Aurélien Alfonsi

2007- : Researcher at the CERMICS. Habilitation à Diriger des Recherches (2012).
2015- : Assistant professor at Ecole Polytechnique.

Former PhD students:

• Nerea Vadillo Fernandez (2024), Risk valuation for weather derivatives related to the energy market.
• Rafaël Coyaud (2021), Study of approximations of optimal transport problems and application to physics, co-advised with Virginie Ehrlacher.
• Adel Cherchali (2021), Modelling and numerical methods for the Asset and Liability Management.
• Clément Rey (2015), High weak order discretization schemes for stochastic differential equation, co-advised with Vlad Bally.
• Pierre Blanc (2015), Effets de rétroaction en finance: applications à l'exécution optimale et aux modèles de volatilité.
• Ernesto Palidda (2015), Modélisation du smile de volatilité pour les produits dérivés de taux d' intérêt, co-advised with Bernard Lapeyre.
• Jose Infante Acevedo (2013), Méthodes et modèles numériques appliqués aux risques du marché et à l'évaluation financière, co-advised with Tony Lelièvre.
• Abdelkoddousse Ahdida (2011), Processus matriciels : simulation et modélisation de la dépendance en finance, co-advised with Bernard Lapeyre.

2019 : Award for the Best Young Researcher in Finance and Insurance. (Europlace Institute of Finance and the SCOR corporate foundation for science)

2017-2024 : Direction of the CERMICS (deputy director (2017-2019, 2020-2024) and director (2019-2020)).

2006-2007 : Post-doctoral position at the TU Berlin with Alexander Schied.

2003-2006 : Ph.D. thesis supervised by Benjamin Jourdain at the CERMICS and named "Modélisation en risque de crédit. Calibration et discrétisation de modèles financiers."

2001-2003 : Training at the Ecole Nationale des Ponts et Chaussées and DEA in probability, option "Stochastic process", at the university Paris VI Pierre et Marie Curie. Internship at the banca IMI (Milan) on credit risk modelling with Damiano Brigo.

Admitted to the Ecole Nationale des Ponts et Chaussées.

1998-2001 : Ecole Polytechnique. Specialization in mathematics and applied mathematics. Research training period (3 months) with Etienne Pardoux on the Backward Stochastic Differential Equations, and their application to finance.

1995-1998 : Lycée Thiers (Marseilles): class which prepares students for the entry exams to the Grandes Ecoles (Mathematics and Physics). Admitted to the Ecole Polytechnique and the Ecole Normale Supérieure.