December
Research in Options: RiO 2024
Rio de Janeiro, Brazil
Minicourse on Volterra processes in quantitative finance.
Talks & minicourses
Minicourses
2024
2023
July
May
Conferences
2026
October 8–9
September 1-4
International Conference on Computational Finance 2026
Oxford, UK
Minisymposium on Memory in Computational Finance + talk on characteristic functions of signatures
June 29 - July 3
Bachelier World Congress XIII
Bologna, Italy
Minisymposium on Memory in Quantitative Finance + talk on the Fading Memory Signature
June 8 – 12
Probability and Mathematical Statistics
Palermo, Italy
Efficient Simulation of Affine Volterra Processes: From Heston to Hawkes
May 26-29
Invited
Mathematics and Machines: Navigating the Transition from Brown to Sustainable Finance
Lorentz center, Lieden, Netherlands
Fading Memory Signatures for Sequential Modeling.
March 24-26
March 2-5
February 24
February 2-3
Invited
Actuarial and Financial Mathematics Conference
Brussels, Belgium
Volatility dynamics and memory: from the Quintic model to Signatures
January 27-30
Plenary
Advances in Financial Mathematics
Paris, France
Efficient Simulation of Affine Volterra Processes: From Heston to Hawkes.
January 19-21
2025
December 18
Journée EDF R&D
Paris
Path-Signatures for Time Series: Fading Memory and Time Invariance
December 3-7
Invited
Research in Options: RiO 2025
Rio
Efficient Simulation of Affine Volterra Processes: From Heston to Hawkes.
November 21
Invited
Workshop on rough volatility
Berlin
Efficient Simulation of Affine Volterra Processes: From Heston to Hawkes.
October 2-3
September 2-5
July 15-18
SIAM Conference on Financial Mathematics and Engineering
Miami
Mini-symposium on Memory in Quantitative Finance (opening talk)
July 9-11
Plenary
Vienna Congress on Mathematical Finance
WU Vienna
Volatility dynamics and memory: from the Quintic model to Signatures.
June 23-27
June 16-20
May 18-22
Invited
Stochastic Numerics and Statistical Learning: Theory and Applications Workshop
KAUST University, Saudi Arabia
Path-Signatures: Memory and Stationarity.
April 15-17
XXVI Workshop on Quantitative Finance
Palermo, Italy
Simulation of square-root processes made simple: applications to the Heston model
April 7-11
March 18-19
Financial Risks International Forum
Institut Louis Bachelier, Paris
Struggling with Heston? A New Perspective for Efficient Simulation
2024
December 4-8
November 19-20
November 3-8
October 28-31
Invited
Stochastic control and Games for Risk and Regulation
Hammamet
Invariance for stochastic Volterra equations.
July 8-12
Invited
12th Bachelier World Congress of the Bachelier Finance Society
Rio
Equilibrium in Functional Stochastic Games with Mean-Field Interaction.
April 19
Invited
Spring Colloquium on Probability and Finance
Padova
From the Quintic model to signature volatility models: fast pricing and hedging with Fourier.
March 26
Invited
Recent Developments in the Mathematics of Machine Learning
Wuppertal
Deep pricing with quantization hints: joint SPX-VIX calibration with Gaussian Polynomial Models.
2023
September 11-15
Invited
Advances in Stochastic Analysis for Handling Risks in Finance and Insurance
CIRM Luminy, France
Equilibrium in Functional Stochastic Games with Mean-Field Interaction
May 22-26
Invited
Workshop on rough volatility
Isle of Skye, Scotland
Rough volatility, too smooth?
May 8-10
Invited
Control & Optimisation Pisa 2023
Pisa, Italy
A direct approach to a class of finite-players and mean-field games.
April 24-27
Invited
Workshop Stochastic Control and Risk
Hammamet, Tunisia
A direct approach to a class of finite-players and mean-field games.
2022
September 15-16
Invited
London-Paris Bachelier Workshop on Mathematical Finance
Paris, France
Gaussian Principal-Agent problems with memory.
August 31
Invited
Modeling of Markets with Complex and Rough Regimes
Online
Quadratic Gaussian models: analytic expressions for pricing and portfolio allocation.
2021
June 22-25
Invited
General AMaMeF Conference, 10th Edition
Online
Quadratic Gaussian models: analytic expressions for pricing and portfolio allocation.
June 21-26
Invited
Stochastic Analysis and Hermite Sobolev Spaces Workshop
Online
Linear-quadratic control of stochastic Volterra equations.
March 26
Invited
ILB Rising Talents in Finance and Insurance
Online
The characteristic function of Gaussian stochastic volatility models.
