letters, 79, 55-62, 2009. Quantitative Finance, 11, 883-899, 2011. Mathematical Statistics Seminar, WIAS Berlin, (le 02/02/2011). Working paper, 2019. "Swing Options Valuation:a BSDE with Constrained Jumps Approach," Working Papers hal-00553356, HAL. Joint IMU-AMS conference, Tel Aviv, (le 16/06/2014). Séminaire Bachelier, Institut Henri Poincaré, (le 05/12/2014). Séminaire de Probabilités, Université Paris 13, (le 26/03/2014). 36-How to predict the consequences of a tick value change? with Peter Tankov. with Emmanuel Bacry and Marc Hoffmann. The Annals of Statistics, 41, 1462-1484, 2013. 26-Limit theorems for nearly unstable Hawkes processes Workshop "Risk Modelling and High Frequency Data" , TU Munich (le 16/06/2008). 43-The characteristic function of rough Heston models with Alexandre Belloni and Alexandre Tsybakov. Stochastic Analysis and Statistical Inference V, University of Tokyo (le 22/02/2010). Conference Stochatic Modeling, Verona, (le 19/12/2017). Séminaire de Statistique, ENSAE, (le 31/03/2014). Risk and Stochastics conference, LSE, (le 9/05/2013). In fact, REM can be used to extract relevant information about … SIAM conference on financial mathematics and engineering, Austin, (le 18/11/2016). Workshop on Stochastic and Quantitative Finance, Imperial college London, (le 29/11/2014). Nomura Seminar, University of Oxford, (le 25/11/2011). The Annals of Applied Probability, 27 (4), p. 2455-2514, 2017. 2009/2010-2010/2011 : Cours de Mathématiques Financières à l'Université de Fudan à Shanghai Conference High Frequency Trading, Curse or Blessing ?, University of Vienna, (le 23/09/2016). Journée "dépendance", ENGREF Paris (le 05/06/2009). Statistics and Finance seminars, Columbia University, (les 7 et 10/10/2013). (eds) Séminaire de Probabilités XLVI. 41èmes Journées de Statistique de la SFDS, Bordeaux (le 22/05/2009). "Market Microstructure, Confronting Many Viewpoints 3", Paris, 8-11 décembre 2014. "Market Microstructure, Confronting Many Viewpoints 4", Paris, 6-9 décembre 2016. Risk management seminar, University of Berkeley, (le 07/11/2017). with Weibing Huang and Charles-Albert Lehalle. The subject is disturbing, and yet Varda treats it with a rare sympathy and empathy, perhaps inspired by the fact that the boy in the film is played by her own son, Mathieu Demy.

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