Research
Research interests
Cyber risk : : I am co-director of the Research Initiative : "Cyber insurance : actuarial modeling" coordinated by the Fondation du risque (Institut Louis Bachelier), and supported by AXA Research Fund.
Dynamic utilities and long term yield curve modeling.
Longevity risk and pensions.
Asymmetric information and enlargement of filtrations.
Principal-agent contract with moral hazard, Public-Private-Partnerships.
Credit Risk.
Publications and Preprints
Publications
Existence of an equilibrium on a financial market with discontinuous prices, asymmetric information and non trivial initial -fields. (pdf ). Mathematical Finance, Vol. 15, No 1, January 2005, 99-117.
Comparison of insiders' optimal strategies depending on the type of side-information. (pdf). Stochastic Processes and Their Applications 115 (2005) 1603-1627.
Comparison of insiders' optimal strategies, three different types of side-information. Joint work with Monique Pontier. (au format pdf). RIMS symposium, the 7th workshop on Stochastic Numerics, Kyoto, June 27-29, 2005.
Information Asymmetry in Pricing of Credit Derivatives. Avec Ying Jiao. (pdf).
International Journal of Theoretical and Applied Finance Vol. 14, No. 5 (2011) 611-633 .
Understanding, Modeling and Managing Longevity Risk : Key issues and Main Challenges. Avec P. Barrieu, H. Bensusan, N. El Karoui, S. Loisel, C. Ravanelli, Y. Salhi (pdf file). Scandinavian Actuarial Journal (2012), Vol. 2012, No 3, 203-231.
A Modelisation of Public Private Parternships with failure time. Joint work with Monique Pontier. (pdf file). Stochastic Analysis and Related Topics, Laurent Decreusefond and Jamal Najim ed. Springer Proceedings in Mathematics and Statistics Vol 22, 2012, pages 91-117.
Credit Risk with asymmetric information on the default threshold. Avec Ying Jiao. (pdf file). Stochastics : An International Journal of Probability and Stochastic Processes, (2012) Vol. 84, Nos. 2-3, 135.
Affine long term yield curves: An application of the Ramsey rule with progressive utility. (pdf). With Mohamed Mrad and Nicole El Karoui. Journal of Financial Engineering, Vol. 1, No. 1 (2014) 1450003(24 pages); DOI: 10.1142/S2345768614500032.
A portfolio optimization with two prices generated by two information flows. (pdf). Arbitrage, Credit and informational Risks, Proceedings of the Sino-French research program in Financial Mathematics Conference, 225-239, Beijing, June 2013.
Portfolio optimization with insider's initial information and counterparty risk. (pdf). With Ying Jiao. To appear in Finance and Stochastics - Vol. 19, 1, p. 109-134 (2015).
Reducing the debt: is it optimal to outsource an investment? (pdf) Joint work with G-E. Espinosa, B. Jourdain et M. Pontier. Mathematics and Financial Economics, September 2016 Volume 10, Issue 4, pp 457.493 DOI: 10.1007/s11579-016-0166-8.
Successive enlargement of filtrations and application to insider information (pdf). With Christophette Blanchet and Ying Jiao. Advances in Applied Probability, Volume 49, Issue 3 September 2017, pp. 653.685.
Optimal Contract with Moral Hazard for Public Private Partnerships. (pdf)With Ishak Hajjej, Mohamed Mnif and Monique Pontier. Volume 89, 2017 - Issue 6-7 : Proceedings of the Hammamet Conference, 19-23 October 2015.
Shapes of implied volatility with positive mass at zero (pdf) Joint work with S. De Marco and A. Jacquier. SIAM Journal on Financial Mathematics vol. 8, no 1, p. 709-737, (2017).
Trading against disorderly liquidation of a large position under asymmetric information and market impact. (pdf) With C. Hyndman, Y. Jiao, R. Wang. ESAIM : Proceedings and Surveys 56, 42-71, 2017. 2017.
Consistent Utility of Investment and Consumption: a forward/backward SPDE viewpoint. (pdf) joint work with Mohamed Mrad and Nicole El Karoui. Stochastics, 90(6), 927-954 (2018)
Pricing formulae for derivatives in insurance using the Malliavin calculus. (pdf) With Ying Jiao and Anthony Réveillac. Probability, Uncertainty and Quantitative Risk, vol. 3, no 1, p. 7, (2018).