2020
November 2-6
January 14-17
Invited
Advances in Financial Mathematics
Paris, France
A weak solution theory for stochastic Volterra equations.
2019
November 14
Invited
Journées du Centre d'Economie de la Sorbonne
Université Paris 1, Paris, France
Rough volatility modeling and stochastic Volterra equations.
October 21-25
Invited
Advances in Stochastic Analysis for Handling Risks in Finance and Insurance
CIRM, Luminy, France
Reconciling rough volatility with jumps.
October 15
Forum emploi maths
Paris, France
The modeling puzzle in the presence of randomness. (AMIES Prize presentation)
September 9-13
June 11-14
Invited
General AMaMeF Conference, 9th Edition
Paris, France
Quadratic Volterra processes and multivariate rough volatility modeling.
2018
October 9
September 10-11
Workshop on Finance
Insurance, Probability and Statistics, London, England
Lifting the Heston model (poster)
August 27-31
European Summer School in Financial Mathematics, 11th Edition
Palaiseau, France
Lifting the Heston model
July 16-20
Bachelier Finance Society, 10th world congress
Dublin, Ireland
Markovian structure of the Volterra Heston model
June 18-21
IWAP, 9th International Workshop on Applied Probability
Budapest, Hungary
The Volterra square-root process: Markovian structure and approximation
June 11
Invited
Workshop "Long-range fractional processes in Finance"
Ecole Polytechnique, Palaiseau, France
Lifting the Heston model.
May 16-18
May 2-4
Invited
Berlin-Paris Young researchers Workshop, 2nd Edition
Stochastic Analysis with applications in Biology and Finance, Paris, France
Affine Volterra processes.
February 27 - March 2
January 24-26
January 15-20
Bachelier Colloquium
Twelfth Colloquium on Mathematical Finance and Stochastic Calculus, Métabief, France
Affine Volterra processes
2017
September 4 - 8
Invited
International Conference on Computational Finance, 2nd Edition
Lisbon, Portugal
Stochastic invariance and applications.
August 28 - September 1
European Summer School in Financial Mathematics, 10th Edition
Dresden, Germany
Affine Volterra processes
July 24-28
Stochastic Processes and their Applications, 39th Conference
Moscow, Russia
Stochastic invariance and applications
June 19-23
January 25-27
Workshop on Quantitative Finance
XVIII Edition, Milano, Italy
Stochastic invariance of closed sets with non-Lipschitz coefficients. [slides]
2016
December 6-9
Market Microstructure Confronting Many viewpoints, #4
Paris, France
Stochastic invariance of closed sets with non-Lipschitz coefficients. [slides]
November 2-4
Berlin-Paris Young Researchers Workshop
Stochastic Analysis with applications in Biology and Finance, Berlin, Germany
Stochastic invariance of closed sets with non-Lipschitz coefficients. [poster]
September 29-30
London-Paris Bachelier Workshop on Mathematical Finance
Paris, France
Stochastic invariance of closed sets with non-Lipschitz coefficients. [poster]
Seminars
2026
March 19
Math-Finance seminar
Centrale Supélec
Efficient Simulation of Affine Volterra Processes: From Heston to Hawkes
March 12
2025
December 16
Seminar Morgan Stanley
Paris
Signatures expansions for pricing and hedging
November 19
Mathematical Finance Seminar
Bielefeld
Efficient Simulation of Affine Volterra Processes: From Heston to Hawkes
June 19
Seminar Credit Agricole
Paris
Volatility dynamics and memory: from the Quintic model to Signatures
May 28
Seminar BNP Paribas
Paris
Volatility dynamics and memory: from the Quintic model to Signatures
April 24
Seminar in Mathematical Finance
BI Norwegian Business School
From the Quintic model to signatures volatility models
February 12
Groupe de Travail MathsFi
Ecole Polytechnique
A new perspective for simulating square-root processes and Heston models
February 5
January 15
Stochastic and Finance seminar
University of Warwick, Warwick
Stochastic Fredholm equations: a passe-partout for propagator models and market impact
2024
October 22
Finance and Stochastics seminar
Imperial College, London
Stochastic Fredholm equations: a passe-partout for propagator models and market impact
October 3
Mathematical Finance Seminar Series
Columbia University, New York
from the Quintic model to signature volatility models
June 13
FS Stochastische Analysis
TU Berlin
Stochastic Fredholm equations: a passe-partout for propagator models with cross-impact, constraints and mean-field interactions
June 12
May 14
Séminaire de Probabilités et Statistique
Le Mans Université
Signature volatility models: pricing and hedging with Fourier
April 22
