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Julien Guyon CERMICS, Ecole des Ponts ParisTech Bâtiment Coriolis 6 et 8 avenue Blaise Pascal Cité Descartes - Champs sur Marne 77455 Marne la Vallée Cedex 2 France Email: julien.guyon [AT] enpc [DOT] fr	January 2024
Personal Information Date of birth: May 3, 1977 Nationality: French Married
Employment History - 2022-present: Professor of Applied Mathematics at Ecole des Ponts ParisTech, Research Scientist at CERMICS. - 2015-present: Adjunct Professor in the Department of Mathematics at Columbia University, New York. - 2023-present: Adjunct Professor in the Department of Mathematics at Baruch College, City University of New York. - 2012-2022: Senior Quant in the Quantitative Research Group at Bloomberg LP, New York. - 2015-2022: Adjunct Professor at the Courant Institute of Mathematical Sciences, New York University. - 2011-2012: Adjunct Professor at Université Paris Diderot (Professeur Associé Service Temporaire). - 2008-2012: Adjunct Professor at Ecole des Ponts ParisTech. - 2009-2012: Quant in the Global Markets Quantitative Research Group at Societe Generale, Paris. - 2006-2009: Quant in the Equity Derivatives Quantitative Research Team at Societe Generale, Paris. - 2001-2002: Crédit Lyonnais (now CACIB), Interest Rates Derivatives Quantitative Research (Paris) and Equity Derivatives Quantitative Research (London). One-year internship.
Education - 2003-2006: PhD in Probability Theory and Statistics at the CERMICS (Ecole des Ponts ParisTech, Paris). Received with highest honors (mention très honorable avec félicitations du jury). Subject: Probabilistic Modeling in Finance and Biology. Limit Theorems and Applications. Supervisor: Jean-François Delmas Published by LAP Lambert Academic Publishing (ISBN: 9783838314464, 172 pages). Awarded Best 2006 PhD Thesis of the Ecole des Ponts ParisTech. - 2002-2003: Master of Probability Theory, Université Paris VI. Received with highest honors (mention très bien). - 2000-2003: Ecole des Ponts ParisTech (Paris). Corps des ponts et chaussées. [Probability Theory, Finance and numerics, Computer science, Mechanics] - Spring 2000: Ecole normale supérieure (Paris), department of Computer Science: research project under the supervision of François Baccelli, probabilities applied to the the calculus of internet outputs. [Markov chains] - 1997-2000: Ecole polytechnique (Paris). Final ranking: 55th/400. [Mathematics, Physics, Economics] - 1995-1997: Lycée Henri IV (Paris). Classes Préparatoires aux Grandes Ecoles (MPSI2, MP*).
Awards and Distinctions - Louis Bachelier Fellow, Institut Louis Bachelier, since 2021. - 2nd Prize, research paper competition, MIT Sloan Sports Analytics Conference 2021. - Best PhD Thesis award, Ecole des Ponts ParisTech, 2006.
Editorial Responsibilities - 2021-present: Associate Editor of Finance & Stochastics. - 2019-present: Associate Editor of Quantitative Finance. - 2017-present: Associate Editor of SIAM Journal on Financial Mathematics. - 2017-present: Associate Editor of Journal of Dynamics and Games.
Teaching - Sorbonne Université, Université Paris Cité, and Ecole des Ponts ParisTech (Paris) "Advanced calibration methods and VIX derivatives", course of the BNP Paribas chair Futures of Quantitative Finance, Professor (2024-present), Master Probabilités et Finance, Master M2MO, Master in Mathematics for Finance and Data. - Ecole des Ponts ParisTech (Paris) "Volatility Modeling", Professor (2022-present), Master in Mathematics for Finance and Data. "Probability Theory", Professor (2022-present, 27h/year). - Columbia University, Department of Mathematics: Adjunct Professor "Nonlinear Option Pricing", Professor (2015-present), MAFN (Mathematics of Finance MA program). - Baruch College, City University of New York, Department of Mathematics: Adjunct Professor "Advanced Computational Methods in Finance", Professor (2023-present), Master of Financial Engineering. - New York University, Courant Institute of Mathematical Sciences: Adjunct Professor "Nonlinear Problems in Finance: Models and Computational Methods", Professor (2018-2022), Mathematics in Finance MSc program (30h/year). "Computational Methods for Finance", Professor (2015-2018), Mathematics in Finance MSc program (30h/year). - Université Paris Diderot: Visiting Professor (Professeur Associé Service Temporaire) "Financial Instruments and Models", Professor (2011-2012), Master2 M2MO (Modélisation aléatoire) (48h/year). - Ecole des Ponts ParisTech (Paris) "Mathematics of Finance", Professor (2008-2012, 21h/year). "Statistics and Data Analysis", Professor (2005-2006, 26h/year). "Probability and Statistics", Professor (2004-2006, 42h/year). "Mathematics of Finance", Assistant Professor (2004-2006, 21h/year). - Ecole nationale supérieure de techniques avancées (Paris) "Introduction to Probability and Statistics", Assistant Professor (2003-2006, 28h/year). - Lycées Louis-Le-Grand and Henri IV (Paris) Examiner in mathematics in the "Classes Préparatoires aux Grandes Ecoles" (1998-2004).
