Market microstructure and high frequency trading
Algorithmic trading in a microstructural limit order book model (with F. Abergel, C. Huré)
Quantitative Finance, 2020, vol 20(8), 1263-1283
Optimal investment and risk management (liquidity, credit and default risk, model uncertainty)
Optimal Consumption with Reference to Past Spending Maximum (with S. Deng, X. Li, X. Yu)
Finance and Stochastics, 2022, Vol 26, pp 217-266
Markowitz portfolio selection for multivariate affine and quadratic Volterra models (with E. Abi Jaber, E. Miller)
SIAM Journal of Financial Mathematics, 2021, Vol. 12, No. 1, pp. 369-409
Mean-variance portfolio selection with tracking error penalization (with W. Lefebvre, G. Loeper)
Mathematics, 2020, vol 8(11), Special Issue Stochastic Optimization Methods in Economics, Finance and Insurance, https://doi.org/10.3390/math8111915
Real options and energy markets
A McKean-Vlasov approach to distributed electricity generation development (with R. Aid, M. Basei)
Mathematical Methods of Operations Research, 2020, vol 91, pp. 269–310,
Equilibrium price in intraday electricity markets (with R. Aid, A. Cosso)
Mathematical Finance, 2022, Vol 32(2), pp 517-554
Targeted advertising, opinion formation
Optima bidding strategies for digital advertising (with M. Motte)
[Researchgate], [arXiv:2111.08311]
Opinion dynamics in communities with major influencers and implicit social influence via mean-field approximation (with D. Coculescu and M. Motte)
Submitted, [arXiv:2306.16553]
Hedging and pricing
No arbitrage and Equilibrium in financial markets