April 2007
Benjamin JOURDAIN
Nicole EL KAROUI
The purpose of this Chair is to contribute to scientific excellence, learning and the appeal of research.The teaching activities form part of existing Masters programmes with the participation of speakers from Société Générale and the inclusion of special modules.This Chair is geared to the requirements of the banking and insurance sectors, which face new challenges, amongst them risk management.It is founded on the substantial expertise of the two schools’ research teams in the field of derivative instruments:valuation, dynamic hedging, numerical methods.
Improvement of the numerical methods used by the financial institutions (in particular the Monte Carlo method).
Development of large-scale models based on random matrix theory.The study of risk prevention and control methods, including liquidity problems in dynamic hedging, and volatility.Creation of dedicated new tools for statistical arbitrage, the pricing of complex derivatives and research on credit derivatives.
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