Symposium on optimal quantization and applications to mathematical finance

A symposium on Optimal Quantization and Applications to Mathematical Finance took place at the Laboratoire de Probabilités et Modèles Aléatoires (LPMA), Universités Paris 6 - Paris 7, the 1-2 September 2008.

The organizing committee was Anne-Laure Bronstein, Vincent Lemaire, Isabelle Mariage, Gilles Pagès, Huyên Pham and Abass Sagna.

Monday, 1th Sept

  • 09h00-09h30. Welcome and coffee
  • 09h30-10h10. Harald Luschgy: Fractal functional quantization of mean regular processes
  • 10h15-10h55. Antoine Lejay: Functional quantization for control variate, an approach using least-square
  • 11h00-11h40. Benedikt Wilbertz: Constructive quantization for Gaussian measures on $ \left(C([0,1]), \| \cdot \|_\infty\right) $
  • 11h45-13h55. Lunch
  • 14h00-14h40. Huyên Pham: Optimal quantization methods in nonlinear filtering and applications to finance
  • 14h45-15h25. François Delarue: Quantization and discretization of quasilinear PDEs
  • 15h25-15h40. Coffee Break
  • 15h45-16h25. Anne-Laure Bronstein: Basket options and parallel quantization
  • 16h30-17h10. Camille Illand: Quantization algorithm for backward stochastic differential equations

Tuesday, 2th Sept

  • 09h00-09h30. Coffee
  • 09h30-10h10. Gilles Pagès: Distortion mismatch in the quantization of probability measures and some applications
  • 10h15-10h55. Abass Sagna: Asymptotics of the maximal radius of an $ L^r $-optimal sequence of quantizers
  • 11h00-11h40. Jacques Printems: A hybrid quantization-Monte Carlo method applied to the pricing of some financial derivatives
  • 11h45-13h55. Lunch
  • 14h00-14h40. Sandrine Bouthemy: Gas storage capacities valuation by optimal quantization
  • 14h45-15h25. Sylvain Corlay: Fast nearest neighbor search algorithms
  • 15h25-15h40. Coffee break
  • 15h45-16h25. Aurelia Fraysse: Scalar quantization of sparse natural images
  • 16h30-17h10. Jean-Claude Fort: Kohonen algorithm, self-organization and quantization. Numerical and data analysis aspects
  • 17h10-17h30. Summary and perspectives.