Partnerships

CIMPA - Africa Business School

The School

The ABS CIMPA School 2021 of Finance & Operation Research, aim to offer advanced training on recent issues at the interface of quantitative finance and operational research.

The school targets pre and post student, teacher-researchers of Morocco, other countries in Africa and all around the world, local research engineers and research financial.


To provide high quality teaching and develop participant research acumen, all speakers are confirmed researchers. In fact, the second objective of the school is to animate a research network and to feed the research agenda of the Africa Business School on these subjects.


The program will cover advanced financial modeling topics (e.g. using the Levy process, credit risk, non-linear pricing), stochastic optimization and switching, as well as issues of optimization and game theory involving the propagation techniques of chaos, middle fields and lead agent

CIMPA - Africa Business School

Language

English

Location

Mohammed VI Polytechnic University, Benguerir Morocco.

Program Structure

2 Weeks from March 29 – April 10, 2021
Cours 1
Titre : Stochastic Calculus and General Theory of Processes, Pr. Ouknine Youssef, UM6P
Durée : 2 jours

Cours 2
Titre : Advanced Modeling in Finance – Modeling by Levy Processes, Pr. Eberlein Ernst, University of Freiburg
Durée : 2 jours

Cours 3
Titre : Role of information in Finance, Pr. Jeanblanc Monique, Université d’Evry
Durée : 1 jour

Cours 4
Titre : Introduction au switching optimal stochastique, Pr. Hamadène Said, Laboratoire Manceau de Mathématiques (LMM), Le Mans Université.
Durée : 2 jours

Cours 5
Titre: Credit Risk, Pr. Protter Philip, Columbia University
Durée: 2 jours

Cours 6
Titre : Continuous-time principal agent, Pr. Touzi Nizar, Ecole Polytechnique
Durée : 1,5 jours

Cours 7
Titre : Propagation of chaos, BSDE and large population games, Pr. Tangpi Ludovic, Princeton
Durée : 1,5 jours

 

CIMPA - Africa Business School

Planned Timetable

Jour 1: Introduction to Stochastic Calculus and General Theory of Processes
Matin 9h-12h : Filtrations, stopping times and their classifications, predictable and optional sigmaalgebras,
Après-midi 14h-16h : Section theorem and applications
Après-midi 16-18h: Travaux pratiques (Dr. Sidi Mohamed Lalaoui Ben Cherif) – Simulation et  inférence statistique pour les processus stochastiques avec R et applications en finance;

Jour 2 : Introduction to Stochastic Calculus and General Theory of Processes (Continued)
Matin 9h – 12h: Brownian motion, stochastic integral, semimartingales, representation theorem
Après-midi 14h – 16h: Itô’s formula, Girsanov’s change of measure
Après-midi 16 – 18h: Travaux pratiques (Imad Fakhouri)

Jour 3 : Advanced Modeling in Finance – Modeling by Levy Processes
Matin 9h – 12h: Exponential Levy Models and models driven by semimartingales
Après-midi 14h – 16h: Applications to pricing of vanilla and exotic options and applications in risk  management
Après-midi 16-18h: Travaux pratiques (Dr. Sidi Mohamed Lalaoui Ben Cherif) – Pricing des options  sous R avec des Packages: ‘RQuantLib’ et ‘fOptions’ …

Jour 4: Advanced Modeling in Finance – Modeling by Levy Processes (Continued)
Matin 9h – 12h: Levy Driven term structure theory
Après-midi 14h – 16h: Multiple curve forward process and multiple curve forward rate models and  valuation formulas
Après-midi 16h – 18h: Travaux pratiques (Sidi Mohamed Lalaoui Ben Cherif) – Modélisation et  estimation de la courbe des taux avec le Package ‘YieldCurve’;

Jour 5: Role of information in Finance
Matin 9h – 12h: Introduction to the theory of the enlargement of filtrations and insider trading applications
Après-midi 14h – 17h: Introduction to the theory of shrinkage of filtration

Jour 6 : Credit Risk
Matin 9h – 12h: Structural (Merton) Theory versus the Reduced Form Theory; Compensators via the Doob-Meyer Decomposition; When is a compensator absolutely continuous, and relations to the Markov Property. Cox constructions.
Après-midi 14h – 17h: The use of reduced form theory to analyze microlending and microfinance.  The approach of Yunus Mohammed of Bangladesh (Nobel Prize) explained via the reduced form theory, including fair rates for loans, and a theory of an optimal group size (Alejandra Quintos) for micro group lending. The delicacy of the reduced form theory within an arbitrage free context.

