Cournot Centre

Autumn 2019

Law and Economics: From Theory to Practice and Back Again


Speakers: William Davies (University of London) (to be confirmed), 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.

Session topics
· The search for law and economics: theoretical origins
· From institutional law and economics to the economic analysis of law: Overtaking competition law
· The convergence of public policy towards private standards, according to the second wave of law and economics

21-24 May 2019

Conference in honour of Nicole El Karoui

Sorbonne University - Paris

Co-organization of the conference held in honour of Nicole El Karoui – a pioneer of mathematics applied to finance – for her 50 years of scientific contributions. The four-day conference began with a day dedicated to Women in Science (WiSE), co-sponsored by the Cournot Centre and Foundation. The event marked the launch of the Cournot programme – geared towards a young audience – to promote the role of women in the development of probability theory and the advancement of their contributions.

To learn more

22-24 March 2019

Math en Jeans National Conference


As part of its Initiation to Probability program for middle-school students from Priority Education networks (REP) in France, the Cournot Foundation sponsored students from the Collège des Petits Ponts in Clamart, near Paris, to attend the annual national conference of the association Math en Jeans at CentraleSupélec Higher Education and Research Institution in Saclay. The students had a stand, presenting the methods and results of their work on the game of maximum.

To learn more

12-16 November 2018

Mathematical Economics after WWI

CIRM Marseille

Within the framework of the conference commemorating the end of WWI: 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): 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?

More // PDF & Video

Michel Armatte (Centre Alexandre Koyré)

Irina Konovalova-Peaucelle (CNRS)

Pierre-Charles Pradier (Université Paris I)

20-21 June 2018

International Conference on Economic and Financial Risks


Participation in the international conference organized by IRIAF (Institute of Industrial, Insurance and Financial Risk) and CRIEF (Research Centre on Economic and Financial Integration), both of the University of Poitiers

Cournot Centre speakers:
Nicole El Karoui (Sorbonne University)
Longevity Risks: A Brief Overview of the State of Our Knowledge

Knut Sølna (University of California at Irvine/École Polytechnique; Cournot scholar 2017-2018)
On Memory, Regimes and Risk

11 June 2018

Fractional Processes in Finance

Organized by École polytechnique - Palaiseau

Plenary speakers:
Eduardo Abi Jaber (Université Paris-Dauphine)
Lifting the Heston Model

Elisa Alòs (Universitat Pompeu Fabra, Barcelona)
The Short-Time Behavior of the Implied Volatility for Fractional Volatilities

Alexandre Brouste (Université du Maine)
Parametric Estimation in Self-Similar Processes at High Frequency

Omar El Euch (École polytechnique)
Multi-Factor Approximation of Rough Volatility Models

Archil Gulisashvili (Ohio University)
Volterra-Type Fractional Stochastic Volatility Models

Blanka Horvath (Imperial College, London)
Learning Rough Volatility

Antoine Jacquier (Imperial College, London)
Volatility Options in Rough Volatility Models

Josef Teichmann (ETH, Zurich)
Generalized Feller Processes and Markovian Lifts of Stochastic Volterra
Processes: The Affine Case

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 , 630 Fifth Avenue, Suite 2200, New York, NY, 10111

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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



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

Closing Remarks


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

Kiyosi Itô’s Legacy from a Franco-Japanese Perspective

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 :

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.

The work of Kiyosi Itô and the Japanese school of stochastic processes that he founded is exceptional both in its beauty as pure mathematics and in the insights it has provided in biology, chemistry, quantum physics, electrical engineering, and finance. As the International Mathematical Union attested in awarding Itô its first Carl Friedrich Gauss prize in 2006, his work ranks as part of the world’s cultural heritage.

