Research

Quantitative finance / applied probability

My recent research on quantitative finance and applied probability focuses on mean-field games of optimal stopping, stochastic volatility models, Monte Carlo methods and asymptotic methods in mathematical finance

Green finance

My research in green and sustainable finance focuses on quantitative models for impact investing, measurement of climate risk and methods for evaluating portfolio alignment to a temperature trajectory

I am scientific director of Green and Sustainable Finance program at Louis Bachelier Institute, coordinator the project SECRAET (Scenario-based Climate Risk Analysis for Energy Transition) funded by ADEME, and represent ENSAE/Polytechnique at the GRASFI alliance

Energy finance

My energy finance research focuses on electricity markets, and in particular on the role of renewable energy in these markets

I am member of the Finance of Energy Markets Laboratory and coordinator of the ANR project EcoREES (Economic Sustainability of the Future Highly Renewable European Energy System)