Publications [For citations, please visit my Google Scholar profile] Books [3] Nonlinear Option Pricing, Chapman & Hall/CRC Financial Mathematics Series, 2013 (ISBN 9781466570337). Research book on numerical methods for high dimensional nonlinear problems arising in option pricing (with P. Henry-Labordère). Can be purchased here. [2] Probabilistic modeling in Finance and Biology. Limit Theorems and Applications. LAP Lambert Academic Publishing, 2009 (ISBN: 9783838314464, 172 pages). PhD dissertation. Can be purchased here. [1] Les clés du problème. Ellipses, Paris, 1998 (ISBN: 2-7298-6836-4, 218 pages). Mathematics book for the `classes préparatoires' students preparing the Grandes Ecoles entrance exams. Can be purchased here. Book chapters [2] Being particular about calibration (with P. Henry-Labordere), in Quant of the Year 2000-2014, Risk books, edited by Alexander Lipton, 2014. [1] Being particular about calibration (with P. Henry-Labordere), in Post-Crisis Quant Finance, Risk books, edited by Mauro Cesa, 2013. Articles published in peer-reviewed journals [26] Fast Exact Joint S&P 500/VIX Smile Calibration in Discrete and Continuous Time, Risk, February 2024 (with F. Bourgey). Available online here. Preprint available here. [25] Dispersion-Constrained Martingale Schrödinger Problems and the Exact Joint S&P 500/VIX Smile Calibration Puzzle, Finance and Stochastics, 28(1):27-79, 2024. Available online here. Preprint available here. [24] Neural Joint S&P 500/VIX Smile Calibration, Risk, December 2023 (with S. Mustapha). Available online here. Preprint available here. [23] Volatility Is (Mostly) Path-Dependent, Quantitative Finance 23(9):1221-1258, 2023. Available online here. Preprint available here. [22] Does the Term-Structure of the At-the-Money Skew Really Follow a Power Law?, Risk, August 2023. Available online here. Preprint available here. [21] Dispersion-Constrained Martingale Schrödinger Bridges: Joint Entropic Calibration of Stochastic Volatility Models to S&P 500 and VIX Smiles, submitted, 2022. Preprint available here. [20] The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew, SIAM Journal on Financial Mathematics 13(4):1418-1485, 2022. Available online here. Preprint available here. [19] 'Choose Your Opponent': A New Knockout Design for Hybrid Tournaments, Journal of Sports Analytics 8(1):9-29, 2022. Available here. Preprint available here. [18] The smile of stochastic volatility: Revisiting the Bergomi-Guyon expansion, submitted, in revision, 2021. Preprint available here. [17] Inversion of Convex Ordering in the VIX Market, Quantitative Finance 20(10):1597-1623, 2020. Available online here. Preprint available here. [16] The Joint S&P 500/VIX Smile Calibration Puzzle Solved, Risk Magazine, April 2020. Available online here. Extended version available online here. [15] Risk of Collusion: Will Groups of 3 Ruin the FIFA World Cup? Journal of Sports Analytics 6(4):259-279, 2020. Available online here (free access) or here. [14] Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures, SIAM Journal on Financial Mathematics 11(1):SC1-SC13, 2020 (with B. Acciaio). Available online here or here. [13] What a fairer 24 team UEFA Euro could look like, Journal of Sports Analytics 4:297-317, 2018. Available online here. Preprint available online here. [12] Bounds for VIX Futures given S&P 500 Smiles, Finance and Stochastics 21(3):593-630, 2017 (with R. Menegaux and M. Nutz). Available online here. Preprint available online here. [11] Calibration of Local Correlation Models to Basket Smiles, Journal of Computational Finance 21(1):1-51, 2017. Available online here. [10] Cross-Dependent Volatility, Risk Magazine, April 2016. Available online here. Extended version available online here. [9] Rethinking the FIFA World Cup final draw, Journal of Quantitative Analysis of Sports 11(3):169-182, 2015. Available online here. Extended preprint version available online here. [8] Path-dependent volatility, Risk Magazine, October 2014. Available online here. Extended version available online here. [7] Local correlation families, Risk Magazine, February 2014. Available online here. Extended version available online here. [6] Stochastic volatility's orderly smiles, Risk Magazine, May 2012 (with L. Bergomi). Available online here. Preprint "The smile in stochastic volatility models" available here. [5] Being particular about calibration, Risk Magazine, January 2012 (with P. Henry-Labordere). Available online here. Long version "The smile calibration problem solved" available here. [4] From spot volatilities to implied volatilities, Risk Magazine, June 2011 (with P. Henry-Labordere). Available online here. Long version available here. [3] Uncertain volatility model: a Monte-Carlo approach, Journal of Computational Finance 14(3):37-71, 2011 (with P. Henry-Labordere). Available online here. Preprint available here. [2] Limit theorems for bifurcating Markov chains. Application to the detection of cellular aging, Annals of Applied Probability 17(5,6):1538-1569, 2007. Available online here or here. [1] Euler scheme and tempered distributions, in Stochastic Processes and Their Applications 116(6):877-904, 2006. Available online here or here. Proceedings (peer-reviewed) [2] Will groups of 3 ruin the World Cup?, Proceedings of the 2019 MathSport International Conference, Editors: Dimitris Karlis, Ioannis Ntzoufras, Sotiris Drikos, 140-155, 2019. Available here. [1] Statistical study of cellular aging, ESAIM Proceedings, CEMRACS 2004 - Math. and appl. to Biology and Medicine, 14:100-114, 2005 (with A. Bize, G. Paul, E. Stewart, J.