Organisation des colloques

1er Colloque  Bachelier sur les mathématiques financières et calcul stochastique, Besançon, 29-31.03 2000.
Co-organisateurs: J.-M. Courtault, Ch. Stricker.

2ème Colloque  Bachelier sur les mathématiques financières et calcul stochastique, Métabief, 9-16.01 2005.
Co-organisateurs: J.-M. Courtault, Ch. Stricker. site web

3ème Colloque  Bachelier sur les mathématiques financières et calcul stochastique, Métabief, 6-13.01 2008.
Co-organisateurs: J.-M. Courtault, Ch. Stricker. site web

4ème Colloque  Bachelier sur les mathématiques financières et calcul stochastique, Métabief, 24-31.01 2010.
Co-organisateurs: B. Anreianov, U. Franz. site web

5ème Colloque  Bachelier sur les mathématiques financières et calcul stochastique, Métabief, 16-23.01 2011.
Co-organisateurs: B. Anreianov, J. Grépat, J.-P.Ortega. site web

6ème Colloque  Bachelier sur les mathématiques financières et calcul stochastique, Métabief, 15-22.01 2012.
Co-organisateurs: J. Grépat, J.-P.Ortega. site web

7ème Colloque  Bachelier sur les mathématiques financières et calcul stochastique, Métabief, 13-20.01 2013.
Co-organisateurs: J. Grépat, J.-P.Ortega, D.Varron. site web

8ème Colloque  Bachelier sur les mathématiques financières et calcul stochastique, Métabief, 12-28.01 2014.
Co-organisateurs: J. Grépat, L.Grigorieva, J.-P.Ortega.
site web

Première école Bachelier en mathématiques financières , Métabief, 19-26.01 2014.
Co-organisateurs : J. Grépat, L. Grigorieva, J.-P.Ortega. site web

Colloque Internationale "Calcul stochastique, martingales, and modélisation financière", Pushkin, 29.06-06.07 2014.
Co-organisateurs : Albert Shiryaev, Vladimir Spokoiny.
site web

L' école d'été en finance mathématique. Pushkine, 03.07-10.07 2014.
site web

Colloque Internationale "Science of the Future", St. Petersburg, 17.09-20.09 2014.
Membre du comité de programation, le Président de la section "Mathématiques".
site web

Colloque Internationale "Stochastique. Statistique. Mathématiques financière", Moscou, 13.10-15.10 2014.
Co-organisateur : Mikhail Zhitlukhin.
site web

9ème Colloque  Bachelier sur les mathématiques financières et calcul stochastique, Métabief, 11-18.01 2015.
Co-organisateurs: J. Grépat, L.Grigorieva, J.-P.Ortega.
site web

10ème Colloque  Bachelier sur les mathématiques financières et calcul stochastique, Métabief, 17-24.01 2016.
Co-organisateurs: E. Lépinette, J.-P.Ortega.
site web

11ème Colloque  Bachelier sur les mathématiques financières et calcul stochastique, Métabief, 16-21.01 2017.
Co-organisateurs: E. Lépinette, J.-P.Ortega.
site web

L'école d'hiver en risque systemique, Centre interfacultaire Bernoulli (CIB), EPFL, Lausanne, 09-13.01 2017.
site web

Semestre thématique "Stochastic Dynamical Models in Mathematical Finance, Econometrics, and Actuarial Sciences" , Centre interfacultaire Bernoulli (CIB), EPFL, Lausanne, 01.01-30.06 2017.
Co-organisateurs: Luc Bauwens (Université catholique de Louvain), Juan-Pablo Ortega (Universitaet St. Gallen), site web

"Asymptotic Statistics of Stochastic Processes and Applications XI". Peterhof, July 17-21, 2017.
Co-organisateurs : Yu. Kutoyants, N.Yoshida, A. Shiryaev.
site web

12ème Colloque  Bachelier sur les mathématiques financières et calcul stochastique, Métabief, 15-20.01 2018.
Co-organisateur : E. Lépinette. site web

13ème Colloque  Bachelier sur les mathématiques financières et calcul stochastique, Métabief, 07-12.01 2019.
Co-organisateur : E. Lépinette. site web

L' école d'été en finance mathématique. Moscou, 26.08-30.08 2019.
site web

14ème Colloque  Bachelier sur les mathématiques financières et calcul stochastique, Métabief, 13-18.01 2020.
Co-organisateur : E. Lépinette. site web

The Black Sea School on New Developments in Mathematical Finance, Sochi, 19.04-24.04 2021.
webpages

1996-1999

1. Conference in Honor of Oliviero Lessi. Padua,
25 - 26 March 1996.
On some models of mathematical finance.

2. Conference on Mathematical Finance. Aarhus,
3-8 June 1996.
1. Mathematical theory of large financial markets.
2. On Leland's strategy of option pricing with transaction costs.

