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EFFA 2016
Schedule May
Schedule September



Labex 'Finance et croissance durable'


Chair Markets in Transition under the aegis of Louis Bachelier laboratory



Enlargements of Filtrations and Financial Applications

Organizers: Stéphane Crépey, Monique Jeanblanc (Université d'Évry Val d'Essonne),
Ashkan Nikeghbali (University of Zurich)

University of Évry, France, May 2 - 3, 2016
SLIDES (Download zip-file, 7,138 MB)

University of Zurich, Switzerland, September 8 - 9, 2016

Since the occurrence of the global financial crisis, the field of enlargement of filtrations sees a vigorous revival in relation with applications such as counterparty risk or insider trading. The Institute of Mathematics of the University of Zurich and the probability and finance team of the University of Évry are jointly organizing two companion workshops on enlargement of filtrations and financial applications.

The focus will be both expository, including a keynote presentation of Jean Jacod about the beginnings of enlargement of filtrations in the 1980s, and cutting-edge, with recent developements in relation with topical mathematical finance issues. Registration is free but mandatory.


University of Évry, May 2 - 3, 2016:
Christophette Blanchet-Scalliet, École Centrale de Lyon
Umut Cetin, London School of Economics
Tahir Choulli, University of Alberta
Delia Coculescu, University of Zurich
Jean Jacod, University Pierre et Marie Curie
Ying Jiao, Université Claude Bernard Lyon 1
Thierry Jeulin, Université Paris 7
Kostas Kardaras, London School of Economics
Martin Larsson, ETH Zurich
Libo Li, University of New South Wales
Ashkan Nikeghbali, University of Zurich
Philip Protter, Columbia University
Peter Tankov, Université Paris 7

University of Zurich, September 8 - 9, 2016:
Anna Aksamit, University of Oxford
Beatrice Acciaio, London School of Economics
Delia Coculescu, University of Zurich
Karl-Théodor Eisele, Université de Strasbourg
Caroline Hillairet, ENSAE
Monique Jeanblanc, Université d'Évry
Discussion sessions with:
Umut Cetin, London School of Economics
Claudio Fontana, LPMA
Thomas Lim, ENSIIE
Philip Protter, Columbia University
Shiqi Song, Université d'Évry