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Julien Guyon

Bloomberg LP, Quantitative Research, Senior Quant [Link to our team's website]
731 Lexington Avenue, New York, NY 10022, USA
Email: jguyon2_AT_bloomberg_DOT_net

Columbia University, Department of Mathematics, Adjunct Professor [Link to the department's website]
Email: jg3601_AT_columbia_DOT_edu

New York University, Courant Institute of Mathematical Sciences, Adjunct Professor [Link to the Courant Institute's website]
Email: julien.guyon_AT_nyu_DOT_edu
New York City, November 2017
   
PERSONAL INFORMATION
Date of birth: 3 May 1977
Nationality: French
Address: 111 Fourth Avenue, Apt #3B, New York, NY 10003, USA
 
   
PROFESSIONAL EXPERIENCE
- 2017-present: Associate Editor of SIAM Journal on Financial Mathematics.
- 2015-present: Adjunct Professor at the Courant Institute of Mathematical Sciences, New York University.
- 2014-present: Adjunct Professor in the Department of Mathematics at Columbia University, New York.
- 2012-present: Senior Quant in the Quantitative Research Group at Bloomberg LP, New York.
Joint calibration of SPX and VIX options; Model-free bounds for VIX futures given S&P 500 smiles; Cross-dependent volatility models: dynamics, smile calibration; Path-dependent volatility models: dynamics, smile calibration; Stochastic local volatility (SLV) models: impact of spot-vol correlation; Local correlation models: affine transform method; Analysis of historical spot-vol dynamics; Local volatility (LV) + stochastic rates: Malliavin disintegration by parts; CVA: nested Monte Carlo (MC) and marked branching diffusions
- 2009-2012: Quant in the Global Markets Quantitative Research Group at Société Générale, Paris.
Particle Method: MC calibration of many models to market smiles; Stochastic volatility (SV) models: derivation of the smile in general multi-factor stochastic volatility models at order 2 in vol-of-vol; New extrapolation of the smile of interest rate swaptions; New global parameterization of the FX smiles; Daily update of the long term (illiquid) FX smile; Pricing cross FX options with uncertain correlation; From spot volatilities to implied volatilities.
- 2011-2012: Visiting Professor at Université Paris VII (Professeur Associé Service Temporaire).
- 2006-2009: Quant in the Equity Derivatives Quantitative Research Team at Société Générale, Paris.
New MC methods for pricing in the Uncertain Volatility Model; New pricing model of reinsurance deals (GMxB, variable annuities); Time extrapolations for numerical schemes for SDEs (Richardson-Romberg); MC pricing of American and chooser options: lower and upper bounds
- 2001-2002: Crédit Lyonnais (now Calyon), Interest Rates Derivatives Quantitative Research (Paris) and Equity Derivatives Quantitative Research (London). One-year training period. Theorical and numerical study of stochastic volatility models.
   
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.
Supervisors: Jean-François Delmas and Bernard Lapeyre.
Published by LAP Lambert Academic Publishing (ISBN: 9783838314464, 172 pages).
Awarded Best 2006 PhD Thesis of the Ecole des ponts.
- 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*).
   
TEACHING
- New York University, Courant Institute of Mathematical Sciences: Adjunct Professor
"Computational Methods for Finance", Professor (since 2015), Mathematics in Finance MSc program (28h/year).
- Columbia University, Department of Mathematics: Adjunct Professor
"Nonlinear Option Pricing", Professor (since 2014), MAFN (Mathematics of Finance MA program) (35h/year).
- Université Paris VII: 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).
"Probability and Statistics", Professor (2004-2006).
"Statistics and Data Analysis", Professor (2005-2006).
"Mathematics of Finance", Assistant Professor (2004-2006).
- Ecole nationale supérieure de techniques avancées (Paris)
"Introduction to Probability and Statistics", Assistant Professor (2003-2006).
- Lycées Louis-Le-Grand and Henri IV (Paris)
Examiner in mathematics in the "Classes Préparatoires aux Grandes Ecoles" (1998-2004).
   
