Research

My ResearchGate page

Main research topics

-  Mathematical finance and quantitative finance

• • Optimal investment and risk management (liquidity, default risk)

  • Robust portfolio selection

  • Market microstructure and high frequency trading

  • Real options and energy markets

-  Stochastic control and optimization 

• •   Mean-field game, McKean-Vlasov control

  •  HJB equation and viscosity solutions

  • Backward stochastic differential equation                    

-   Machine learning

• Neural networks algorithms for stochastic control and PDEs

• Reinforcement learning

• Generative modeling

-   Numerical probabilities          

• Quantization

• Monte-Carlo methods

- Large deviations and applications        

• Chair BNP-PAR Futures of Quantitative Finance

• ANR CAESARS

• Co-authors

• PostDocs

• PhD Students

• Seminars