London Mathematical Finance Group
London Mathematical Finance Group 

The 3rd London-Paris Bachelier Workshop on Mathematical Finance


Thursday, 29 September 2016 : Féderation Bancaire Française, 18 rue la Fayette, 75009 Paris.

Friday, 30 September 2016 : Institut Henri Poincaré, amphithéâtre Hermite, 11 rue Pierre et Marie Curie, 75005 Paris.


Thanks to our sponsors, there is no registration fee. Coffee breaks and lunch on Friday will be available to all participants. If you are interested in participating to the conference, please send an e-mail to fontana [at]

Organizing Committee: (in collaboration with the Bachelier Paris group):

Bruno BOUCHARD (Université Paris Dauphine)

Luciano CAMPI (London School of Economics)

Claudio FONTANA (Université Paris Diderot)

Emmanuel GOBET (École Polytechnique)

Lane HUGHSTON (Brunel University London)

Antoine JACQUIER (Imperial College London)

Teemu PENNANEN (King's College London)

Johannes RUF (University College London)

Xiaolu TAN (Université Paris Dauphine)


Financial Engineering Workshops @ Cass

These workshops take place at Cass Business School (Room 2005), 18:10 - 19:15. Light refreshments are available in the room at 17:40. Participation is free but registration is essential. Please telephone 020 7040 0928 or email

For more information :

Date Speaker/s
01 February 2017 "Affine Multuple Yield Curve Models"
Alessandro Gnoatto, (BayernLB - Interest Rate Derivatives Trading and XVA Desk) 
15 February 2017 "Magic Points for Finance" 
Kathrin Glau, (Technische Universität München)
15 March 2017 "Option Pricing with Legendre Polynomials"
Julien Hok (Credit Agricole CIB)
22 March 2017 "Algorithmic Differentiation for Callable Exotics: PV and XVA"
Alexander Antonov, (Numerix)
29 March 2017 "TBA"
Andrea Pallavicini, (Banca IMI Milano & Imperial College) 
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London Mathematical Finance Group: 2016-17