Location
Dates
Presentation
The ABS CIMPA School 2021 of Finance & Operation Research aims to offer advanced training on recent issues at the interface of quantitative finance and operational research. The school targets pre and post-doctoral students, teacher-researchers of Morocco, other countries in Africa and beyond, local research engineers and research financial.
All speakers are confirmed researchers. A second objective of the school is to animate a research network and to feed the research agenda of the Africa Business School on these subjects.
The program will cover advanced financial modeling topics (e.g. Levy processes, credit risk, non-linear pricing), stochastic optimization and switching, as well as issues of optimization and game theory involving propagation of chaos techniques, mean fields and principal agents.
Official language of the school: English
Administrative and scientific coordinators
Scientific program
Course 1: "General Theory of Processes", Youssef Ouknine (Université Cadi Ayyad & Université Mohammed VI Polytechnique, Morocco)
Course 2: "Ito Calculus", Elhoussaine Erraoui (Université Hassan 2, Casablanca, Morocco)
Course 3: "Backward Stochastic Differential Equations", El Hassan Essaky (Université Cadi Ayyad, Morocco)
Course 4: "Mean Field Games", Said Hamadène (Le Mans Université, France)
Course 5: "Mean Field Control", Nizar Touzi (École Polytechnique, France)
Course 6: "Dependent Arrival Times", Philip Protter (Columbia University, USA) - Mini Course
Course 7: "Role of Information in Finance", Monique Jeanblanc (Université d’Evry, France) - Mini Course
Course 8: "Advanced Modeling in Finance", Ernst Eberlein (Universität Freiburg, Germany) - Mini Course
Course 9: "From Large Population Games to Mean Field Game", Ludovic Tangpi (Princeton University, USA) - Mini Course
Course 10: "Introduction to Cyber Risk in Insurance", Caroline Hillairet (ENSAE, France) - Mini Course
Website of the school
How to participate
For registration and application to a CIMPA financial support, follow the instructions given here.
Deadline for registration and application: August 25, 2021