| 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 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. 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 on me and my work on fairness in sports, in particular 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. | |
| press, media: articles about my work on the 2018 World Cup draw probabilities |
- In Polski Sport (Poland). - In Expressen (Sweden). - In BT (Denmark). - In TV2 (Denmark). - In Fodboldspilleren (Denmark). - In Ekstra Bladet (Denmark). - In Visir (Iceland). - In ESPN (Brasil). - In La Nación (Argentina). - In Sports.fr (France). | |
| press, media: articles about my work on the Champions League Round of 16 draw probabilities |
- In The Times (UK, 2019). - In L'Équipe (France, 2019). - In Le Parisien (France, 2018). - In RMC (France, 2018). - In 20 minutes (France, 2018). - In football.london (UK, 2017). |