June 2018

Fractional Processes in Finance

Organized by École polytechnique - Palaiseau

Plenary speakers:
Eduardo Abi Jaber (Université Paris-Dauphine)
Elisa Alòs (Universitat Pompeu Fabra, Barcelona)
Alexandre Brouste (Université du Maine)
Omar El Euch (École polytechnique)
Archil Gulisashvili (Ohio University)
Blanka Horvath (Imperial College, London)
Antoine Jacquier (Imperial College, London)
Josef Teichmann (ETH, Zurich)

November 2018

Mathematical Economics after WWI

Marseille

Within the framework of the conference commemorating the end of WWI, to be held at the CIRM: Mathematical Communities in the Reconstruction after the Great War (1918–1928)

Michel Armatte (Alexandre Koyré Center): Economic Cycles: From Descriptive Statistics to Formalization
Irina Konovalova-Peaucelle (French National Centre for Scientific Research - CNRS) (invited): Was the Russian Theory of Cycles a Mathematical Theory?
Pierre-Charles Pradier (University Paris I): Were the Foundations of Measurement without Theory Laid in the 1920s?

Autumn 2018

Law and Economics: From Theory to Practice and Back Again

Paris

Speakers (first speakers): Thierry Kirat (University Paris-Dauphine), Frédéric Marty (University of Nice), Dina Waked (Sciences-Po Paris)

What are the origins, developments and relevance of “law and economics”? What role does it play today within the field of economics? The aim of the conference is to put the discipline – established in the 1920s around the ideas of John Commons – into historical perspective.

How did the field develop from an institutional analysis of law to an economic analysis? Special focus will be placed on the convergence of the rules of public policy towards private standards.

Tuesday, October 3, 2017 - 9:30 am – 3:00 pm

What’s Happening on World Energy Markets?

New York

Hosted by the Alfred P. Sloan Foundation , New York

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AGENDA

MORNING SESSION (9:30 am – 11:30 am)

Welcome and Introduction to the Conference

Round Table – What’s Been Happening on Energy Markets?
Chaired by Robert Solow (MIT; Cournot Centre)


Michael Levi (Former Special Assistant to President Obama for Energy and Economic Policy)


Antoine Halff (Center on Global Energy Policy, Columbia University)
Presentation Antoine Halff_031017.pdf


Amy Myers Jaffe (Energy Security and Climate Change Program, Council on Foreign Relations)
Presentation Amy Myers Jaffe_031017.pdf


Lutz Kilian (University of Michigan)
Presentation Lutz Kilian_031017.pdf


Discussion


- LUNCH -

AFTERNOON SESSION (1:00 pm – 3:00 pm)
How to Model the Roughness of Oil and Gas Dynamics
Josselin Garnier (Ecole Polytechnique) &Knut Sølna (University of California, Irvine):
A Time-Frequency Analysis of Oil Price Data
Presentation_Josselin Garnier - Knut Solna_031017.pdf


Commentator: Gérard Ben Arous (New York University)
Commentator: Lutz Kilian (University of Michigan)
Discussion_Lutz Kilian_031017.pdf


Discussion
Closing Remarks

CONFERENCE SUMMARY

What can we say about the evolution of oil and gas prices?

The conference will address this issue by:
(i) presenting tools that can be used to describe the complex multi-scale structures of energy-market price data;
(ii) discussing the possible mechanisms behind these regime shifts;
(iii) considering the possible implications for hedging and risk assessment.

A special focus will be put on the evolution of prices since the end of 2014.

The observation of market price fluctuations sometimes reveals behaviors that cannot be well captured by standard models based on discrete-time random walks or continuous diffusion. In standard models, the return fluctuations of a risky asset are driven by Brownian motion, giving independent Gaussian returns. It has become clear that oil and gas price data vary at different interconnected scales, slow or fast: they have a complicated multi-scale structure that, moreover, may vary over time. Time-frequency analysis can be used to identify the main features of these variations and, in particular, the regime shifts. The analysis derives from a wavelet-based decomposition, a special decomposition of a signal in time-frequency components, and the associated scale spectrum. The joint estimation of the local Hurst coefficient (an index of smoothness) and volatility is the key to detecting and identifying regime shifts and changes in the oil price. For the first time since 1986, "persistence" processes of unprecedented force occurred between the end of 2014 and 2016, opening up a new period.

