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6 - 9 December 2021
Hotel ArtsBarcelona

Stéphane Crépey
Professor of Mathematics at Université de Paris, LPSM

Profile

Stéphane Crépey is a Distinguished Professor of Mathematics at the Université de Paris, Laboratoire de Probabilités, Statistique et Modélisation (LPSM). His research interests are financial modeling; counterparty credit risk, XVA analysis, risk measures; risk management for central counterparties; simulation, calibration, training, and machine learning techniques; uncertainty quantification, model risk; and the related mathematical topics in the fields of backward stochastic differential equations, random times modeling, enlargement of filtration, and numerical probability. He is the author of numerous research papers and two books: ``Financial Modeling: A Backward Stochastic Differential Equations Perspective'' (S. Crépey, Springer Finance Textbook Series, 2013) and ``Counterparty Risk and Funding, a Tale of Two Puzzles'' (S. Crépey, T. Bielecki and D. Brigo, Chapman & Hall/CRC Financial Mathematics Series, 2014). Stéphane is an associate editor of the SIAM Journal on Financial Mathematics and the Journal of Computational Finance. He is a member of the scientific council of the French financial markets authority (AMF).

Agenda Sessions

  • Model based Machine Learning for derivatives modelling, with application to local volatility modeling

    16:40
  • Darwinian model risk and reverse stress testing

    09:00