Talks

University of Rome Tor Vergata Seminar (Invited) – Rome, Italy (February) – Fast Smile Calibration in Discrete and Continuous Time Using Minimum-Entropy Algorithms

QuantMinds International – London, U.K. (November) – Fast Smile Calibration in Discrete and Continuous Time Using Minimum-Entropy Algorithms
Bachelier Seminar – Paris, France (November) – Fast Smile Calibration in Discrete and Continuous Time Using Minimum-Entropy Algorithms
SIAM Conference on Financial Mathematics and Engineering – Miami, U.S.A. (July) – Fast Smile Calibration in Discrete and Continuous Time Using Sinkhorn Algorithms
12th General AMaMeF Conference – Verona, Italy (June) – Smile Dynamics and Rough Volatility
FM Power Hour – Western University Seminar (Invited) – London, ON, Canada (March) – Smile Dynamics and Rough Volatility
NYU–Princeton Workshop on Future Electricity Grids and Energy Markets with Decarbonization (Invited) – New York, U.S.A. (January) – An Efficient Shared Socioeconomic Pathways-Based Methodology for Assessing Climate Risks of a Large Credit Portfolio

QuantMinds International – London, U.K. (November) – Smile Dynamics and Rough Volatility
12th World Bachelier Congress – Rio de Janeiro, Brazil (July) – Smile Dynamics and Rough Volatility
Peter Carr Brooklyn Quant Experience Lecture Series – New York, U.S.A. (April) – Smile Dynamics and Rough Volatility. YouTube recording
International Conference on Computation Finance, ICCF24 – Amsterdam, Netherlands (March) – An Efficient Shared Socioeconomic Pathways-Based Methodology for Assessing Climate Risks of a Large Credit Portfolio

Green Finance Research Advances (Invited) – Paris, France (December) – Bridging Socioeconomic Pathways of CO2 Emission and Credit Risk
QuantStrats 2022 (Panel) – London, U.K. (October) – ESG Data – Building a Framework to Quantify Climate Risk and ESG Factors for Quant Investment
DeVinci Research Center – Finance Group Seminar (Invited) – Online (January) – Weak Approximations and VIX Option Price Expansions in Lognormal and Rough Forward Variance Models

London–Paris Bachelier Workshop in Financial Mathematics – Online (March) – Multilevel Monte Carlo Simulation of VIX Options in the Rough Bergomi Model
Laboratoire de Probabilités, Statistique et Modélisation (LPSM) Seminar – Online (March) – Weak Approximations and VIX Options in Rough Bergomi Models

Actuarial and Financial Mathematics Conference – Brussels, Belgium (February) – Meta-model of a Large Credit Risk Portfolio in the Gaussian Copula Model
Young Statisticians and Probabilists Conference – Paris, France (January) – Multilevel Monte Carlo Methods
Advances in Financial Mathematics – Paris, France (January) – Meta-model of a Large Credit Risk Portfolio in the Gaussian Copula Model
SIMPAS Group Meeting – Online (May) – Polynomial Chaos Expansion for Meta-models of Large Sums of Dependent Random Variables
Groupe de Travail Méthodes Stochastiques et Finance – Paris, France (February) – Meta-model of a Large Credit Risk Portfolio in the Gaussian Copula Model

Research in Options – Rio de Janeiro, Brazil (December) – Meta-model of a Large Credit Risk Portfolio in the Gaussian Copula Model
12th European Summer School in Financial Mathematics – Padova, Italy (September) – Asymptotics of American Options and Implied Volatilities in Local Volatility Models
12th International Conference on Monte Carlo Methods and Applications – Sydney, Australia (July) – Multilevel Monte Carlo Methods and Lower/Upper Bounds in Nested Risk Computations
20th INFORMS Applied Probability Society Conference – Brisbane, Australia (July) – Multilevel Monte Carlo Methods and Lower/Upper Bounds in Nested Risk Computations
SIAM Conference on Financial Mathematics and Engineering – Toronto, Canada (June) – Asymptotics of American Options and Implied Volatilities in Local Volatility Models
Chaire Stress Test Group Meeting – Paris, France (September) – Meta-model of a Large Credit Risk Portfolio in the Gaussian Copula Model

Research in Options – Rio de Janeiro, Brazil (December) – Multilevel Monte Carlo Method and Lower/Upper Bounds for Initial Margin Computations. YouTube recording