-F. Delmas and F. Taddéi). Available online here. Working papers [1] 'Choose Your Opponent': A New Knockout Format for Sports Tournaments. Application to the Round of 16 of the UEFA Champions League and to Maximizing the Number of Home Games During the UEFA Euro 2020, SSRN, November 2019. Available online here. Lecture notes chapters [1] Wrote the chapter on "Stochastic Volatility" for the lecture notes "Stochastic Models in Finance" by Nicole El Karoui (Master of Probability and Finance, University Paris VI, 2003). Available online here. Press, media Soccer [58] Un PSG-Bayern Munich en huitièmes de finale de la Ligue des champions ? Probable, mais..., Le Monde, December 18, 2023 (in French). Available online here. [57] Using mathematics for a fairer FIFA World Cup, Ingenius, October 2023. Available online here. [56] Ligue des champions : le Bayern Munich, adversaire le plus probable du PSG en huitièmes de finale, Le Monde, November 7, 2022 (in French). Available online here. [55] Interview in the French sports daily L'Equipe on the calculation of draw probabilities for the Round of 16 of the Champions League, available online here (November 3, 2022). [54] Coupe du monde 2022 de football : les règles du tirage au sort et les adversaires probables des Bleus, Le Monde, April 1, 2022 (in French). Available online here. [53] Ligue des champions : fallait-il annuler complètement le résultat du premier tirage ?, Le Monde, December 14, 2021 (in French). Available online here. [52] Interview in the French sports daily L'Equipe on the calculation of draw probabilities for the Round of 16 of the Champions League, available online here (December 10, 2021). [51] Ligue des champions : le Real Madrid et Chelsea, adversaires les plus probables du PSG et de Lille, Le Monde, December 10, 2021 (in French). Available here. [50] Football : "La FIFA doit revoir le format de la Coupe du monde 2026", Le Monde, November 19, 2021 (in French). Available online here. [49] Interview in the Swiss newspaper Le Temps about about how sports leagues are scheduled, in particular European soccer leagues, October 23, 2021 (in French). [48] Champions League group stage draw: who are the most likely opponents of Manchester City, Manchester United, Liverpool and Chelsea?, Four Four Two, August 26, 2021. Available online here. [47] Interview in the French newspaper L'Équipe about the almost closedness of the UEFA Champions League and its new format for the 2024-27 cycle, April 26, 2021 (in French). The article was reproduced in the print version dated April 27 under the title "La coupe aux grandes œillères". [46] Article about my work on fairness in sports, in particular its impact on major soccer tournaments, Slobodna Dalmacija, April 17, 2021 (in Croatian). [45] Réforme de la Ligue des champions : avantages et inconvénients du «championnat incomplet», Le Monde, February 13, 2021 (in French). Available online here. [44] Ligue des champions : Borussia M'Gladbach, adversaire le plus probable du PSG en huitième de finale, Le Monde, December 12, 2020 (in French). Available online here. [43] Champions League knockout draw: What if group winners could choose their opponents?, Four Four Two, December 11, 2020. Available online here. [42] Champions League knockout draw: Who are the most likely opponents for Liverpool, Manchester City and Chelsea?, Four Four Two, December 11,2020. Available online here. [41] Champions League group stage draw: Who are the most likely opponents for Liverpool, Manchester City, Manchester United and Chelsea?, Four Four Two, October 1, 2020. Available online here. [40] Ligue des champions : Barcelone et Atlético, adversaires les plus probables pour le PSG, Le Monde, October 1, 2020 (in French). Available online here. [39] The model to determine Premier League standings, The Times, March 18, 2020. Available online here. [38] Football : comment décider du classement final de la Ligue 1 si elle devait s'arrêter ici ?, Le Monde, March 16, 2020 (in French). Available online here. [37] Ligue des champions : et si les vainqueurs de groupe choisissaient leur adversaire pour les huitièmes de finale ?, Le Monde, December 17, 2019 (in French). Available online here. [36] Ligue des champions : quels sont les adversaires les plus probables pour le PSG et Lyon, Le Monde, December 15, 2019 (in French). Available online here. [35] Interview in the French sports daily L'Equipe on the calculation of draw probabilities for the Round of 16 of the Champions League, available online here (December 12, 2019). [34] Champions League last-16 draw probabilities: Why Chelsea are more likely to get Barcelona -- and what fates await Liverpool, Man City and Tottenham, Four Four Two, December 12, 