Jour 7 : Credit Risk (Continued)
Matin 9h – 12h: Post 2008 theory using the theory of the enlargement of filtrations,
Après-midi 14h – 16h: Introduction to the theory of BSDEs and FBSDEs, and the theory of D. Brigo et al as extended by Aditi Dandapani and Protter.
Après-midi 16h – 18h: Travaux pratiques (Siham Bouhadou)

Jour 8 : Introduction au Switching Optimal Stochastique
Matin 9h – 12h: Introduction au problème du switching optimal stochastique. Motivations et lien avec les systèmes d’équations différentielles stochastiques rétrogrades réfléchies à obstacles  interconnectés.
Après-midi 14h – 16h: Existence d’une stratégie optimale. Lien avec le jeu de Dynkin de somme nulle. Quelques aspects numériques. Extensions aux cas avec sauts.

Jour 9 : Introduction au Switching Optimal Stochastique (Continued)
Matin 9h – 12h: Switching optimal et systèmes d’équations aux dérivées partielles avec obstacles interconnectées de type HJB associé. Existence et unicité de la solution du système. Etude des cas avec sauts.
Après-midi 14h – 16h: Jeu de switching stochastique de somme nulle. Etude des systèmes d’EDP de type min-max et max-min associés. Existence de la valeur au jeu.
Après-midi 16h – 18h: Travaux pratiques (Sidi Mohamed Lalaoui Ben Cherif) – Optimisation de portefeuille avec R Jour 10 From 9h to 12h and from 14h to 16h and Jour 11 From 9h to 12h : : Continuous-time principal agent
The Principal-Agent problem is a Stackelberg game commonly used in incentive theory in economics. Motivated by the approach introduced by Sanninkov to solve continuous time principal-agent problems, we provide a solution approach which allows to address a wider range of problems. The key argument uses a representation result from the theory of (second order) backward stochastic differential equations that we shall fully cover during the lectures.

Jour 11 : Propagation of Chaos, BSDE and Large Population Games
Après-midi 14h – 17h : SDEs and propagation of chaos

Jour 12 : Propagation of Chaos, BSDE and Large Population Games (Continued)
Matin 9h – 12h: Particle systems and BSDEs
Après-midi 14h to 17h: Convergence results for large population game

Scientific committee

Sulem Agnès, INRIA, Paris
Rôle : Rapporteur

Touzi Nizar, Ecole Polytechnique
Rôle : Rapporteur et conférencier

Protter Philip, Columbia University
Rôle : Rapport et conférencier

Eberlein Ernst, University of Freiburg
Rôle : Rapporteur et conférencier

Hamadene, Said, Le Mans Université
Rôle : Rapporteur et conférencier

Ouknine Youssef, Université Cadi Ayyad et Professeur Affilié Africa Business School, Université Mohammed VI Polytechnique
Rôle : Rapporteur et conférencier

Steering committee

Gorge Agnès, OCP Solutions
Rôle : Responsable Scientifique

Chkifa Abdellah, UM6P
Rôle : Co-Responsable Scientifique

Bouhadou Siham, Université Cadi Ayyad
Rôle : Animation et encadrement des TDs/TPs

Kchia Younes, Africa Business School, UM6P
Rôle : Animation scientifique

El Jamali Sofia, Africa Business School, UM6P
Rôle : Responsable administratif

Akhanchouf Amira, Africa Business School, UM6P
Rôle : Responsable logistique (hébergement, billets d’avion, restauration, transferts)

Feriani Samir, Africa Business School, UM6P
Rôle : Responsable du site web

Eligibility

Resume
Letter of recommendation
Cover letter
Application are open until 15th November 2020.

CIMPA - Africa Business School

Apply for CIMPA Financial Supports

Information from: https://www.cimpa.info/en/node/40
All persons, except the lecturers, wishing to attend ABS CIMPA School 2021 of Finance & Operation Research are requested to register on this website ( link ).
People who require support to cover all or part of their costs of participation (travel and/or living expenses) can apply for a financial support from CIMPA on the web page: https://applications.cimpa.info
Only the students and research teaching staff of an institution located in a developing country different from the country of the school are eligible to a financial support from CIMPA. Applications must be submitted before the deadline which is given on the CIMPA webpage of the school. Applications shall include a cover letter and two recommendation letters that will be sent electronically by the referees. Candidates are advised to complete their applications early enough and to ask the referees to send the letters long before the deadline. CIMPA will not assume responsibility for any last-minute application which cannot be completed due to technical reasons.

Applications to financial supports to participate in CIMPA Schools 2020 is open since June 3, 2019.

Contact

For Further information please contact us via the following Email address:
CIMPA_ABS_2021@um6p.ma