3. Minisymposium on Mathematical Finance. Ascona,
20-21 September 1996.
On Leland's strategy of option pricing with transaction costs.

4. Workshop Mathematical Finance and Applications.
Berlin, 2-4 October 1996.
Optional decomposition and Lagrange multipliers.

5. III Italian Conference on Mathematical Finance.
Trento, 26 - 30 May 1997.
On the Fundamental Theorem of Asset Pricing.

6. Stochastic Analysis in Finance and Insurance. Mathematisches Forschungsinstitut Oberwolfach,
14 - 20 September 1997.
Hedging and liquidation under transaction costs.

7. Statistical Inference for Stochastic Processes, Paderborn, 23 - 26 April 1998.
Mathematical modeling of financial markets with transaction costs.

8. Quantitative Methods in Finance, Sydney,
14 - 17 December 1998.
Hedging in a model with transaction costs.

9. Statistics of Stochastic Processes, Freiburg,
27 - 29 May 1999.
The Harrison-Pliska theorem under transaction costs.

10. International Conference on Mathematical Finance.
Hammamet, Tunisia, 14-18 June 1999.
Criteria of non-arbitrage under transaction costs.

11. The 5th JAFEE International Conference, Tokyo,
28 - 29 August 1999.
Models with transaction costs: criteria of no-arbitrage
and hedging theorems.

12. Workshop on Mathematical Finance,
Strobl - Vienna, 13 - 18 September 1999.
Continuous-time models of security markets with transaction costs.

2000-2021

13. Pricing and Managing Financial Assets in International Capital Markets, Le Mans, 14-15 January 2000.
The Harrison-Pliska arbitrage pricing theorem under
transaction costs.

14. AMS Scand 2000, Odense, 13-16 June 2000,
Models with transaction costs: criteria of no-arbitrage.

15. The 1st World Congress of the Bachelier Finance Society, Paris, 28.06- 01.07 2000.
The Harrison-Pliska arbitrage pricing theorem under
transaction costs.

16. Risk Management, Modeling and Numerical Methods. UCLA, Institute of Pure and Applied Mathematics,
Los Angeles, 3-12 January 2001.
Aspects of arbitrage theory.

17. International Finance Conference, Hammam-Sousse,
Port el Kantaoui, Tunisie, 15-17 March 2001.
General theory of market with transaction costs.

18. Infinite Dimensional Models in Mathematical Finance,
Warwick, 22-26 Mai 2001.
Lecture 1. Portfolios on HJM bond markets
Lecture 2. General theory of markets with transaction costs.

19. Lectures on Mathematical Finance, University Roma Tre, 01-02.06 June 2001.
Models with transaction costs.

20. Erlangen, Muenchner Tag der Stochastik, Erlangen,
13 July 2001.
Convex duality methods in portfolio optimization.

21. Hellinger integrals and processes, University of Helsinki, 06-09 September 2001.
Hellinger processes in mathematical finance.

22. Workshop on Stochastic Control and Its Applications
in Insurance. University of Karlsruhe, 07-08 December 2001.
Portfolio optimization under transaction costs.

23. Mini-workshop on Stochastic Analysis,
University of Jena, 17-18.01.2002.
Recent progress in the theory markets with transaction costs.

24. International Symposium on Stochastic Processes and Applications to Mathematical Finance, Ritsumeikan University, Kusatsu, Japan, 2002.
Hedging of contingent claims under transaction costs.

25. The 2ndWorld Congress of the Bachelier Finance Society, Agia Pelagia, Greece, 12.06-15.06 2002.
To a theory of financial markets with friction.

26. The 2nd Euro-Japanese Workshop on Stochastic Modelling for Finance, Insurance, Production and Reliability. Chamonix, September 18-20 2002.
Portfolio selection problem under transaction costs.

