Alexandre Zhou

PhD Student / CERMICS

Introduction

I am a PhD student in Probability and Mathematical Finance at CERMICS, Ecole des Ponts ParisTech. With my advisor Benjamin Jourdain, we are working on the Local and Stochastic Volatility (LSV) models.

Research Topic

This PhD focuses on the calibration of local and stochastic volatility models.

According to Gyongy's theorem, a local and stochastic volatility (LSV) model calibrated to the European call prices for all positive strikes and maturities leads to a stochastic differential equation (SDE) which is non-linear in the sense of McKean.

In the industry, probabilistic particle methods provide a practical and efficient calibration procedure of LSV models, provided that the range of the stochastic volatility process is not too large.

But so far, no existence or uniqueness result is available for the SDE describing the calibrated LSV model. The objective of this PhD is therefore to analyze this kind of equation and its simulation.

Publications & Preprints
Conferences and Talks
Teaching
Seminars

I co organize with Marion Sciauveau and Laura Silva-Lopes the Young Researchers Seminar at CERMICS.

Curriculum

I am a former student of École Polytechnique and Pierre and Marie Curie University. A detailed resume can be found here (English version) or here (French version).

Contact

Alexandre Zhou
CERMICS, École Nationale des Ponts et Chaussées
6 et 8, av. Blaise Pascal
Cité Descartes - Champs-sur-Marne
77455 Marne-la-Vallée cedex 2
France

E-mail: alexandre.zhou[at]enpc.fr