2019. Available online here. [33] Euro 2020 : les Bleus condamnés à défier un gros d'Europe dès la phase de poules, Le Monde, November 20, 2019 (in French). Available online here. [32] Ligue des champions : pourquoi les "TV pairings" ont augmenté la probabilité d'un PSG-Real, Le Monde, August 30, 2019 (in French). Available online here. [31] Ligue des champions : Atlético Madrid ? Dortmund ? Qui seront les adversaires du PSG et de Lyon en 8e de finale ?, Le Monde, December 13, 2018 (in French). Available online here. [30] FIFA, We Fixed Your World Cup Collusion Problem for You, The New York Times, June 26, 2018 (with Toni Monkovic). Available online here. [29] Pourquoi la Coupe du monde est plus équitable cette année, The Conversation, June 13, 2018 (in French). Available online here. [28] Why Groups of 3 Will Ruin the World Cup (So Enjoy This One), The New York Times, June 11, 2018. Available online here. [27] Mondial 2026 : pourquoi les groupes de trois risquent de fausser la Coupe du monde, Le Monde, June 12, 2018 (in French). Available online here. [26] Barcelona x Chelsea é o confronto com mais chances de acontecer na Champions; veja outras probabilidades, El País Brasil, December 11, 2017 (in Portuguese). Available online here. [25] Ligue des champions : pourquoi le PSG a presque une chance sur trois de rencontrer Chelsea, Le Monde, December 10, 2017 (in French). Available online here. [24] Por qué el Barcelona tiene un 41,3% de probabilidades de emparejarse con el Chelsea en octavos, El País, December 7, 2017 (in Spanish). Available online here. [23] Tirage au sort de la Coupe du monde : comment ça marche et quelles probabilités pour la France, Le Monde, November 30, 2017 (in French). Available online here. [22] Por qué España tiene el doble de probabilidades de estar con Argentina o Brasil en el grupo del Mundial, El País, November 30, 2017 (in Spanish). Available online here. [21] Losowanie nie do końca losowe. Analityk policzył, na kogo trafi Polska, Przeglad Sportowy, December 1, 2017 (in Polish). Available online here. Also available in print. [20] Sorteio da Copa: as chances de o Brasil pegar Espanha ou Inglaterra na fase de grupos, El País Brasil, December 1, 2017 (in Portuguese). Available online here. [19] Critério geográfico da Fifa produz distorções nos grupos, diz matemático, interview in Folha de São Paulo, November 30, 2017 (in Portuguese). Available online here. [18] Coupe du monde 2018 : la France miraculeusement tête de série... malgré la FFF, Le Monde, October 11, 2017 (in French). Available online here. [17] Football : les avantages d'une Coupe du monde à 42 équipes, Le Monde, November 16, 2016 (in French). Available online here. [16] Euro 2016 : un autre tableau final est possible, Le Monde, June 24, 2016 (in French). Available online here. [15] Euro 2016 : ce que les probabilités révèlent du prochain adversaire des Bleus (et l'inéquité du système), Le Monde, June 20, 2016 (in French). Available online here. [14] Euro 2016 : comment le tableau final favorise la France, par Julien Guyon, mathématicien, Le Monde, December 12, 2015 (in French). Available online here. [13] Pourquoi la France va dégringoler au classement FIFA, So Foot, June 23, 2015 (in French). Available online here. [12] Champions League: How to Solve the Seeding Problem, The New York Times, January 21, 2015. Available online here. [11] Ligue des champions : comment améliorer le tirage au sort, Le Monde, February 24, 2015. Available online here. [10] Ligue des champions : comment résoudre le problème des têtes de série, So Foot, February 24, 2015. Available online here. [9] Cómo resolver el problema de los cabezas de serie, El País, February 25, 2015 (in Spanish). Available online here. [8] The World Cup Draw Is Unfair. Here's a Better Way, The New York Times, June 4, 2014. Available online here. [7] La FIFA doit aussi revoir le tirage au sort de sa Coupe du monde, Le Monde, June 4, 2014. Available online here. [6] Repenser le tirage au sort de la Coupe du monde, So Foot, June 4, 2014. Available online here. [5] A Better Way to Rank Soccer Teams in a Fairer World Cup, The New York Times, June 13, 2014. Available online here. [4] El sistema del sorteo de grupos del Mundial es injusto. Cambiémoslo, El País, June 16, 2014 (in Spanish). Available online here. [3] Coupe du monde: "Le tirage au sort est injuste", interview in the French weekly L'Express, available online here (June 3, 2014). [2] Repenser le tirage au sort de la Coupe du monde, interview in La Tête Au Carré on the French national public radio France Inter, available online here (May 30, 2014; 600,000+ listeners). [1] This is an article in the French newspaper Le Monde promoting my work on the FIFA World Cup final draw (May 14, 2014). Other [3] New Voting Rules Could Finally Resolve Brexit, Bloomberg Opinion, November 6, 2019. Available online here. [2] Jeu, Hasard, Mérite et Équité, Archicube (journal of the Ecole Normale Supérieure), September 2019 (in French). [1] Le smile dans les modèles à volatilité stochastique, Les cahiers de l'Institut Louis Bachelier, nb 3, Numéro spécial : mieux comprendre la recherche en finance, July 2011.
