Looking for new opportunities in financial institutions.
I carried out a postdoctoral research project in Department of Applied Mathematics (CMAP) at École Polytechnique, working on stochastic control problems with applications to finance and economics. My research interests included option pricing and hedging with asymmetric risk and numerical methods for dynamic programming equations.
I have a Ph.D. in Applied Mathematics from the CMAP at École Polytechnique sponsored by a CIFRE contract with EDF R&D. My advisor was Professor Emmanuel Gobet, coordinator of the Statistique Apprentissage Simulation Image (SIMPAS) research team.
Ph.D. in Applied Mathematics, 2015 - 2018
École Polytechnique
M.Sc. in Probability and Finance, 2014 - 2015
Université Paris 7 (Paris Diderot)
Diplôme d'Ingénieur, 2011 - 2014
École Polytechnique
Valorisation et couverture d’options avec risque asymétrique (slide). October, 2018. Soutenance de thèse, Ecole Polytechnique, Palaiseau, France.
Option valuation and hedging using asymmetric risk function (poster).
September, 2018.
ANR CAESARS Closing Conference, Palaiseau, France.
Asymptotic non-linear continuous-time valuation with hedging and asymmetric risk function (poster).
November, 2017.
Research in Options, Rio de Janeiro, Brazil.
Hedging with non-quadratic local risk minimization using least-squares Monte-Carlo (slide).
July, 2017.
International Conference on Monte Carlo Methods and Applications, Montréal, Canada.
2018 - Advances in Modelling and Control for Power Systems of the Future (ANR CAESARS Closing Conference).
EDF Lab Paris-Saclay, Palaiseau, France.
2018 - 11th European Summer School in Financial Mathematics.
Ecole Polytechnique, Paris, France.
2018 - PhD Winter School on Real Options and Commodity Markets.
NTNU, Tauplitz, Austria.
2018 - 17th Winter School on Mathematical Finance.
De Werelt, Luteren, Netherlands.
2017 - Numerical methods for stochastic models: control, uncertainty quantification, mean-field (CEMRACS).
CIRM, Marseille, France.
2017 - 11th International Conference on Monte Carlo Methods and Applications (MCM).
HEC Montréal, Montréal, Canada.
2017 - Advances in Financial Mathematics.
Université Paris V, Paris, France.
2016 - International Conference on Monte Carlo techniques.
Université Paris V, Paris, France.