Emmanuel GOBET - Teaching


Ecole Polytechnique

  1. 1st year program (X10-11-12): Aléatoire MAP 311.
    Teaching material:
  2. 2nd year program (X09-10-11): MODAL Simulation Numérique Aléatoire MAP 441.
    Teaching material here (restricted access).
  3. 3rd year program (X10): Méthodes de Monte-Carlo et processus stochastiques, du linéaire au non-linéaire MAP 564.
  4. Master 2 Probabilités et Statistiques Orsay: Equations différentielles stochastiques rétrogrades et EDP non-linéaires.
    Teaching material here (restricted access).
  5. Master 2 Probabilité & Finance Paris 6: Model calibration and hedging derivatives.
    Teaching material here (restricted access).

Summer Schools

  1. XV Spanish-French School on Numerical Simulation in Physics and Engineering, at Malaga (Spain). Introduction to stochastic calculus and to the resolution of PDEs using Monte Carlo simulations. September 2012. Lecture notes.
  2. Spring school in Stochastic Analysis in finance, at Roscoff (France). Asymptotic expansions and local volatility models. March 2012. Lecture notes.
  3. Summer school in Probability Theory, at Disentis (Switzerland). Numerical approximations of Backward Stochastic Differential Equations. July 2010. Slides.
  4. European Summer School in Financial Mathematics at HEC - Jouy-en-Josas (France). Backward Stochastic Differential Equations and Financial Applications (with Jin Ma). August 2009.

Other

  1. Journées Nationales de l'APMEP, Octobre 2011. Mathématiques appliquées et finance. Transparents ici.
CMAP UMR 7641 École Polytechnique CNRS, Route de Saclay, 91128 Palaiseau Cedex France, Tél: +33 1 69 33 46 00 Fax: +33 1 69 33 46 46