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, Aarhus 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, MAnaging Director BlackRock
Benjamin BRUDER (2008) (Thèse CIFRE, SGAM) : Stochastic control and applications to option hedging under illiquidity : theoretical and numerical aspects
Currently, Senior OCIO Advisor Amundi
Jean-François CHASSAGNEUX (2008) (co-supervised with B. BOUCHARD): Processus réfléchis en finance et probabilités numériques
Currently, Professor, ENSAE
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, Head of Power Markets Forecast, TotalEnergies
Paul GASSIAT (2011): Modélisation du risque de liquidité et méthodes de quantification appliqués au contrôle stochastique séquentiel
Currently, Professor at Gustave Eiffel
Fabien GUILBAUD (2013): Optimal control in limit order books
Currently CEO at Core Trading Technology Advisors
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, Senior 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, QIS Structurer at NATIXIS.
Xiaoli WEI (2018): Control of McKean-Vlasov systems and applications
Associate Professor, Institute for Advanced Study in Mathematics (IASM) of Harbin Institute of Technology.
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. 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
Research 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
Currently 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
Currently Quantitative researcher at Tower Research (Paris)
Xuanye SONG (2024) (co-supervised with N. FRIKHA): Mean-field reinforcement mearning in continuous time: theoretical and numerical aspects, and applications.
Currently PostDoctoral Fellow, Nanyang Technological University
Nathan DE CARVALHO (2025) (Thèse CIFRE, ENGIE, co-supervised with E. ABI JABER and L. TUR): Lifting energy markets: from volatility modeling to optimal trading
Currently CTO Summer intern at Bloomberg, New York.
Mohamed HAMDOUCHE (2025) (Thèse CIFRE, Natixis/Qube RT, co-supervised with P. HENRY-LABORDERE): Machine learning and generative modeling for stochastic control ptroblems
Currently Quantitative researcher at Qube RT, Paris
Current PhD students
Anna DE CRESCENZO, since oct. 2022, Heterogeneous mean-field systems
Alexandre ALOUADI (Thèse CIFRE, BNPP, co-supervised with S. COSTE), since nov. 2024: Generative modeling for financial time series
Yun-Ithry GAMRANI (Biggie Group, co-supervised with R. AID), since nov. 2024: Stochastic modeling of mix and programmatic marketing
Maxime LATYPOV (co-supervised with G. GUO), since oct. 2024: Mean-field game with minimal time and applications
Samy MEKKAOUI (co-supervised with I. KHARROUBI), since dec. 2024: Modeling and control of complex systems with heterogeneous interactions
Davide ZANNI (co-supervised with S. De MARCO), since oct. 2024: Generative modeling for jump-diffusion processes