Curriculum vitae
Positions:
Since 2016: Professor of Quantitative Finance at ENSAE ParisTech
Feb - Jun 2017: Visiting professor at Imperial College London
2011 - 2016: Professor of Applied Mathematics at Universit ́e Paris-Diderot
2011 - 2013, 2014 - 2016: Part-time faculty at Ecole Polytechnique
2008 - 2011: Assistant professor (professeur chargé de cours) at Ecole Polytechnique
2005 - 2008: Assistant professor(maître de conférences) at Université Paris Diderot
2004 - 2005: Post-doc at INRIA
Education / diplomas
2010: Habilitation à Diriger les Recherches, Université Paris Diderot
2001 - 2004: PhD at CMAP, Ecole Polytechnique (advisor: Rama Cont)
2000 - 2001: Master “Probability and Applications” at Universit ́e Pierre et Marie Curie
1998 - 2000: Ecole Polytechnique (X97)
Awards
2016: Best young researcher in finance award, Europlace Institute of Finance, 2016
Research highlights
Research output: 50 articles published or accepted in international refereed journals; 8 refereed book chapters / conference proceedings, 1 monograph (Financial Modeling with Jump Processes), 1 edited book (Forecasting and Risk Management for Renewable Energy), over 90 invited conference presentations. PhD Students: 9 defended, 4 in progress
Institut Louis Bachelier Program on Green and Sustainable Finance: Since 2018, I am developing research in Green and Sustainable finance, in particular as the scientific director of the ILB program focusing in this field
Editorial boards: Mathematical Finance, Finance and Stochastics (co-editor), SIAM Journal of Financial Mathematics (2013-2021), Statistics and Risk Modeling (formerly Statistics and Decisions), Electronic Journal of Probability / Electronic Communications in Probability (2015–2017)
Scientific councils, chairs, research initiatives: Member of the executive scientific council of Louis Bachelier Institute, member of the research initiative FIME (Finance of Energy Markets)
Major research grants as PI / coordinator: FOREWER (Forecasting and Risk Evaluation for Wind Energy Production), 2014–2019, funded by the French National Research Agency (ANR), 3 academic and 2 industrial partners, budget 500 KE; ECOREES (Economic Sustainability of the Future Highly Renewable European Energy System), 2019–2023, funded by ANR, 4 academic and 1 industrial partner, budget 400 KE; SECRAET (Scenario Based Climate Risk Analysis for energy Transition), 2019–2022, funded by ADEME (French Agency for Environment and Energy Management Agency), 3 academic partners, budget 200 kE.