TALKS Conferences (invited speaker) 2023: - Research In Options 2023, IMPA, Rio de Janeiro, December 2023. - QuantMinds 2023, London, November 2023. - Workshop "Frontiers in Stochastic Modelling for Finance", Palermo, October 2023. - Workshop "Stochastics around Finance", Kanazawa, August 2023. - 10th International Congress on Industrial and Applied Mathematics (ICIAM 2023), Tokyo, August 2023. - 7th International Conference on Mathematics in Finance, Kruger National Park, South Africa, July 2023. - SIAM Conference on Financial Mathematics and Engineering, Philadelphia, June 2023. - Rough volatility workshop 2023, Isle of Skye, May 2023. - Quantitative Finance, conference in honor of Michael Demspter's 85th birthday, Cambridge, UK, April 2023. 2022: - QuantMinds 2022, Barcelona, November 2022. - WBS, 18th Quantitative Finance Conference, Dubrovnik, October 2022. - Research In Options 2022, Fundação Getulio Vargas, Rio de Janeiro, August 2022. - The 9th International Colloquium on BSDEs and Mean Field Systems (BSDE2022), Annecy, June 2022. 2021: - QuantMinds 2021, Barcelona, December 2021. - Research In Options 2021, IMPA, Rio de Janeiro, November 2021 (online). - WBS, 17th Quantitative Finance Conference, virtual, November 2021. - First Florence-Paris Workshop on Mathematical Finance, Florence, October 2021. - 2021 SIAM Annual Meeting (AN21), virtual, July 2021. - Risk Global Quant Network Conference, virtual, July 2021. - SIAM Conference on Financial Mathematics and Engineering, virtual, June 2021. 2020: - Research In Options 2020, IMPA, Rio de Janeiro, December 2020 (online). - WBS, 16th Quantitative Finance Conference, November 2020 (online). - QuantMinds 2020, November 2020 (online). - Risk Quant Summit USA 2020, New York, July 2020 (online). - 7th International Conference on Mathematics in Finance, Kruger National Park, South Africa, July 2020 (postponed). - 9th International Colloquium on Backward Stochastic Differential Equations and Mean Field Systems (BSDE2020), Annecy, June 2020 (postponed). - Workshop on Mathematical Finance and Related Issues, Osaka University, March 2020 (canceled). - Advances in Financial Mathematics, Ecole polytechnique -Ecole des Ponts ParisTech - Université Paris VI - Societe Generale, Paris, January 2020. 2019: - Research In Options 2019, IMPA, Rio de Janeiro, December 2019. - Vienna Congress on Mathematical Finance -- VCMF 2019, September 2019. - Risk Quant Summit USA 2019, New York, July 2019. - 3rd International Conference on Computational Finance, A Coruña, July 2019. - Third International Congress on Actuarial Science and Quantitative Finance, Manizales (Colombia), June 2019. - 9th General AMaMeF conference, Paris, June 2019. - Conference in honor of Nicole El Karoui's 75th birthday, Paris, May 2019. - QuantMinds 2019, Vienna, May 2019. - Risk Quant Summit, London, March 2019. 2018: - Options: 45 Years after the publication of the Black-Scholes-Merton Model, The Hebrew University of Jerusalem, December 2018. - Research In Options 2018, IMPA, Rio de Janeiro, November 2018. - WBS, 14th Quantitative Finance Conference, Nice, September 2018. - Risk Quant Summit USA 2018, New York, July 2018. - QuantMinds 2018, Lisbon, May 2018. - 1st Conference Football and Data, Ecole polytechnique, Paris, April 2018. - Workshop on Fairness in Sports, Ghent University, April 2018. 2017: - Research In Options 2017, IMPA, Rio de Janeiro, November 2017. - Global Derivatives USA 2017, Chicago, November 2017. - Jim Gatheral's 60th Birthday Conference, New York, October 2017. - Global Derivatives 2017, Barcelona, May 2017. - Mathematics of Quantitative Finance, Research Institute for Mathematics, Oberwolfach, February 2017. - Advances in Financial Mathematics, Ecole polytechnique - Ecole des Ponts ParisTech - Université Paris VI - Societe Generale, Paris, January 2017. 2016: - Research In Options 2016 Conference, IMPA, Rio de Janeiro, November 2016. - SIAM Conference on Financial Mathematics and Engineering, Austin, November 2016. - 12th International Conference on Monte Carlo and quasi-Monte Carlo methods in Scientific Computing, Stanford University, August 2016. - International Conference on Monte Carlo techniques, Paris, July 2016. - Second International Congress on Actuarial Science and Quantitative Finance, Cartagena (Colombia), June 2016. - Global Derivatives 2016, Budapest, May 2016. - Workshop on Particle Methods for the Management of Risks, Paris, April 2016. 2015: - WBS, 11th Fixed Income Conference, Paris, October 2015. - IMS-FIPS 2015, Rutgers University, June 2015. - Global Derivatives 2015, Amsterdam, May 2015. - WBS, 2nd Fixed Income & Operational Risk Conference USA, New York, May 2015. 2014: - Research In Options 2014, IMPA, Rio de Janeiro, December 2014. - Global Derivatives USA 2014, Chicago, November 2014. - 5th International Conference on Mathematics in Finance, Kruger National Park, South Africa, August 2014. - Global Derivatives 2014, Amsterdam, May 2014. - New Trends in Computational Finance and Related Topics, Edinburgh, April 2014. - Advances in Financial Mathematics, Ecole polytechnique - Ecole des Ponts ParisTech - Université Paris VI - Societe Generale, Paris, January 2014. 2013: - Research In Options 2013, IMPA, Rio de Janeiro, December 2013. - Global Derivatives 2013, Amsterdam, April 2013. 2012: - Research In Options 2012, IMPA, Rio de Janeiro, December 2012. - Global Derivatives USA 2012, Chicago, November 2012. - Global Derivatives 2012, Barcelona, April 2012. 2011: - Research In Options 2011, IMPA, Rio de Janeiro, November 2011. - Global Derivatives 2011, Paris, April 2011. - Modelling and Managing Financial Risks, Ecole polytechnique - Ecole des Ponts ParisTech - Societe Generale, Paris, January 2011. 