evenements:seminaireproba-math-fi
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evenements:seminaireproba-math-fi [2019/01/31 12:45] Valérie Picot |
evenements:seminaireproba-math-fi [2019/02/18 10:43] Valérie Picot |
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| **__Exposés de l'année 2019__ :** | **__Exposés de l'année 2019__ :** | ||
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| + | **22 fevrier à 14h00 :** <color #088A85> Eva Löcherbach</color> (Université Paris 1) // Oscillations pour des systèmes de processus de Hawkes en interactions// | ||
| + | ++ Voir résumé | \\On considère un système de processus de Hawkes non-linéaires avec des interactions en champ moyen pour modéliser des séquences de trains de décharge dé neurones. Après avoir étudié la limite de grande population d’un tel système (autrement dit, la propriété de propagation de chaos), j’expliquerai comment les non-linéarités dans la dynamique limite engendrent du comportement périodique et donc des oscillations auto-entretenues du système. Ceci est un travail commun avec Susanne Ditlevsen.. | ||
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| + | **14 fevrier à 14h00 :** <color #088A85> Tahir Chouilli</color> (University of Alberta) // Deflators and log-optimal portfolios for markets under random horizon// | ||
| + | ++ Voir résumé | \\The goal of this talk is to ``measure'' the impact of a random horizon on log-optimal portfolios. This random horizon is a general random time that might represent the default time of a firm, the death time of an insured, or more generally an occurrence time of an even that might impact the market somehow. Herein, in this setting, we address the num\'eraire portfolio and the log-utility maximization problem. Due to the duality between the investment strategies and the deflators, our ultimate goal translates to the description of the impact of the random horizon on the optimal deflator. Thus, our first principal result lies in explicitly describing the set of all deflators for a model stopped at a random time in different manners. Once the set of all deflators is completely and explicitly parametrized, we address the minimization problem over the set of these deflator. For the case of log utility, this optimal deflator is completely and explicitly described in different manners using the flow information generated by the initial market model only. As a result, we conclude that the random horizon leads naturally to an implied random utility. Concerning the num\'eraire portfolio, we establish a one-to-one connection between the num\'eraire portfolio for models stopped at the random time and the num\'eraire portfolio for models under ``public'' information only. This talk is based on joint works with Sina Yansori (University of Alberta). | ||
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| **7 fevrier à 14h00 :** <color #088A85> Yann Braouezec</color> (IESEG School of Management) // Stress testing banks’ balance sheets : model and empirical application to the six American systemic banks// | **7 fevrier à 14h00 :** <color #088A85> Yann Braouezec</color> (IESEG School of Management) // Stress testing banks’ balance sheets : model and empirical application to the six American systemic banks// | ||
evenements/seminaireproba-math-fi.txt · Last modified: 2024/04/22 12:08 by Valérie Picot
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