PUBLICATIONS [Link to Google Scholar citations]
Books
- 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.
- 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.
- 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.
Articles published in peer-reviewed journals
- 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.
- Calibration of Local Correlation Models to Basket Smiles, Journal of Computational Finance, 21(1):1-51, 2017. Available online here.
- Cross-Dependent Volatility, Risk Magazine, April 2016. Available online here. Extended version available online here.
- Rethinking the FIFA World Cup final draw, Journal of Quantitative Analysis of Sports, 11(3):169-182, 2015. Extended preprint version available online here.
- Path-dependent volatility, Risk Magazine, October 2014. Available online here. Extended version available online here.
- Local correlation families, Risk Magazine, February 2014. Available online here. Extended version available online here.
- The smile in stochastic volatility models, Risk Magazine, May 2012 (with L. Bergomi). Available online here.
- Being particular about calibration, Risk Magazine, January 2012 (with P. Henry-Labordere). Available online here.
- From spot volatilities to implied volatilities, Risk Magazine, June 2011 (with P. Henry-Labordere). Available online here.
- Uncertain volatility model: a Monte-Carlo approach, Journal of Computational Finance, 14(3), 2011 (with P. Henry-Labordere). Available online here.
- 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.
- Euler scheme and tempered distributions, in Stochastic Processes and Their Applications, 116(6):877-904, 2006. Available online here or here.
Preprints
- What a Fairer UEFA Euro 2016 Could Look Like, SSRN, January 12, 2016. Available online here.
Proceedings
- 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.
Lecture notes chapters
- 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, radio
- Coupe du monde 2018 : la France miraculeusement tête de série... malgré la FFF, Le Monde, October 11, 2017 (in French). Available online here.
- Football : les avantages d'une Coupe du monde à 42 équipes, Le Monde, November 16, 2016 (in French). Available online here.
- Euro 2016 : un autre tableau final est possible, Le Monde, June 24, 2016 (in French). Available online here.
- 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.
- Euro 2016 : comment le tableau final favorise la France, par Julien Guyon, mathématicien, Le Monde, December 12, 2015 (in French). Available online here.
- Pourquoi la France va dégringoler au classement FIFA, So Foot, June 23, 2015 (in French). Available online here.
- Champions League: How to Solve the Seeding Problem, The New York Times, January 21, 2015. Available online here.
- Ligue des champions : comment améliorer le tirage au sort, Le Monde, February 24, 2015. Available online here.
- Ligue des champions : comment résoudre le problème des têtes de série, So Foot, February 24, 2015. Available online here.
- The World Cup Draw Is Unfair. Here's a Better Way, The New York Times, June 4, 2014. Available online here.
- La FIFA doit aussi revoir le tirage au sort de sa Coupe du monde, Le Monde, June 4, 2014. Available online here.
- Repenser le tirage au sort de la Coupe du monde, So Foot, June 4, 2014. Available online here.
- A Better Way to Rank Soccer Teams in a Fairer World Cup, The New York Times, June 13, 2014. Available online here.
- El sistema del sorteo de grupos del Mundial es injusto. Cambiémoslo, El Pais, June 16, 2014. Available online here.
- 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).
- This is an article in the French newspaper Le Monde promoting my work on the FIFA World Cup final draw (May 14, 2014).
- 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
- Research In Options 2017 Conference, IMPA, Rio de Janeiro, November 2017.
- Global Derivatives USA 2017, Chicago, November 2017.
- Jim Gatheral's 60th Birthday Conference, New York, October 2017.
- Università degli studi di Padova, MathSport International 2017, June 2017.
- Global Derivatives 2017, Barcelona, May 2017.
- Mathematics of Quantitative Finance, Research Institute for Mathematics, Oberwolfach, February 2017.
- Ecole polytechnique-Ecole des ponts ParisTech-Université Paris VI-Société générale, Paris, Advances in Financial Mathematics, January 2017.