2006-2010: - Research In Options 2010, IMPA, Rio de Janeiro, November 2010. - Research In Options 2009, IMPA, Rio de Janeiro, November 2009. - Journées MAS, Université de Rennes, August 2008. - Workshop on Mathematical Finance, Kyoto University, August 2006. Conferences (contributed talks) - MathSport International 2023, Budapest, June 2023. - MathRisk Conference on Numerical Methods in Finance, Udine, June 2023. - Quantitative Finance Workshop 2023, Gaeta, April 2023. - 11th World Congress of the Bachelier Finance Society, online, June 2022. - EURO 2021 conference, Athens, July 2021. - 5th Eastern Conference on Football Economics / 7th Western Conference on Football and Finance, virtual, July 2021. - MathSport International 2021, virtual, June 2021. - MIT Sloan Sports Analytics 2021 conference, online, April 2021. Won 2nd Prize of the Research Paper Competition. - 5th International Conference Sport Economics and Sport Management, Paris, May 2020. - MathSport International 2019, Athens, July 2019. - SIAM Conference on Financial Mathematics and Engineering, Toronto, June 2019. - 10th World Congress of the Bachelier Finance Society, Dublin, July 2018. - MathSport International 2017, Università degli studi di Padova, June 2017. - 9th World Congress of the Bachelier Finance Society, New York, July 2016. - New England Symposium on Statistics in Sports 2015, Harvard University, September 2015. - MathSport International 2015, Loughborough University, June 2015. - 8th World Congress of the Bachelier Finance Society, Brussels, June 2014. - Conference on Quantitative and Statistical Finance, Université Paris Diderot, March 2012. - 31st Conference on Stochastic Processes and their Applications, Université Paris V, July 2006. - Journées de Statistique, EDF, Paris, May 2006. - Amamef International Conference on Numerical Methods in Finance, INRIA Rocquencourt, February 2006. - VII Workshop on Quantitative Finance, Università degli Studi, Perugia, January 2006. - Quantitative Methods in Finance 2005, University of Technology, Sydney, December 2005. - Journées de probabilités, Institut Elie Cartan, Nancy, September 2005. Minicourses and full-day workshops - Research In Options 2023, Fundação Getulio Vargas, Rio de Janeiro, December 2023. - Research In Options 2022, Fundação Getulio Vargas, Rio de Janeiro, August 2022. - Global Quant Network (Risk.net), July 2021. - Vienna Congress on Mathematical Finance -- VCMF 2019, September 2019. - Third International Congress on Actuarial Science and Quantitative Finance, Manizales (Colombia), June 2019. - QuantMinds 2019, Vienna, May 2019. - TU Berlin, May 2019. - QuantMinds 2018, Lisbon, May 2018. - Research In Options 2017 Conference, IMPA, Rio de Janeiro, November 2017. - Global Derivatives 2017, Barcelona, May 2017. - University of California, Santa Barbara, Center for Financial Mathematics and Actuarial Sciences, October 2016. - Global Derivatives 2016, Budapest, May 2016. - Global Derivatives 2015, Amsterdam, May 2015. - Global Derivatives 2014, Amsterdam, May 2014. - Research In Options 2009, IMPA, Rio de Janeiro, November 2009. Seminars - Imperial College London, London Mathematical Finance Seminar, February 2024. - Bayes Business School, London, Financial Engineering Workshop, January 2024. - BNP Paribas, Paris, Seminar of the BNP Paribas chair "Futures of Quantitative Finance", June 2023. - Bank of America, New York, Invited seminar, April 2023. - Barclays Capital, New York, Invited seminar, March 2023. - Columbia University, New York, Columbia Mathematical Finance Seminar Series, March 2023. - Bloomberg, New York, Keynote speaker at BBQ (Bloomberg Quant Seminar), March 2023. - Imperial College London, Finance and Stochastics Seminar, March 2023. - BNP Paribas, Paris, Kickoff event of the BNP Paribas chair "Futures of Quantitative Finance", March 2023. - Capital Fund Management, Paris, EconoPhysiX seminar, February 2023. - Capital Fund Management, Paris, Invited seminar, January 2023. - University of Oxford, Statistics and Machine Learning in Finance Seminar Series, December 2022. - ETH Zurich, Talks in Financial and Insurance Mathematics, October 2022. - Ecole des Ponts ParisTech, Stochastic Methods in Finance seminar, October 2022. - Institut Henri Poincaré, Bachelier seminar, September 2022. - Columbia University, New York, Columbia Mathematical Finance Seminar Series, March 2022. - Florida State University, Financial Mathematics Seminar, February 2022. - Scuola Normale Superiore, Pisa Mathematical finance seminar, May 2021. - University of California, Santa Barbara, Center for Financial Mathematics and Actuarial Sciences, seminar, May 2021. - University of California, Los Angeles, Department of Mathematics, math finance seminar, April 2021. - Citibank, New York, Citi Markets Quantitative Analysis Lecture Series, April 2021. - Université Paris 1 Panthéon-Sorbonne, Financial Modeling Seminar, March 2021. - Credit Suisse, New York, Quant Seminar, March 2021. - Columbia University, New York, Practitioners' Seminar of the Mathematics of Finance MA Program, March 2021. - New York University, Courant Institute of Mathematical Sciences, Mathematical Finance and Financial Data Science Seminar, January 2021. - Bloomberg, New York, Bloomberg Quant seminar, November 2020. - Bachelier Finance Society One World seminar series, July 2020. - Bloomberg, New York, Bloomberg Quant seminar, February 2020 (plenary speaker). - Universidade Federal Fluminense, Rio, Workshop on Data Science, Mathematical Modelling and Quantitative Finance, November 2019. - Bloomberg, New York, Bloomberg Quant seminar, November 2019. - Columbia University, New York, Practitioners' Seminar of the Mathematics of Finance MA Program, April 2019. - Bloomberg, New York, Bloomberg Quant seminar, January 2019. - Fundação Getúlio Vargas, Rio de Janeiro, Seminar of the Applied Mathematics Department, November 2018. - Columbia University, New York, Financial Engineering Practitioners Seminar, September 2018. - Capital Fund Management, Paris, Seminar, May 2018. - Institut Henri Poincaré, Paris, Bachelier Seminar, May 2018. - Johns Hopkins