Ecole Polytechnique

Central clearing counterparty houses (CCPs) play a fundamental role in mitigating the counterparty risk for exchange traded options. CCPs cover for possible losses during the liquidation of a defaulting member's portfolio by collecting initial margins from their members. In this article we analyze the current state of the art in the industry for computing initial margins for options, whose core component is generally based on a VaR or Expected Shortfall risk measure. We derive an approximation formula for the VaR at short horizons in a model-free setting. This innovating formula has promising features and behaves in a much more satisfactory way than the classical Filtered Historical Simulation-based VaR in our numerical experiments. In addition, we consider the neural-SDE model for normalized call prices proposed by [Cohen et al., arXiv:2202.07148, 2022] and obtain a quasi-explicit formula for the VaR and a closed formula for the short term VaR in this model, due to its conditional affine structure.

Lightweight compliant surfaces are commonly used as roofs (awnings), filtration systems or propulsive appendages, that operate in a fluid environment. Their flexibility allows for shape to change in fluid flows, to better endure harsh or fluctuating conditions, or enhance flight performance of insect wings for example. The way the structure deforms is however key to fulfill its function, prompting the need for control levers. In this talk, we will consider two ways to tailor the deformation of surfaces in a flow, making use of the properties of origami (folded sheet) and kirigami (sheet with a network of cuts). Previous literature showed that the substructure of folds or cuts allows for sophisticated shape morphing, and produces tunable mechanical properties. We will discuss how those original features impact the way the structure interacts with a flow, through combined experiments and theory. We will notably show that a sheet with a symmetric cutting pattern can produce an asymmetric deformation, and study the underlying fluid-structure couplings to further program shape morphing through the cuts arrangement. We will also show that extreme shape reconfiguration through origami folding can cap fluid drag.

What sets the size and form of living organisms is still, by large, an open question. During this talk, I will illustrate how we are addressing this question by examining the links between spatial scales, from subcellular to organ, both experimentally and theoretically. First, I will present how we are deriving continuous plant growth mechanical models using homogenisation. Second, I will discuss how directionality of organ growth emerges from cell level. Last, I will present predictions of fluctuations at multiple scales and experimental tests of these predictions, by developing a data analysis approach that is broadly relevant to geometrically disordered materials.

We will be interested in the structure of random typical minimal factorizations of the n-cycle into transpositions, which are factorizations of $(1,\ldots,n)$ as a product of $n-1$ transpositions. We shall establish a phase transition when a certain amount of transpositions have been read one after the other. One of the main tools is a limit theorem for two-type Bienaymé-Galton-Watson trees conditioned on having given numbers of vertices of both types, which is of independent interest. This is joint work with Valentin Féray.

In corporate bond markets, which are mainly OTC markets, market makers play a central role by providing bid and ask prices for a large number of bonds to asset managers from all around the globe. Determining the optimal bid and ask quotes that a market maker should set for a given universe of bonds is a complex task. Useful models exist, most of them inspired by that of Avellaneda and Stoikov. These models describe the complex optimization problem faced by market makers: proposing bid and ask prices in an optimal way for making money out of the difference between bid and ask prices while mitigating the market risk associated with holding inventory. While most of the models only tackle one-asset market making, they can often be generalized to a multi-asset framework. However, the problem of solving numerically the equations characterizing the optimal bid and ask quotes is seldom tackled in the literature, especially in high dimension. In this paper, our goal is to propose a numerical method for approximating the optimal bid and ask quotes over a large universe of bonds in a model à la Avellaneda-Stoikov. Because we aim at considering a large universe of bonds, classical finite difference methods as those discussed in the literature cannot be used and we present therefore a discrete time method inspired by reinforcement learning techniques. More precisely, the approach we propose is a model-based actor-critic-like algorithm involving deep neural networks

Guided by the analogy with certain moments of the Bessel function that appear as Feynman integrals, Broadhurst and Roberts recently studied a family of L-functions built up by assembling symmetric power moments of Kloosterman sums over finite fields. I will prove that these L-functions arise from potentially automorphic motives over the field of rational numbers, and hence admit a meromorphic continuation to the complex plane that satisfies the expected functional equation. If time permits, I will identify the periods of the corresponding motives with the Bessel moments and make a few comments about the special values of the L-functions. This is a joint work with Claude Sabbah and Jeng-Daw Yu.

How can we adapt the Topological Data Analysis (TDA) pipeline to use several filter functions at the same time? Two orthogonal approaches can be considered: (1) running the standard 1-parameter pipeline and doing statistics on the resulting barcodes; (2) running a multi-parameter version of the pipeline, still to be defined. In this talk I will present two recent contributions, one for each approach. The first contribution considers intrinsic compact metric spaces and shows that the so-called Persistent Homology Transform (PHT) is injective over a dense subset of those. When specialized to metric graphs, our analysis yields a stronger result, namely that the PHT is injective over a subset of full measurem which allows for sufficient statistics. The second contribution investigates the bi-parameter version of the TDA pipeline and shows a decomposition result "à la Crawley-Boevey" for a subcategory of the 2-parameter persistence modules called "exact modules". This result has an impact on the study of interlevel-sets persistence and on that of sheaves of vector spaces on the real line. 

This is joint work with Elchanan Solomon on the one hand, with Jérémy Cochoy on the other hand.

In this talk, I will present the construction of a family of solutions to
vacuum Einstein equations which consist of an arbitrary number of high
frequency waves travelling in different directions. In the high frequency
limit, our family of solutions converges to a solution of Einstein equations
coupled to null dusts. This construction is an illustration of the so called
backreaction, studied by physicists (Isaacson, Burnet, Green, Wald...) : the
small scale inhomogeneities have an effect on the large scale dynamics in
the form of an energy impulsion tensor in the right-hand side of Einstein
equations. This is a joint work with Jonathan Luk (Stanford).

Wave propagation in random media can be studied by multi-scale and stochastic analysis. We first consider the direct problem and show that, in a physically relevant regime of separation of scales, wave propagation is governed by a Schrodinger-type equation driven by a Brownian field. We study the associated moment equations and clarify the propagation of coherent and incoherent waves. Second, using these new results we design original methods for sensor array imaging when the medium is randomly scattering and apply them to seismic imaging and ultrasonic testing of concrete.

We present McEliece encryption scheme and some well-known proposals based on various families of error correcting codes. We introduce several methods for cryptanalysis in order to study the security of the presented proposals.