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.
This first area of research of the PhD is about the calibration of interest-rates stochastic volatility models under insurance framework.
The following work is among the motivations of the PhD thesis:
CERMICS, École Nationale des Ponts et Chaussées
6 et 8, av. Blaise Pascal
Cité Descartes - Champs-sur-Marne
77455 Marne-la-Vallée cedex 2
E-mail: sophian (dot) mehalla (at) enpc (dot) fr
14 Avenue de la Grande Armée
E-mail: sophian (dot) mehalla (at) milliman (dot) com