Emplacement
Dates
Présentation
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.
Langue officielle de l'école : anglais
Coordinateurs administratifs et scientifiques
Programme scientifique
Cours 1: "General Theory of Processes", Youssef Ouknine (Université Cadi Ayyad & Université Mohammed VI Polytechnique, Maroc)
Cours 2: "Ito Calculus", Ernst Eberlein (Universität Freiburg, Allemagne)
Cours 3: "Backward Stochastic Differential Equations", El Hassan Essaky (Université Cadi Ayyad, Maroc)
Cours 4: "Mean Field Games", Said Hamadène (Le Mans Université, France)
Cours 5: "Mean Field Control", Nizar Touzi (École Polytechnique, France)
Cours 6: "Dependent Arrival Times", Philip Protter (Columbia University, USA) - Mini cours
Cours 7: "Role of Information in Finance", Monique Jeanblanc (Université d’Evry, France) - Mini cours
Cours 8: "Advanced Modeling in Finance", Ernst Eberlein (Universität Freiburg, Germany) - Mini cours
Cours 9: "From Large Population Games to Mean Field Game", Ludovic Tangpi (Princeton University, USA) - Mini cours
Cours 10: "Introduction to Cyber Risk in Insurance", Caroline Hillairet (ENSAE, France) - Mini cours
Site internet de l'école
Comment participer
Pour s'inscrire et candidater à un financement CIMPA, suivre les instructions données ici.
Date limite d'inscription et de candidature : 25 août 2021