27. Rencontre nancéenne de probabilités. Nancy,
18-20.11.2002.
On the HJB equation in a model with transaction costs.

28. Stochastic Analysis in Finance and Insurance.
Mathematisches Forschungsinstitut Oberwolfach,
02.03-08.03.2003.
Portfolio choice under transaction costs.

29. Seminar on Mathematical Finance. Osaka, 12.07.2003.
Recent progress in no-arbitrage criteria.

30. EMS Math Weekend, Lisbon, 12.09-15.09 2003.
News from the arbitrage theory.

31. Stochastic Finance, Lisbon, 26.09-01.10 2004.
HJB equations in the theory of financial markets with
transaction costs.

32. 2005 Daiwa International Workshop on Financial Engineering, Tokyo, 21-22.07 - Kyoto, 25-26.04 2005.
Recent development in the theory of financial markets with transaction costs.

33. Mini-symposium on Financial Engineering, Kyoto University, 02.08.2005.
No-arbitrage conditions under transaction costs.

34. Symposium on Optimal Stopping with Applications,
University of Manchester, 23-27.01.2006.
Subtleties in the theory of financial markets with transaction costs.

35. Journées de probabilités, 18-22.09 2006, CIRM,
Marseille, Luminy.
Mean square error for the Leland--Lott hedging strategy.

36. Advances in Mathematics of Finance.
Second General AMAMEF and Banach Center Conference,
Bedlewo, 30.04-05.05.2007.
A survey of recent results in models with transaction costs.

37. Stochastic Processes Theory and Applications,
Bressanone, 16-20 July 2007.
Mathematical theory of financial markets with transaction costs.

38. Stochastic Analysis in Finance and Insurance.
Oberwolfach, 27.01-02.02.2008,
Hedging of American options under transaction costs.

39. 2008 Daiwa International Workshop on Financial Engineering.
Tokyo, 5-6 August 2008. Hedging of European and American options under transaction costs.

40. Workshop on Finance and Related Mathematical and Statistical Issues.
September 3-6, 2008, Kyoto. Hedging of American options under transaction costs.

41. Workshop "Finance and Insurance".
March 16-20, 2009, Jena. Hedging of American options under transaction costs.

42. Congress "Stochastic Analysis for and from Finance" (SAFFF).
August 3-7, 2009, Kyoto. Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs

43. Workshop "Mathematical Finance and Related Topics in Economics and Engineering".
August 13-15, 2009, Kyoto. Approximate hedging under transaction costs.

44. The 4th Bachelier Colloquium in Stochastic Calculus and Mathematical Finance, Métabief, 24-31.01 2010.
Consumption-investment problem with transaction costs with Lévy-driven price processes.

45. Workshop "Stochastic Control in Finance"
Roscoff (France), March 7-18, 2010. No free lunch of the second kind.

46. International Conference DynStoch Meeting 2010.
Angers 16 ó 19 June, 2010. Small transaction costs, absence of arbitrage and consistent price systems.

47. KIER-TMU International Workshop on Financial Engineering 2010.
Tokyo, 2-5 August 2010.
Small transaction costs, absence of arbitrage and consistent price systems.

48. Paris-Dauphine workshop "Markets with frictions: transaction costs and liquidity risk".
Paris, IHP, September 14-17, 2010.
a. Super-hedging of options under transaction costs.
b. Consumption-investment problem with transaction costs for Lévy-driven price processes.

49. "Visions in Stochastics (Leaders and their Pupils)".
Steklov Mathematical Institute, Moscow, November 1-3, 2010.
Mathematical finance and mathematics from finance.

50. Workshop "Stochastic Analysis in Finance and Insurance".
Mathematisches Forschungsinstitut Oberwolfach, January 23-29, 2011.
Minipresentation of recent results.

51. Spring School "Stochastic Models in Finance and Insurance".
March 21 - April 1, 2011, Jena.
No arbitrage under small transaction costs.

52. "Recent Development in Mathematical Finance".
Conference in honor of 60th anniversary of Tomas Björk.
Royal Institute of Technology, Stockholm, May 9 - 10, 2011.
No arbitrage under small transaction costs.