26-27. November 2015
Conference celebrating the centennial of the birth of Kiyosi Itô

Das Erbe von Kiyosi itô aus einer französisch-japanischen Perspektive

Ambassade de France au Japon - Tokyo

Ambassade de France au Japon , salle de réunion de l’atrium, 1F 4-11-44 Minami Azabu, Minato-ku, Tōkyō, 106-8514
- 7 minutes from the metro station Hiroo (Exit 1) - Access map : https://www.ambafrance-jp.org/Plan-d-acces-a-l-Ambassade

Organized by L'Institut des Hautes Études Scientifiques and Fondation et Centre Cournot

Contributors: Jean-Pierre Bourguignon (Institut des Hautes Études Scientifiques), Nicole El Karoui (École polytechnique), Masatoshi Fukushima (Osaka University), Tadahisa Funaki (University of Tokyo), Josselin Garnier (Université Paris Diderot), Daniel Goroff (Alfred P. Sloan Foundation), Shigeo Kusuoka (University of Tokyo), Glenn Shafer (Rutgers Business School), Jean-Philippe Touffut (Cournot Centre)

Due to security checks at the Embassy, please bring a photo I.D. and plan to arrive 20 minutes before the conference begins.

Presentations in English.

Kiyosi Itô‘s Arbeit und die von ihm gegründete Schule der Stochastik sind außergewöhnlich, in ihrer Schönheit als pure Mathematik sowie auch in den Einblicken, die sie in Biologie, Chemie, Quantenphysik, Elektroingenieurswesen und Finanzwesen ermöglicht haben.

Als die Internationale Mathematische Union Itô 2006 seinen ersten Friedrich Gauss Preis verleiht, gilt sein Werk bereits als Weltkulturerbe.

In ihren Anfängen jedoch, hatte Itô’s Arbeit eine besondere Beziehung zur französischen Mathematik. Tatsächlich ist das erste Zitat in Itôs Veröffentlichungen, genauer der erste Satz in seinem ersten Artikel, aus Paul Lévy’s, Théorie de l’addition des variables aléatoires.

Wie Itô später schrieb erlernte er die stochastischen Prozesse aus ebendiesem Werk. Sein Ziel war es, die strukturelle Schönheit des Buches zu mathematisieren – und er war erfolgreich. Es wird oft gesagt, dass andere französische Mathematiker Lévy erst verstanden, nachdem Itô seine Ideen erläuterte. 30 Jahre später, in den 1970gern, stand Itô noch immer in Interaktion mit französischen Mathematikern als er Paul-André Meyer’s Semimartingal-Version von Itô‘s Theorie der stochastischen Integration studierte und weiterentwickelte. Heute sind französische Mathematiker immer noch Teil derer, die Itô‘s Calculus in Physik und Finanzwesen anzuwenden suchen.

Diese Konferenz erforscht Itôs Erbe aus der Perspektive dieser französischen Verbindung. Ist die Theorie des stochastischen Prozesses nun wahrhaft eine Probenpfad-Theorie wie Lévy einst voraussah? Was machte Lévys Prozesse und Itô‘s Begreifen der stochastischen Integration so fruchtbar für Anwendungen in Physik und Finanzwesen? Wohin führt uns Itô‘s Vermächtnis heute?

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Donnerstag, 26. November 2015

10:30 am – Opening Session
• Glenn SHAFER (Rutgers Business School)
Whither Kiyosi Itô’s reconciliation of Lévy (betting) and Doob (measure)?
Shafer Presentation - Nov 2015.pdf



12:00 pm – Lunch

1:30 pm – Session 1: Itô’s Heritage
• Masatoshi FUKUSHIMA (Osaka University)
The Life and Mathematical Legacy of Itô Sensei
Fukushima Presentation - Nov 2015.pdf



• Daniel GOROFF (Sloan Foundation)
Abstraction vs. Application: Itô’s Calculus, Wiener’s Chaos, and Poincaré’s Tangle
Goroff Presentation - Nov 2015.pdf



3:00 pm – Coffee break

3:30 pm – Session 2: Itô and Stochastic Analysis
• Tadahisa FUNAKI (University of Tokyo)
Some Topics in Stochastic Partial Differential Equations
Funaki Presentation - Nov 2015.pdf



• Josselin GARNIER (Université Paris Diderot - Centre Cournot)
Itô's Calculus in Physics and Stochastic Partial Differential Equations
Garnier Presentation - Nov 2015.pdf

