In the last decade we have witnessed the emergence of a wide interest in modeling price behavior in financial markets using stochastic processes with discontinuous trajectories. Models based on Lévy processes and, more recently, more general discontinuous Markov processes, have been the focus of a quickly growing research literature, but have also made their way into applications, leading to new challenges in terms of numerical methods, simulation and estimation. A large part of this research has been going on in Europe. We also note that many young researchers, whose research deserves to be known to a wider audience, have been working on this topic. The goal of this 3 day workshop will be to gather researchers involved in this field in order to
The conference will consist of five half-day sessions on the following topics, which are not exclusive but indicate some directions of interest:
  1. Multidimensional models with jumps: dependence modeling, Lévy copulas, numerical methods for multidimensional models.
  2. Simulation and estimation: efficient simulation of multivariate models, econometrics of jump processes, realized volatility/ bi-power variation.
  3. Partial integro-differential equations (PIDEs) and computational methods: weak solutions and viscosity solutions for PIDEs and quasi-variational inequalities related with option pricing, efficient numerical schemes for PIDEs.
  4. Inverse problems and model calibration: theory and algorithms for inverse problems related to option pricing models with jumps.
  5. New modeling approaches: Markov processes with jumps, models for electricity prices,  interest rate models with jumps and their efficient analytical and numerical treatment.
Each session will include three speakers, with ample time for discussion and will feature one leading expert in the field, at least one talk on applications and at least one young researcher as speaker.
Sessions will be plenary in order for all participants to be able to profit from interaction with other topics.

Invited speakers

Yacine AIT SAHALIA ( Princeton University  ) : Portfolio optimization in presence of jumps

Jean JACOD ( Université Pierre et Marie Curie, France):  Testing whether a discretely observed process has jumps

Steve G KOU ( Columbia University ):
Credit Spreads, Optimal Capital Structure, and Implied Volatility  with Endogenous Default and Jump Risk


The registration deadline ( August 1, 2006 ) is over. Participation in the workshop is free of charge.

Transport and accomodation

The workshop will take place in the Becquerel auditorium of Ecole Polytechnique, located 20 kilometers to the south of Paris. Please follow this link to learn how to get to the campus. If you come by car, you will need a conference program to enter. We ask the participants to  make their hotel reservations themselves.




Scientific committee

Local organization

Local organization and logistics will be managed by:
Secretarial support will be provided by the Centre de Mathématiques Appliquées de l’Ecole Polytechnique ( Jeanne Bailleul, Email : Jeanne.Bailleul "AT"