Construction of an aggregate consistent utility without Pareto Optimality. Application to Long-Term yield curve modeling. With N. El Karoui, M. Mrad. . International Symposium on BSDEs. Springer, Cham. (2018)
Le prix du risque de longévité, With N. El Karoui, S. Loisel, Y. Salhi. Revue d’économie financière, 2019/1-133. (2019)
Multivariate Hawkes process for cyber insurance With Y. Bessy-Roland, A. Boumezoued, to appear in Annals of Actuarial Science, 1-26, (June 2020) DOI: https://doi.org/10.1017/S1748499520000093.
Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models. With Olivier Lopez . To appear in Scandinavian Actuarial Journal (2021).
Preprints
Ramsey Rule with forward/backward Utility for Long Term Yield Curves Modeling joint work with Mohamed Mrad and Nicole El Karoui. Submitted (2020).
Optimal stopping contract for Public Private Partnerships under moral hazard joint work with Ishak Hajjej and Mohamed Mnif. Submitted (2020).
An expansion formula for Hawkes processes and application to cyber-insurance derivatives joint work with A. Réveillac, M. Rosenbaum. Submitted (2021).
The Malliavin-Stein method for Hawkes functionals joint work with L. Huang, M. Khabou, A. Réveillac. Submitted (2021).
Books
Portfolio Optimization with Different Information Flow, 1st Edition. With Ying Jiao. ISTE Press - Elsevier February 2017
Working papers and publications towards practitioners
A Competitive dynamic equilibrium with different asymmetric information. (pdf). Working paper Février 2007.
Impact of the european market infrastructure regulation on hedging strategy and induced costs for energy market. (pdf). Joint work with S. Bigdade, C. Alasseur, EDF R&D, selected to the12th IAEE European Energy Conference, September 2012, Venice.
Invited Editorial “The challenges imposed by low interest rates” Journal of Asset Management 06/2019; 20(6):1-8.
Les utilités progressives : un outil de modélisation adapté pour appréhender l’hétérogénéité et le long terme. Exemple du calcul du taux d’actualisation, Actuariel, January 2019.
Comment améliorer la modélisation des taux d’intérêt à long-terme ? Les cahiers de l’ILB, Mars 2019
The Joint Research Initiative on Cyber Risk, Newsletters variances, décembre 2019
Ph.D. Thesis
Equilibres sur un marché financier avec asymétrie d'information et discontinuité des prix (in ps or pdf).
defended on November 20th, 2004, under the supervision of Monique Pontier, in the Laboratoire de Statistique et Probabilités of Université Paul Sabatier (Toulouse III).
Habilitation à diriger des recherches
Contribution aux risques d'information asymétrique, de longévité et d'externalisation ( pdf file).
defended on November, 25th 2014, at Université Pierre et Marie Curie.
Communications
Evry, 28 February and 1er March 2002. Rencontre Processus a sauts.
La Rochelle, September 2002. Journées de Probabilités.
Toulouse, 10 February 2003. Groupe de travail en probabilités du laboratoire LSP,
Talk on Equilibrium on a financial market with asymmetric information.
Nice, 14 and 15 February 2003. Mathematical Finance, Satellite Meeting to AMAM 03.
Marseille, 28 March 2003. Groupe de travail "Modèles financiers avec asymétrie d'information"
Talk on Equilibrium on a financial market with different asymmetric information.
Aussois, 26-30 April 2004. Colloquium "Jeunes Probabilistes et Statisticiens"
Talk on Equilibrium on a financial market with different asymmetric information.
Baruch College, New-York, 10 May 2004. Mathematical Finance seminar.
Talk on Equilibrium on a financial market with different asymmetric information.
Université Paul Sabatier, Toulouse, 17 June 2004. Stochastic Calculus and Finance. Talk on Simulations of insiders' optimal strategies.
Université d'Evry, 10 January 2005. Talk at the Groupe de travail en Probabilités.
ISFA, Université Lyon 1, 21 January 2005. Talk at the Groupe de travail "Finance et Risque de Crédit".
Université Paul Sabatier, Toulouse, 25 February 2005. Talk at the Séminaire de probabilités du laboratoire LSP.
Talk at the Séminaire Bachelier, 25 March 2005.
Université Marne La Vallée, 8 April 2005. Talk at the groupe de travail Méthodes Stochastiques et Finance.
Ecole Polytechnique, Séminaire de modèles stochastiques, CMAP, 3 October 2005.
Université d'Evry, 26 October 2006. Talk at the Groupe de travail en Probabilités.
Université Paul Sabatier, 25-27 January 2007. AMAMEF Workshop on Information in Pricing Models. Simulation of insiders' optimal strategies.
Université de la Rochelle, 25 October 2007. Stochastic Optimal Control and Applications in Finance.
International Conference on Stochastic Analysis and Applications, Hammamet, 12 -17 October, 2009
Université d'Evry, May 6 2010. Séminaire de Probabilités et Mathématiques Financières.