Freitag, 27. November 2015

10:30 am – Session 3: Itô’s Calculus and Financial Applications
• Nicole EL KAROUI (École polytechnique)
What Makes Kiyosi Itô Famous on Trading Floors?
El Karoui Presentation - Nov 2015.pdf



• Shigeo KUSUOKA (University of Tokyo)
Itô Calculus, Malliavin Calculus and Finance
Kusuoka Presentation - Nov 2015.pdf



12:00 pm – Closing Remarks

• With the support of:
Ambassade de France au Japon
Japan Science and Technology Agency (CREST)
The Mathematical Society of Japan (MSJ)

Montag, 29. September 2014

WISSENSCHAFT ODER INNOVATION FINANZIEREN? LEHREN AUS EUROPA, JAPAN UND DEN U.S.A.

Ministère de la Recherche - Amphithéâtre Stourdzé - 1, rue Descartes, Paris 5e

Speakers: Jean-Louis Beffa (Centre Cournot), Jean-Pierre Bourguignon (European Research Council), Daniel Goroff (Sloan Foundation), Yuko Harayama (Japanese Council for Science, Technology and Innovation), Thibaut Kleiner (European Commission), Julia Lane (American Institutes for Research), Beth-Anne Schuelke-Leech (Ohio State University), Robert Solow (MIT)

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9:15 am: Welcome and Introduction to the Conference
9:30 am: The Financing and Allocation of Innovation: Directions, Indicators and Incentives

• Thibaut Kleiner , European Commission



• Julia Lane , AIR
Julia Lane Presentation 29-09-2014



11 am: Coffee break
11:30 am: Venture Capital, Philanthropy and Public Financing

• Daniel Goroff , Sloan Foundation
Goroff Presentation 29-09-2014 (1.8 MiB)



• Beth-Anne Schuelke-Leech , Ohio State University
Schuelke-Leech Presentation 29-09-2014 (1.7 MiB)



1 pm: Buffet lunch
2:30 pm: Implications and Policy Conclusions for Governments and for Private Actors

• Jean-Pierre Bourguignon , European Research Council
Bourguignon Presentation 29-09-2014 (612.4 KiB)



• Yuko Harayama , Japanese Council for Science, Technology and Innovation
Harayama Presentation 29-09-2014 (760.2 KiB))

2. Dezember 2013

HAT DIE PROBABLISIEREUNG DER WISSENSCHAFT GRENZEN?

The Pappalardo Room, 4-349, Department of Physics, MIT, Cambridge, MA

Organized with Harvard Medical School

Speakers: Noureddine El Karoui (UC, Berkeley), Josselin Garnier (University Paris VII), Alice Guionnet (MIT), Andreas Hilfinger (Harvard), Jonathan Le Roux (MERL), Johan Paulsson (Harvard)

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This conference brings together renowned probabilists from diverse scientific fields – probability theory, biology, geophysics, linguistics. By comparing definitions and methods, they assess the advance of probability in their respective disciplines and throughout the sciences as a whole. How do these disciplines intersect or diverge? Is there a common research agenda? What are the next steps in the development of probability?

Part I 10 am – 12 pm: The Advance of Probability: How Far Has It Come?

• Noureddine el Karoui (UC, Berkeley), The Relationship between Probability and Statistics



• Alice Guionnet (M.I.T.), Progress in Random Matrices
• Johan Paulsson (HMS), Defining a Stochastic Research Agenda in Systems Biology
Part II 1:30 – 3:30 pm: The Probability Approach

• Jonathan Le Roux (MERL): The Probabilization of Machine Perception in Speech and Audio



• Andreas Hilfinger (HMS): Understanding Biological Systems by Analyzing Stochastic Fluctuations



• Josselin Garnier (Université Paris-VII): Is a Common Agenda for Applied Probabilists Possible?

17. Dezember 2012

DIE GRENZEN DER PROBABLISIERUNG DER WISSENSCHAFT

Warren Alpert Building (room 536), 200 Longwood Avenue, Harvard Medical School, Boston (Longwood station) Unter dem Vorsitz von Robert Solow (MIT)

Referenten: Rémi Catellier (University of Paris IX), Meriem El Karoui (Harvard), Josselin Garnier (ENS), Andreas Hilfinger (Harvard), Johan Paulsson (Harvard).