CERMICS - ENPC
6 et 8 avenue Blaise Pascal
Cité Descartes - Champs sur Marne
77455 Marne la Vallée Cedex 2 (FRANCE)
From abroad
Tel: + 33 1 64 15 35 75
E-mail: ahdidaa.AT.cermics.enpc.fr
Phd student at CERMICS, Ecole des Ponts in Applied Probabilities in finance.
Subject : Stochastic Correlation and Covariance random matrices with applications in Finance.
Supervisors : M. Bernard Lapeyre and M. Aurélien Alfonsi.Exact and high order discretization schemes for Wishart processes and their affine extensions. A.Ahdida and A.Alfonsi, June 2010. Arxiv
A Mean-Reverting SDE on Correlation matrices. A.Ahdida and A.Alfonsi, Aout 2011. Hal