Stochastic Analysis & Mathematical Finance Seminars
Oxford
From the Quintic model to signature volatility models: fast pricing and hedging with Fourier
February 7
Risk & Stochastics and Financial Mathematics Seminar
London School of Economics
Signature volatility models: pricing and hedging with Fourier
2023
November 23
Groupe de Travail Mathématiques financières et probabilités
LPSM
From the Quintic OU model that jointly calibrates SPX-VIX smiles to signature volatility models
October 24
Séminaire de Probabilités
Ecole Polytechnique
September 21
Seminar of the Department of Economics and Finance
Luiss University, Rome
Equilibrium in Functional Stochastic Games with Mean-Field Interaction
April 17
Seminar on Finance & Modeling
Université Paris 1, France
The Quintic model that jointly calibrates SPX/VIX
March 28
Finance and Stochastics seminar
Imperial College, London, England
From the Quintic model that jointly calibrates SPX/VIX to Sig-Volatility models
2022
December 16
May 6
STAR seminar
University of Oslo, Online
Quadratic Gaussian models: analytic expressions for pricing and portfolio allocation
April 28
Talks in Financial and Insurance Mathematics
ETH-Zürich, Switzerland
Quadratic Gaussian models: analytic expressions for pricing and portfolio allocation
2021
November 25
Osaka Webinar on Mathematical Finance
Online
Quadratic Gaussian models: analytic expressions for pricing and portfolio allocation
June 2
Berlin Probability Colloquium of the International Research Training Group (IRTG)
Stochastic Volterra equations : theory, numerics and control
February 4
Séminaire Bachelier
Quadratic Gaussian models: analytic expressions for pricing and portfolio allocation
January 21
Groupe de Travail: Finance mathématique
probabilités numériques et statistique des processus, Université Paris Diderot
Quadratic Gaussian models: analytic expressions for pricing and portfolio allocation
January 14
Séminaire Bachelier
Deep pricing with quantization hints
2020
November 12
Groupe de Travail Probabilités et Mathématiques financières
Université d'Evry, Evry, France
Linear-quadratic control of stochastic Volterra equations
October 23
Séminaire du SAMM
Université Paris 1, Paris, France
Linear-quadratic control of stochastic Volterra equations
March 12
Risk & Stochastics and Financial Mathematics Seminar
London School of Economics, London, England
Reconciling rough volatility with jumps
March 11
Finance and Stochastics seminar
Imperial College, London, England
Linear-quadratic control of stochastic Volterra equations
January 30
Vienna Seminar in Mathematical Finance and Probability
Vienna University, Austria
Linear-quadratic control of stochastic Volterra equations
2019
December 13
October 29
Talks in Financial and Insurance Mathematics
ETH-Zürich, Switzerland
Linear quadratic control of stochastic Volterra equations
October 16
Seminar on Finance & Modeling
Université Paris 1, France
Invariance and viability: from finite dimensional ODEs to infinite dimensional SDEs
October 11
April 18
Groupe de Travail Méthodes Stochastiques et Finance
Ecole des Ponts, INRIA & Université Paris Est, Noisy, France
Affine and quadratic Volterra processes and applications
January 15
Matinée scientifique du Ceremade
Université Dauphine, Paris, France
Stochastic Volterra equations
2018
November 8
Stochastic Analysis and Stochastics of Financial Markets
Humboldt/TU Universities, Berlin, Germany
Lifting the Heston model
February 1
Groupe de Travail Probabilités et Mathématiques financières
Université d'Evry, Evry, France
Affine Volterra processes
2017
October 19
Groupe de Travail Méthodes Stochastiques et Finance
Ecole des Ponts, INRIA & Université Paris Est, Noisy, France
Affine Volterra processes
October 10
Post/Doctoral Seminar in Mathematical Finance
ETH-Zürich, Switzerland
The Volterra square-root process
May 17
Séminaires de l’équipe de Probabilités et Statistiques
Université Paris 13, Paris, France
Stochastic invariance and applications. [slides]
February 23
Séminaire des Jeunes Chercheurs du Ceremade
Université Paris Dauphine, Paris, France
Invariance of closed sets, from regular ODEs to irregular SDEs. [slides]
2016
October 20
PhD Students' Day - CEREMADE
Université Paris Dauphine, Paris, France
Invariance of closed sets, an intuitive overview. [slides]
October 13
Groupe de Travail Méthodes Stochastiques et Finance
Ecole des Ponts, INRIA & Université Paris Est, Noisy, France
Stochastic invariance of closed sets with non-Lipschitz coefficients. [slides]