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Events for October 2, 2017

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12:15 pm

Jean-Baptiste MICHAU (CREST) – “Rational Bubbles and Ponzi Schemes in a Neoclassical Economy”

October 2, 12:15 pm - 1:30 pm

The Macroeconomics Seminar: Every Monday at 12:15 pm. Time: 12:15 pm - 1:30 pm Date: 02th of October 2017 Place: Room 3001. Jean-Baptiste MICHAU (CREST) - "Rational Bubbles and Ponzi Schemes in a Neoclassical Economy" Abstract: This paper considers a neoclassical economy where households derive utility from holding wealth. This can induce the capital stock to exceed […]

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3:00 pm

Mitja STADJE – Perfect Hedging Under Endogenous Permanent Market Impacts

October 2, 3:00 pm - 4:00 pm

Joint seminar CMAP-CREST-ENSTA "Stochastic models in Finance"  1st Monday of each month Time: 15:00 pm - 16:0 pm Date: 02th of October 2017 Place: Room 3005. Mitja STADJE - "Perfect Hedging Under Endogenous Permanent Market Impacts". Abstract: We model a nonlinear price curve quoted in a market as the utility indifference curve of a representative liquidity supplier. […]

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Nicolas MARIE (Modal’X (Paris 10)/ESME Sudria) – “Estimation non-paramétrique dans les équations différentielles dirigées par le mouvement brownien fractionnaire”

October 2, 3:00 pm - 4:15 pm

The Statistical Seminar: Every Monday at 3:00 pm. Time: 3:00 pm - 4:15 pm Date: 2nd of October 2017 Place: Room 3001. Nicolas MARIE (Modal'X (Paris 10)/ESME Sudria) Abstract: Après avoir introduit quelques notions de calcul stochastique trajectoriel, l’exposé présentera un estimateur type Nadaraya-Watson de la fonction de drift d’une équation différentielle dirigée par un bruit multiplicatif fractionnaire. Afin […]

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4:00 pm

Sergio PULIDO – Stochastic Model in Finance

October 2, 4:00 pm - 5:00 pm

Joint seminar CMAP-CREST-ENSTA "Stochastic Model in Finance " 1st Monday of each month Time: 16:00 pm - 17:00 pm Date: 02th of October 2017 Place: Room 3005. Sergio PULIDO - "The Characteristic Function of Affine Volterra Processes". Abstract: A growing body of empirical research indicates that volatility fluctuates more rapidly than Brownian motion, which is inconsistent with standard semimartingale […]

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