University, Baltimore, Financial Math Seminar, April 2018. - Imperial College London, Finance and Stochastics Seminar, March 2018. - Oxford University, Mathematical and Computational Finance Seminar, October 2017. - Cass Business School, London, Financial Engineering Workshop, October 2017. - Princeton University, Financial Mathematics Seminar, September 2017. - Columbia University, New York, Columbia Mathematical Finance Seminar, March 2017. - Columbia University, New York, Practitioners' Seminar of the Mathematics of Finance MA Program, January 2017. - University of California, Santa Barbara, Center for Financial Mathematics and Actuarial Sciences, short course and seminar, October 2016. - NYU Tandon School of Engineering, New York, Finance and Risk Engineering Seminar series, September 2016. - Columbia University, New York, Practitioners' Seminar of the Mathematics of Finance MA Program, January 2016. - Bloomberg, New York, Bloomberg Quant seminar, June 2015 (plenary speaker). - Columbia University, New York, Columbia Mathematical Finance Seminar, February 2015. - Columbia University, New York, Practitioners' Seminar of the Mathematics of Finance MA Program, January 2015. - PUC, Rio de Janeiro, Seminar of the Electrical Engineering Department, December 2014. - Bloomberg, New York, Bloomberg Quant seminar, September 2014 (plenary speaker). - PUC, Rio de Janeiro, Seminar of the Electrical Engineering Department, December 2013. - KCG, New York, Quantitative Finance seminar, November 2013. - Rutgers University Quantitative Finance seminar, October 2013. - New York University IAQF-Thalesians Seminar, September 2013. - Morgan Stanley, New York, Global Modeler's meeting, July 2013. - Bloomberg, New York, Bloomberg Quant seminar, June 2013 (plenary speaker). - Fields Institute for Research in Mathematical Sciences, Toronto, Quantitative Finance seminar, February 2013. - Université de Marne-la-Vallée, Mathematics of Finance seminar, May 2012. - Université Paris Diderot, "Finance Mathématique, Probabilités Numériques et Statistique des Processus" seminar, October 2011. - Université de Marne-la-Vallée, Mathematics of Finance seminar, May 2011. - Université de Marne-la-Vallée, Mathematics of Finance seminar, January 2010. - Université Paris-Dauphine, Master pro seminar, November 2009. - Chaire X-Ponts-Societe Generale, September 2009. - Ecole des Ponts ParisTech, seminar on Complex Systems, September 2009. - Ecole polytechnique, seminar of Stochastic Calculus and Finance, April 2008. - HSBC Capital Markets Research, Paris, November 2005. - Université Paris V, seminar of Probability Theory, Statistics and Biology, October 2005. - INRIA Sophia-Antipolis, OMEGA seminar, September 2005. - Institut Henri Poincaré, Bachelier seminar, June 2005. - Université Paris VI, seminar of Numerical Probability, Statistics of processes and Finance, April 2005. - Université de Marne-la-Vallée, Mathematics of Finance seminar, February 2005. - INRIA Rocquencourt, Mathematics of Finance seminar, November 2002.
Book Review - Stochastic Volatility Modeling, Lorenzo Bergomi (Chapman & Hall, 2016) for Quantitative Finance.
Peer Review - Mathematical Finance - SIAM Journal on Financial Mathematics - International Journal of Theoretical and Applied Finance - Quantitative Finance - Journal of Computational Finance - Risk Magazine - Risks - Journal of Statistical Planning and Inference - Journal of Optimization Theory and Applications - Canadian Journal of Statistics - Annals of Operations Research - INFORMS Journal on Computing - European Journal of Physics - International Journal of Sports Science and Coaching - Journal of Sports Analytics - INFORMS Journal on Computing - Canadian Journal of Statistics
PhD Thesis Examinations - Long Zhao (Columbia University, April 2023): Martingale Schrodinger bridges and optimal semistatic portfolios, - William Lefebvre (Université Paris-Cité, December 2022): Stochastic control methods applied to portfolio construction, control with delay and PDE solving - Shiyi Wang (Monash University, Melbourne, reviewer, February 2022): Volatility modelling and calibration by optimal transport
Scientific responsibilities, representation, memberships - Organizer of the minisymposium "Volatility modeling in finance" during the 2023 ICIAM Conference. - Member of the scientific committee of the 2023 SIAM Conference on Financial Mathematics & Engineering. - Organizer of the minisymposium "Recent Advances in Volatility modeling" during the 2023 SIAM Conference on Financial Mathematics & Engineering. - Organizer of the minisymposium "Volatility modeling: Joint calibration of S&P 500 and VIX smiles" during the 2021 SIAM Conference on Financial Mathematics & Engineering. - Elected Louis Bachelier Fellow of the Institut Louis Bachelier since 2021. - Member of the Risk.net Global Quant Network Advisory Board 2021. - Member of the selection committee for the 2021 SIAM/Financial Mathematics and Engineering Early Career Prize. - Member of the scientific committee of the ICASQF 2019 conference (3rd International Congress on Actuarial Science and Quantitative Finance, Manizales, Colombia, June 2019). - Member of the Society for Industrial and Applied Mathematics (SIAM). - Member of the scientific committee of the Thematic Cycle "Monte Carlo Techniques" (Paris, 2015-2016). - Member of the research chair "Financial Risks" (Ecole polytechnique - Ecole des Ponts - Societe Generale) of Fondation du Risque. - Member of the local organization committee of the conference "Modelling and managing financial" co-organized by Ecole polytechnique, Ecole des Ponts ParisTech, and Societe Generale, Paris, January 2011. - Organizer of the MathFi seminar (Ecole des Ponts ParisTech - Inria - Université Marne-la-Vallée, 2005-2006). - Ecole des Ponts ParisTech student representative on the Teaching and Research Council (2001). - Ecole polytechnique student representative in the Mathematics Department (1999).