53. "Seventh Seminar on Stochastic Analysis, Random Fields and Applications".
Centro Stefano Franscini, Ascona. May 23 - May 27, 2011.
On local martingale deflators: the Kardaras theorem.

54. "11th Winter school on Mathematical Finance".
Lunteren, The Netherlands. January 23 - 25, 2012.
On local martingale deflators and market portfolios.

55. Workshop "Financial Risk Menagement and New Developments in Financial Theory".
Hokkaido University, Sapporo, Japan. February 13-14, 2012.
On local martingale deflators and market portfolios.

56. "Set Optimization Meets Finance". International Mini-Conference on Set-Valued Variational Analysis and Optimization with Applications in Finance.
Lutherstadt Wittenberg (Germany), August 16-19, 2012.
Essential supremum and essential maximum with respect to random preference relations.

57. "Perspectives in Analysis and Probability". Conference in Honor of Freddy Delbaen.
Zurich, September, 24-28, 2012.
Essential supremum and essential maximum with respect to random preference relations.

58. "Winter Workshop on Finance".
Hokkaido University, Sapporo, Japan. February 18-19, 2013.
Essential supremum and essential maximum with respect to random preference relations with financial applications.

59. "Asymptotical Statistics of Stochastic Processes IX".
Université du Maine, Le Mans, 11-14 March, 2013.
Essential supremum and sssential maximum with respect to random preference relations.

60. "Advanced Finance and Stochastics".
Steklov Mathematical Institute, Moscow, June 24-28, 2013.
On Essential Supremum and Essential Maximum with Respect to Random Partial Orders with Applications to Hedging.

61. "Modern Problems of Mathematical Finance".
Higher School of Economics, Pushkin, November 28-December 1, 2013.
On Local Martingale Deflators and Market Portfolios.

62. "Winter Workshop on Finance".
Hokkaido University, Sapporo, Japan. February 16-17, 2014.
No Asymptotic Arbitrage of the 1st Kind and Market Portfolios.

63. "International Conference on Portfolio Selection and Asset Pricing in Financial Markets".
Kyoto University, Japan. March 28-29, 2014.
Local Martingale and Supermartingale Numeraire Portfolios.

64. "XV April International Academic Conference on Economic and Social Development".
Higher School of Economics, Moscow. April 1-4, 2014.
Mathematical Theories of Option Pricing.

65. Workshop "Stochastic Analysis in Finance and Insurance".
Mathematisches Forschungsinstitut Oberwolfach, May 5-9, 2014.
On Traded Local Martingale Deflators.

66. Workshop"Contemporary Topics in Actuarial Sciences".
Besançon, June 4-6, 2014.
In the Life Insurance Business Risky Investments are Dangerous.

67. Workshop "Stochastic Analysis for Risk Modelling".
CIRM, Marseille, September 8-12, 2014.
Actuarial Problems in Financial Environment.

68. International conference "Science of the Future".
St. Petersburg, 17.09-20.09 2014.
Stochastic Deflators and Market Portfolios .

69. International conference "Stochastics. Statistics. Financial mathematics".
Moscow, 13.10-15.10 2014.
Absolute Continuity of Measures, the Girsanov Theorem, and Hellinger Processes .

70. International workshop "Stochastic Analysis, Controlled Dynamical Systems and Applications".
Jena, March 9-13, 2015.
On the Asymptotic of Ruin Probability with Risky Investments.

71. "The Second International Conference on Mathematics and Statistics (AUS-ICMS'15)",
Sharjah, April 2-5, 2015.
In the Life Insurance Business Risky Investments are Dangerous.

72. "Statistics & Computational Finance",
Lisbon, July 6-10, 2015.
Ruin Probabilities: Equations and Asymptotics.

73. Workshop on "Decision Theory in Mathematical Finance" in honour of Professor Freddy Delbaen,
Brussels, October 9, 2015.
Local Martingale Deflators and Asymptotic Arbitrage.

74. Workshop "A.N. Shiryaev and contemporary probability theory".
Angers, November 30-December 2, 2015.
No Arbitrage and Local Martingale Deflators. On One Application of the Cherny-Shiryaev Criterion of Stochastic Integrability.

75. "Winter Workshop on Operations Research, Finance and Mathematics".
Sahoro, Hokkaido. February 14-19, 2016.
Ruin Probabilities in Models with Negative Risk Sums.