From its outset, however, Itô’s work has stood in a special relationship to French mathematicians. The first citation in Itô’s published work, in fact, the first sentence of his first article, was to Paul Lévy’s, Théorie de l’addition des variables aléatoires . As Itô later wrote, he learned stochastic processes from this book. His goal was to make fully mathematical the beautiful structure the book depicted, and he succeeded. It is often said that other French mathematicians understood Lévy only after Itô had explained his contribution. Thirty years later, in the 1970s, Itô was still interacting with French mathematicians, embracing and further developing Paul-André Meyer’s semimartingale-based version of Itô’s theory of stochastic integration. Today, French mathematicians remain among those most keen to develop the applications of Itô’s calculus in physics and finance.

This conference examines Itô’s legacy from the perspective of this relationship. Is the theory of stochastic processes now truly a theory of sample paths as Lévy had envisioned? What has made Lévy processes and Itô’s understanding of stochastic integration so fruitful for applications in physics and finance? Where is Itô’s legacy taking us today?

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Thursday, 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

Friday, 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)

29 September 2014

Financing Science, or Innovation? Lessons from Europe, Japan and the U.S.

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 December 2013

Are There Limits to the Probabilization of Science?

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 December 2012

The Limits of the Probabilization of Science

Warren Alpert Building (room 536), 200 Longwood Avenue, Harvard Medical School, Boston (Longwood station) Chaired by Robert Solow (MIT)

Speakers: Rémi Catellier (University of Paris IX), Meriem El Karoui (Harvard), Josselin Garnier (ENS), Andreas Hilfinger (Harvard), Johan Paulsson (Harvard).
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2 &3 December 2010

What’s Right With Macroeconomics?

Les Miroirs - La Défense

Jean-Louis Beffa (Saint-Gobain), Robert Boyer (CEPREMAP) , Jean-Bernard Chatelain (Université Paris I), Wendy Carlin (University College London), Giancarlo Corsetti (University of Cambridge), Giovanni Dosi (Sant’Anna School of Advanced Studies, Pisa) , Robert Gordon (Northwestern University), Paul de Grauwe (Université de Louvain), Gerhard Illing (Ludwig-Maximilians-Universität, Munich) , Xavier Ragot (CNRS), Willi Semmler (New School for Social Research, New York) , Robert Solow (MIT), Xavier Timbeau (OFCE), Volker Wieland (Goethe Universität, Frankfurt)

Conference volume: What’s Right with Macroeconomics?

2010 Conference Programme (75.8 KiB)

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Thursday, 2 December

1. A Panorama of Concepts and Approaches

Jean-Bernard Chatelain (Université Paris I)
Presentation Jean-Bernard Chatelain (131.6 KiB)

Xavier Timbeau (OFCE)
Presentation Xavier Timbeau (327.4 KiB)

Giancarlo Corsetti (University of Cambridge)
Presentation Giancarlo Corsetti (290.0 KiB)

Commentator : Gerhard Illing (Ludwig-Maximilians-Universität, Munich)
Presentation Gerhard Illing (530.4 KiB)

Questions and Answers

2. Alternative Programmes: Renewing Macroeconomics

Giovanni Dosi (Sant’Anna School of Advanced Studies, Pisa)
Presentation Giovanni Dosi (578.5 KiB)

Xavier Ragot (CNRS)
Presentation Xavier Ragot (214.2 KiB)

Commentator : Willi Semmler (New School for Social Research, New York)
Presentation Willi Semmler (659.5 KiB)

Vendredi, 3 décembre

3. Rethinking the Role of Fiscal Policy

Volker Wieland (Goethe Universität, Frankfurt)
Presentation Volker Wieland (652.3 KiB)

Paul de Grauwe (Université de Louvain)
Presentation Paul de Grauwe (1.1 MiB)

Commentator : Robert Boyer (CEPREMAP)
Presentation Robert Boyer (390.3 KiB)

Questions and Anwers

4. Round Table: Where Do We Stand? chaired by Robert Solow (MIT)

Wendy Carlin (University College London)
Presentation Wendy Carlin (1000.6 KiB)

Robert Gordon (Northwestern University)
Presentation Robert Gordon (183.9 KiB)

Conclusion by Robert Solow (MIT) &Jean-Louis Beffa (Saint-Gobain)

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