Mathématiques financières
Head of the team : Nizar Touzi and Mathieu Rosenbaum, Professors at Ecole polytechnique
Permanent members
- Charles Bertucci, CNRS researcher
- Jocelyne Bion-Nadal, CNRS researcher
- Stefano De Marco, Assistant Professor
- Emmanuel Gobet, Professor
- Thibaut Mastrolia, Assistant Professor
- Mathieu Rosenbaum, Professor
- Nizar Touzi, Professor
Associate researchers
- Eduardo Abi Jaber (Université Paris 1)
- René Aïd (Université Paris-Dauphine)
- Clémence Alasseur (EDF)
- Pierre Henry-Labordère (Société Générale)
- Charles-Albert Lehalle (CFM)
- Anis Matoussi (Université du Mans)
- Zhenjie Ren (Université Paris-Dauphine)
- Denis Talay (INRIA Sophia-Antipolis)
- Xiaolu Tan (Univ. Paris-Dauphine)
Post-Doctoral
- Iuliia Manziuk
- Emel Savku
PhD Students
- Bastien Baldacci (supervisors: M. Rosenbaum et Dylan Possamaï).
- Florian Bourgey (supervisors: E. Gobet et S. De Marco). Modélisation et simulation avec équations non-linéaires pour le gestion des risques financiers.
- Marcos Carreira (supervisor: M. Rosenbaum).
- Joffrey Derchu (supervisor: M. Rosenbaum).
- Heythem Farhat (supervisor: N. Touzi).
- Antoine Fosset (supervisor: M. Rosenbaum).
- Kaitong Hu (supervisor: N. Touzi). Jeux différentiels stochastiques non-markoviens, applications aux problèmes de Principal-Agent.
- Paul Jusselin (supervisor: M. Rosenbaum).
- Isaque Santa Brigida Pimentel (supervisor: E. Gobet).
- Bowen Sheng (supervisor: N. Touzi).
- Mehdi Talbi (supervisor: N. Touzi). Arrêt optimal en champ-moyen.
- Mehdi Tomas (supervisor: M. Rosenbaum).
Research projects:
- ANR PACMAN (2016-2020)
- Chaire Finance et Développement Durable (EDF, CACIB, Univ. Paris-Dauphine, Ecole Polytechnique, Institut Europlace de Finance)
- Chaire Risques Financiers (Fondation du Risque, Ecole Polytechnique, Ecole des Ponts ParisTech, UPMC et Société Générale)
- Chaire Statistiques et Modèles pour le Régulation (Ecole Polytechnique, Fondation de l'Ecole Polytechnique et Friends of Ecole Polytechnique Inc.)
- ERC RoFiRM (PI : N. Touzi, 2013-2018)
- ERC STAQAMOF (PI : M. Rosenbaum, 2016-2021)
- FiME (EDF, Université Paris-Dauphine, ENSAE, Ecole Polytechnique)
Team seminar
Our seminar "Stochastic models in finance" takes place evry Monday at 3:30pm joint with ENSAE and ENSTA. To be registered on the email list, we invite you to contact Thibaut Mastrolia.
European summer school in financial mathematics (SMAI labeled since 2009 and EMS since 2011).
12th Edition: University of Padova 2-6 September 2019,
11th Edition: Ecole Polytechnique and ENSAE, 27-31 August 2018,
10th Edition: University of Dresden, 28 August - 1 September 2017,
9th Edition: Pushkin, Saint Petersburg, 29 August - 2 September 2016,
8th Edition: Université du Maine, Le Mans, 31 August - 4 September 2015,
7th Edition: Oxford-Man Institute of Quantitative Finance, 1-5 September 2014,
6th Edition: University of Vienna, 26-30 August 2013,
5th Edition: Ecole Polytechnique, 27-31 August 2012,
4th Edition: ETH Zurich, 5-9 September 2011,
3rd Edition: Ecole Polytechnique, 23-27 August 2010,
2nd Edition: Ecole Polytechnique, 24-29 August 2009,
1st Edition : Ecole Polytechnique, 7-14 September 2008.