76. "Workshop on Operations Research and Finance".
Hakodate, Hokkaido. June 7-8, 2016.
Clearing in Financial Networks.

77. 9th European Summer School in Financial Mathematics.
Pushkin, August 29 - September 2, 2016.
Clearing in financial networks.

78. Workshop "Advances in Statistics for Random Processes"
Le Mans, September 6-9, 2016.
Clearing.

79. The Third Russian Economic Congress.
Moscow, December 19-23, 2016.
Mathematics of systemic risk.

80. "Advances in Financial Mathematics".
Paris, January 10-13, 2017.
Clearing in financial networks.

81. The 11th Bachelier Colloquium in Stochastic Calculus and Mathematical Finance.
Métabief, 16-21.01 2017.
The ruin problem for Lévy-driven linear stochastic equations.

82. "Winter Workshop on Operations Research, Finance and Mathematics, 2017".
Jozankei, Sapporo, Hokkaido. February 20-24, 2017.
a. Asymptotics of ruin probabilities with investments in a risky asset with price given by a geometric Lévy process.
b. Solving clearing and Bellman Equations.

83. The 2nd NUS-NCPC Workshop on Chalenges in Financial Risk Control.
Singapore, April 11-12, 2017.
No arbitrage and local martingale deflators.

84. "Asymptotic Statistics of Stochastic Processes and Applications XI".
Peterhof, July 17-21, 2017.
Ruin probabilities with investments in a risky asset with the price given by a geometric Lévy process.

85. "SPA 2017".
Moscow, July 24-28 2017.
The ruin problem for Lévy-driven linear stochastic equations with applications to actuarial models with investments.

86. "The 2nd International Conference on Computational Finance".
Lisbon, September 4-8, 2017.
Clearing in financial networks.

87. Workshop "Stochastic control, BSDEs and new developments".
Roscoff, September 11-15 2017.
Ruin probabilities with investments in a risky asset with the price given by a geometric Lévy process.

88. MATRIX program conference "Mathematics of Risk".
Creswick, Australia, November 27-December 1 2017.
Ruin probabilities with investments in a risky asset with the price given by a geometric Lévy process.

89. UNSW-Macquarie University Workshop "Risk: Modeling, Optimization, and Inference".
Sydney, December 6-7 2017.
Financial markets with small transaction costs.

90. Conference "Quantitative Methods in Finance QMF2017".
Sydney, Australia, December 12-15 2017.
Ruin probabilities with investments in a risky asset with the price given by a geometric Lévy process.

91. The 12th Bachelier Colloquium in Stochastic Calculus and Mathematical Finance.
Métabief, 15-20.01, 2018.
Ruin probabilities with investments via implicit renewal theory.

92. The 3rd International Conference on Stochastic Methods.
Divnomorskoe, 03-09.06, 2018.
On a multi-asset version on the Kusuoka limit theorem of option superreplication under transaction costs.


93. Advanced Methods in Mathematical Finance.
Angers, 28-31.08. 2018.
On sets of laws of continuous martingales.

94. Innovative Research in Mathematical Finance.
Marseille, CIRM, 03-07.09. 2018.
On a multi-asset version on the Kusuoka limit theorem of option superreplication under transaction costs.

95. The 4th International Conference on Stochastic Methods.
Divnomorskoe, 02-09.06, 2019.
On ruin probabilities with investments.

96. The 3rd Conference ''Mathematical Economics and Finance''.
Manchester, 26-30.2019.
A set-valued approach to models with small transaction costs.

97. Workshop: Finance and Insurance.
Freiburg, FRIAS, 14-15.11.2019.
On ruin problems with investments.

98. "13th European Summer School in Financial Mathematics".
Vienna, 31.08-04.2020.
Ruin problems with investments.

99. New Challenges in the Interplay between Finance and Insurance.
Oberwolfach, 26.10-30.10. 2020.
Ruin problems with investments.

100. International Scientific Conference "Robust Statistics and Financial Mathematics-2020"
Tomsk, 15.12-16.12.2020.
Ruin problems with investments in risky asset with stochastic volatility.

101. "The Black Sea School on New Developments in Mathematical Finance".
Sochi, 19.04-24.04 2021.
Ruin problems with investments in a risky asset and regime switching.