Workshop Enlargement of Filtrations and Applications to Finance and Insurance, May 31 - June 4, 2010, Jena (Germany). International Conference on Stochastic Analysis and Applications
ISFA, Université Lyon 1, June 11, 2010. Groupe de travail "Statistique et Probabilités Appliquées à l'Assurance et la Finance".
6th World Congress of the Bachelier Finance Society, June 22-26, 2010, Toronto
Institut Louis Bachelier, Paris, July 6, 2010. Journée des Chaires de Recherche de l'Institut Louis Bachelier.
Séminaire Bachelier, Paris, October 1, 2010.
Université Paris 6/7, November 4th, 2010.
Séminaire Bachelier, Paris, January, 2011.
Université Angers, May 16th, 2011.
Forum GI, March 16, 2011, Paris.
Université d'Evry, May 2012. Séminaire de Probabilités et Mathématiques Financières.
Université Paris 6/7, January 2013.
Université Angers, International conference Advanced methods in mathematical finance, September 2013.
Séminaire parisien Bachelier , May 2014.
8th World Congress of the Bachelier Finance Society, Brussels, June 2014.
Actuarial and Financial Mathematics Seminar, Montréal, August 2014.
London-Paris Bachelier Workshop, Paris, September 2014.
Colloquium on Insurance and Finance risks, le Mans, November 2014.
First Paris-Asia Conference, Siem Reap, Cambodia, February 2015
Séminaire Mathématiques de la Décision, Toulouse School of Economics, April 2015
Seminar in Mathematical Finance and Probability, Vienna, June 2015
Conference Longevity 11, Lyon, September 2015
International Conference on Stochastic Analysis and Application, Hammamet, 19 -23 October, 2015
Frontiers in Stochastic Modeling for Finance, Padua, 02-05 February 2016
Inaugural conference PanoRisk, le Mans, 07-08 June 2016.
Second Bar-Ilan Conference on Financial Mathematics, Tel Aviv, June 20-21 2016
9th World Congress of the Bachelier Finance Society, New-York, July 2016.
Conference on Enlargements of Filtrations and Financial Applications, Zurich, 8-9 September 2017
Advances in Financial Mathematics Conference, Paris, January 2017
Second Paris-Asia Conference, Suzhou China, 23-27 May 2017
Journées de Chaires de l'ILB , 20 October 2017
International Conference on Stochastic Analysis and Application, Hammamet, 24 -27 October, 2017
VPSMS, Opening conference, Verona, December 2017
LoLitA Closing Conference, January 2018
Seminar of probability of LaMME, Université d'Evry, February 2018
Seminar of LPSM, Sorbonne Université, March 2018
Course at CREMMA, April 2018
Groupe de Travail Méthodes Stochastiques et Finance; ENPC, Inria and UPEMLV, 2018 de Travail M
CREMMA 9, Tunis, April 2019. ́ENPC - INRIA - UPEMLV
Seminar at LaMME, Université d’Evry, April 2019.
9th General AMaMeF Conference, Paris, June 11-14, 2019.
Conference "Mathematics in longevity risk management" King’s College London, 27th June 2019.
New challenges in Insurance Paris, September 5-6, 2019.
International Conference on Control, Games and Stochastic Analysis, Hammamet, 27-31 October, 2019
Working group at LPSM, Sorbonne Université, November 2019.
12th Financial Risks International Forum, 18-19 March 2019, Paris.
International Congress on Industrial and Applied Mathematics (ICIAM), July 2019, Valence.
Plenary speaker at the international online conference OICA, April 2020.
International Congress AAI, May 2020, Paris.
Oberwolfach Workshop "New Challenges in the Interplay between Finance and Insurance", 25-31 October 2020.
Conference "Hawkes Process in Insurance and Finance" Le Mans Universit\'e, December 15, 2020.
Seminar of LPSM, Sorbonne Université, December 2020.
14th Financial Risks International Forum, 25-26 March 2021, Paris.
Seminar of probability of LaMME, Université d'Evry, 25 March 2021.
Bielefeld Stochastic Afternoon: Math Finance session, scheduled 12 May 2021.
Business oriented conferences
Webinar "Zoom sur le risque cyber" of Institut des Actuaires, 9 March 2021.
Webinar, AXA Group, 21 January 2021.
Participation to the Webinar of AXA XL "Un virus peut en cacher un autre : la cyber criminalit\'e boost\'ee par le Covid-19", 12 June 2020.
Webinars of Institut du risk Management, 19 December 2019.
100% Actuaires- 100% Data Science, 29 November 2019, Paris.