Sophian MEHALLA

PhD Student / Cermics, ENPC

Introduction

I am a PhD candidate in Probability and Mathematical Finance at Milliman (Paris) and the CERMICS (Ecole des Ponts ParisTech). With my advisors Alexandre Boumezoued (Milliman) and Bernard Lapeyre , we are working on the calibration of market models (interest-rates) with stochastic volatility.

CERMICS is a laboratory of École des Ponts ParisTech, hosting joint research teams with INRIA and University of Marne-la-Vallée. It is located at École des Ponts ParisTech in Champs-sur-Marne. The scientific activity of CERMICS covers several domains in scientific computing, modelling, and optimization.

Milliman is an important provider of actuarial and related products and services. Expertises are performed in employee benefits, investment consulting, healthcare, life insurance and financial services, and property and casualty insurance. In addition to consulting actuaries, Milliman's body of professionals includes numerous other specialists, ranging from clinicians to economists.

Research Topic

This first area of research of the PhD is about the calibration of interest-rates stochastic volatility models in insurance framework.

The following work is among the motivations of the PhD thesis:

  • Devineau L., Arrouy P.-E., Bonnefoy P. and Boumezoued A., Fast calibration of the Libor Market Model with stochastic volatility and displaced diffusion (2017).

    • Pricing under the LIBOR Market Model with Stochastic volatility modelled by a Jacobi process and its connections with the standard framework (with CIR volatility factor) are studied in the following pre-print:

  • Arrouy P.-E., Boumezoued A., Lapeyre B. and Mehalla S., Jacobi Stochastic Volatility factor for the Libor Market Model (2020).
    • Conferences
  • Berlin-Paris Young Researchers workshop on Stochastic Analysis with Applications in Biology and Finance, 2nd Edition, May 2-4 2018, Paris, France (poster).
  • European Summer School in Financial Mathematics, 11th Edition , August 27-31 2018, Paris, France (slides).
  • Workshop on Finance, Insurance, Probability and Statistics, 8th Edition , September 10-11 2018, London, UK, King's Colleges.
  • DEM Workshop In Financial Mathematics 2018, October 31 2018, Verona, Italy, Universita di Verona.
  • Perspectives on Actuarial Risks in Talks of Young Researchers, April 14-19 2019, Sibiu, Romania (slides).
  • 9th General AMaMeF Conference, June 11-14 2019, Paris, France (slides).
  • Vienna Congress on Mathematical Finance and Workshop, September 9-13 2019, Vienna, Austria.
  • Groupe de Travail Methodes Stochastiques et Finance , November 28 2019, Paris (Champs-Sur-Marne), France (slides).
  • Advances in Financial Mathematics , January 2020, Paris, France (slides).
    • Teaching
  • Decision dans l'incertain, 1st year Ecole Nationale des Ponts et Chaussees (2019).
    • Curriculum

    I am a former student of ENSTA ParisTech and Master MAF. A detailed resume can be found here (English version).

    Contact (CERMICS)

    Sophian Mehalla
    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: sophian (dot) mehalla (at) enpc (dot) fr

    Contact (Milliman)

    Sophian Mehalla
    Milliman (Paris)
    14 Avenue de la Grande Armée
    75017 Paris
    France

    E-mail: sophian (dot) mehalla (at) milliman (dot) com