- Research In Options 2016 Conference, IMPA, Rio de Janeiro, November 2016.
- SIAM Conference on Financial Mathematics and Engineering, Austin, November 2016.
- Stanford University, 12th International Conference on Monte Carlo and quasi-Monte Carlo methods in Scientific Computing, August 2016.
- 9th World Congress of the Bachelier Finance Society, New York, July 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.
- WBS, 11th Fixed Income Conference, Paris, October 2015.
- Harvard University, New England Symposium on Statistics in Sports 2015, September 2015.
- Loughborough University, MathSport International 2015, June 2015.
- Rutgers University, IMS-FIPS 2015, June 2015.
- Global Derivatives 2015, Amsterdam, May 2015.
- WBS, 2nd Fixed Income & Operational Risk Conference USA, New York, May 2015.
- IMPA, Rio de Janeiro, Research In Options 2014 Conference, December 2014.
- Global Derivatives USA 2014, Chicago, November 2014.
- 5th International Conference on Mathematics in Finance, Kruger National Park, South Africa, August 2014.
- 8th World Congress of the Bachelier Finance Society, Brussels, June 2014.
- Global Derivatives 2014, Amsterdam, May 2014.
- New Trends in Computational Finance and Related Topics, Edinburgh April 2014.
- Ecole polytechnique-Ecole des ponts ParisTech-Université Paris VI-Société générale, Paris, Advances in Financial Mathematics, January 2014.
- IMPA, Rio de Janeiro, Research In Options 2013 Conference, December 2013.
- Global Derivatives 2013, Amsterdam, April 2013.
- IMPA, Rio de Janeiro, Research In Options 2012 Conference, December 2012.
- Global Derivatives USA 2012, Chicago, November 2012.
- Global Derivatives 2012, Barcelona, April 2012.
- Université Paris VII, Conference on Quantitative and Statistical Finance, March 2012.
- IMPA, Rio de Janeiro, Research In Options 2011 Conference, November 2011.
- Global Derivatives 2011, Paris, April 2011.
- Ecole polytechnique-Ecole des ponts ParisTech-Société générale, Paris, Modelling and Managing Financial Risks Conference, January 2011.
- IMPA, Rio de Janeiro, Research In Options 2010 Conference, November 2010.
- IMPA, Rio de Janeiro, Research In Options 2009 Conference, November 2009.
- Université de Rennes, Journées MAS, August 2008.
- Kyoto University, Workshop on Mathematical Finance, August 2006.
- Université Paris V, 31st Conference on Stochastic Processes and their Applications, July 2006.
- EDF, Paris, Journées de Statistique, May 2006.
- INRIA Rocquencourt, Amamef International Conference on Numerical Methods in Finance, February 2006.
- Università degli Studi, Perugia, VII Workshop on Quantitative Finance, January 2006.
- University of Technology, Sydney, Quantitative Methods in Finance 2005 Conference, December 2005.
- Institut Elie Cartan, Nancy, Journées de probabilités, September 2005.
Seminars
- 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.
- 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.
- 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.
- 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 VII, "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.
 
EDITOR ACTIVITY
- 2017-present: Associate Editor of SIAM Journal on Financial Mathematics.
   
REFEREE ACTIVITY
- Mathematical Finance
- Journal of Statistical Planning and Inference
- Journal of Computational Finance
- Risk Magazine
- SIAM Journal on Financial Mathematics
- International Journal of Theoretical and Applied Finance
- Journal of Optimization Theory and Applications
- Annals of Operations Research
- European Journal of Physics
   
OTHER EXPERIENCE
- 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.
   
LANGUAGES
- French mother tongue.
- English fluent.
- Spanish fluent.
- Italian notions.
 
   
COMPUTER SKILLS
- Operating systems Unix, iOS, Windows.
- Programming Python, Matlab, Scilab, C, C++.
 
   
EVENT ORGANIZATION, REPRESENTATION
- Member of the local organization committee of the conference "Modelling and managing financial" co-organized by Ecole polytechnique, Ecole des Ponts and Société Générale, Paris, January 2011.
- Ecole des ponts ParisTech student representative on the Teaching and Research Council (2001).
- Ecole polytechnique student representative in the Mathematics Department (1999).