PhD Students

Former PhD students

• Fabrice BAUDOIN (2002) (co-supervised with M. YOR) : Conditioning of Brownian functionals and applications to anticipation modeling in financial markets.

         Currently, Full Professor,  Connecticut University. 

• Mohamed MNIF (2003) (co-supervised with A. SULEM) : Some applications of stochastic control to finance and insurance.  

         Currently, Professor, ENIT, Tunis. 

• Guillaume LASSERRE (2003) : Equilibrium models with asymmetric information.       

         Currently, Deputy CIO at La Banque Postale Asset Management

• Afef SELLAMI (2005) (co-supervised with G. PAGES) : Optimal quantization methods  in filtering and applications to finance.  

        Currently, Senior risk manager at JP Morgan.   

• Vathana LY VATH (2006) : Applications of stochastic control to real options and liquidity risk models.

         Currently,  Professor  at  ENSIEE, Evry. 

•  Marco CORSI  (2007) (co-supervised with W. RUNGGALDIER) :  Valuation and portfolio optimisation in jump-diffusion models : theoretical and numerical aspects

         Currently, ETF Research at Vanguard

• Benjamin BRUDER (2008) (Thèse CIFRE, SGAM) : Stochastic control and applications to option hedging under illiquidity : theoretical and numerical aspects

         Currently,  Research and Development Engineer  at Amundi Asset Management

• Jean-François CHASSAGNEUX (2008) (co-supervised with B. BOUCHARD): Processus réfléchis en finance et probabilités numériques

         Currently, Professor, Université de Paris ( Paris Diderot)

• Idris KHARROUBI (2009): EDS rétrogrades et contrôle stochastique séquentiel en temps continu en finance

         Currently, Professor at Sorbonne University (P6)

• Marie BERNHART (2011) (Thèse CIFRE, EDF, co-supervised with P. TANKOV): Modélisation et méthodes d'évaluation de contrats gaziers

         Currently, Team Manager at EDF R&D. 

• Paul GASSIAT (2011): Modélisation du risque de liquidité et méthodes de quantification appliqués au contrôle stochastique séquentiel

          Currently, Associate  Professor at University Paris Dauphine

• Fabien GUILBAUD (2013): Optimal control in limit order books

         Currently  Portfolio manager  at Athena Capital Research LLC

•  Nicolas LANGRENE  (2014) (co-supervised with L. CAMPI): Méthodes numériques probabilistes en grande dimension pour le contrôle stochastique et problèmes de valorisation sur les marchés de l'électricité

          Currently Associate Professor, Beijing Normal University-Hong Kong Baptist University  

• Pietro FODRA (2015): Modélisation de la microstructure des prix et applications du contrôle stochastique au trading algorithmique 

         Currently, Data Scientist at CDiscount

• Sébastien CHOUKROUN (2015): Backward SDEs, stochastic control and applications in mathematical finance

          Currently, Manager Blockchain at Nomadic Labs

• Pierre GRUET (2015) (co-supervised with M. HOFFMANN): Quelques problèmes d’estimation et de contrôle optimal pour les processus stochastiques dans un cadre de modélisation des prix des marchés de l’électricité 

        Currently, Research engineer at EDF R&D

• Amine ISMAIL (2017) (Thèse CIFRE, NATIXIS): Robust modeling of volatility and application to derivatives pricing and portfolio optimization

        Currently, Quant at NATIXIS.

• Xiaoli WEI (2018): Control of McKean-Vlasov systems and applications 

         Assistant Professor, Tsinghua-Berkeley Shenzen Institute  

• Man NGO (2019), JVN Institute Ho-Chi-Minh City: Some contributions in portfolio optimization and risk management

        Researcher at JVN, and AI lead Jobhop Asia

• Côme HURE (2019)  (co-supervised with F. ABERGEL): Numerical methods and deep learning for stochastic control problems and partial differential equations     

         Currently Quant at JP Morgan.

• Johann NICOLLE (2020) (Thèse CIFRE, OSSIAM, co-supervised with C. De Franco): Some contributions of Bayesian and computational learning methods to portfolio selection problems

         Currently Quant at OSSIAM

• Enzo MILLER (2021) (co-supervised with R. AID): Non Markovian linear-quadratic stochastic control: Volterra equations, rough volatility and delayed systems. 

Currently Quantitative researcher at Qube RT

• Médéric MOTTE (2021): Mathematical models for large populations, behavorial economics, and targeted advertising

Data Scientist at Amazon (California)

• Maximilien GERMAIN (2022)  (Thèse CIFRE, EDF, co-supervised with X. Warin): Machine learning for stochastic control and PDEs in high dimension

Quantitative researcher at Morgan Stanley  (Paris)

• William LEFEBVRE (2022)  (Thèse CIFRE, BNP-PAR, co-supervised with G. Loeper): Stochastic control methods applied to portfolio construction, control with delay and PDE

Quantitative researcher at Morgan Stanley  (Paris)

Current PhD students

• Xuanye SONG (co-supervised with N. Frikha)

• Nathan de Carvalho (Thèse CIFRE, ENGIE, co-supervised with E. Abi Jaber and L. Tur)

• Mohamed Hamdouche (Thèse CIFRE, Natixis, co-supervised with P. Henry-Labordère)

• Anna de Crescenzo