Student and postdoc supervision 2024: - Guido Gazzani, Ecole des Ponts ParisTech, postdoc. - Fabio Baschetti, Scuola Normale Superiore di Pisa, visiting PhD student (5 months). 2023: - Guido Gazzani, Ecole des Ponts ParisTech, postdoc. - Adriano Todisco, Internship of Master Mathematics of Finance and Data (4 months). 2022: - MOPSI projects (course MOdéliser Programmer SImuler), Ecole des Ponts ParisTech; mentoring of 3 pairs of students (5 months). - Jordan Lekeufack Sopze, internship, Bloomberg PhD fellowship (3 months). Volatility is (mostly) path-dependent. 2021: - MOPSI projects (course MOdéliser Programmer SImuler), Ecole des Ponts ParisTech; mentoring of 5 pairs of students (5 months). - Scander Mustapha, internship, Princeton University (4 months). Neural SDEs. - Andrea Angiuli, internship, University of California Santa Barbara (4 months). Path-dependent volatility models. 2020: - Adam Halmi, internship, Ecole polytechnique (4 months). Machine Learning for solving nonlinear PDEs. Won the 2020 Best Research Internship Award from Ecole polytechnique. - Jordan Lekeufack Sopze, internship, Ecole polytecnhique (4 months). Learning VIX from SPX path, and joint calibration of path-dependent volatility models. - Guixin Liu, summer project, M.A. Mathematics of Finance, Columbia University, Department of Mathematics. Particle methods. 2019: - Scander Mustapha, internship, Ecole polytechnique (4 months). Joint calibration of SLV models to S\&P 500 and VIX options via stochastic control of McKean SDEs. - Karl Dessenne, Mehdi El Emrani, project, M.Sc. Mathematics in Finance, NYU Courant (4 months). Hermite models. - Tianhao Lu, Yiwei Shi, Geng Yan, project, M.Sc. Mathematics in Finance, NYU Courant (4 months). Machine Learning for the pricing and hedging of derivatives. 2018: - Pierre Cornilleau, internship, Master 2 Probabilités et Finance, Sorbonne Université-Ecole polytechnique (6 months). Stochastic volatility models. - Laury Zhou, internship, M.Sc. Financial Engineering, Columbia University (4 months). The VIX future in Bergomi models. - Louis Guigo, internship, NYU Courant Math Finance (4 months). Joint calibration of SV models to S\&P 500 and VIX options. - Michael Ang, Louis Guigo, project, M.Sc. Mathematics in Finance, NYU Courant. Looking for a continuous model to jointly calibrate S&P 500 and VIX options. 2017: - Maxime Cauchois, internship, Ecole polytechnique (4 months). Path-dependent volatility models. Bounds for VIX derivatives. Won the 2017 Best Internship Award from the "Chaire Risques Financiers" (Ecole polytechnique - Ecole des Ponts ParisTech - Sorbonne Université - Societe Generale). 2016: - Antoine Michon, internship, Ecole polytechnique (4 months). Study of a simple path-dependent volatility models. Calibration of pure path-dependent volatility models to market smiles. - Vathana Leang, internship, Master MAFN, Columbia University (10 months). Hedging in path-dependent volatility models. 2015: - Mohamed Ndaoud, internship, Ecole polytechnique (4 months). Cross-dependent volatility. - Romain Menegaux, internship, Ecole polytechnique (4 months). Random forests for path-dependent volatility models. - Jianbo Sun, Jiawei Sun, project, M.Sc. Mathematics in Finance, NYU Courant (2 months). Machine learning of path-dependent volatility. 2014: - Romain Menegaux, project, M.Sc. Financial Engineering, Columbia University (2 months). Comparison of numerical schemes for SDEs. - Omar El Euch, internship, Ecole polytechnique (5 months). Local correlation models. - Stéphane Shao, internship, Ecole Centrale Paris (4 months). Backtracking algorithm. Multidimensional local volatility. - Aditi Dandapani, PhD, Columbia University (4 months). Multidimensional local volatility.
Computer Skills - Operating systems Unix, iOS, Windows. - Programming Python, Matlab, Scilab, C, C++.
Languages - French native. - English fluent. - Spanish fluent. - Italian basic knowledge. - Portuguese basic knowledge.
Other - 2003-2012: DJing. In several bars of Paris (Pop In, Politburo, La Jaja). - Fall 2000: National planning agency (Cergy-Pontoise): on temporary assignment to the Sanitation and Networks Agency Head. - Summer 1999: Humanitarian project (Bolivia): creation of a potable water system in a quechua community in the Altiplano. - 1997-1998: French national military service. Lieutenant. Civil service in a technical and professional school: supervision and remedial courses to disadvantaged children.