Lingling CAO, PhD Student

CERMICS, Ecole Des Ponts ParisTech

I am a PhD student working on mathematical aspects of quantum transport phenomenon. My supervisors are Eric Cancès and Gabriel Stoltz. Before this, I was a quantitative researcher at Société Générale Paris in Lorenzo Bergomi's team from 2014 to 2016. I worked on Interest Rate/Equity/Hybrid derivatives modeling, as well as hedging strategies.


Research Interests:

I am interested in beautiful/simple/efficient mathematical models to describe/solve problems from both condensed matter physics and financial market. Quite contrary to common belief, I think problems from financial market are as much difficult as those from physics, maybe even harder, since the financial market involves humain behaviors. This leads to two major research areas which I'am interested in :

  • Mathematical aspect of quantum transport. Hartree-Fock theory. Spectral analysis and perturbation theory.
  • Mathematical finance.
Publications & Preprints
Conferences and Talks
  • Séminaire des doctorants du Ceremade. The reduced Hartree-Fock (rHF) model for extended defects in a Fermi sea, with slides. 08/03/2018.
  • Work shop on mathematical aspects of condensed matter physics. Relative index and quantum Hall effect, with a summary note. 09/11/2017.
  • Séminaire des doctorants du CERMICS. 25/10/2017. Slides.
  • Advanced in Financial Mathematics. Flash talk on Interest rate models enhanced with local volatilities. 11/01/2017.

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