Affiliations
- Full Professor, Ecole Polytechnique, Centre de Mathématiques Appliquées (CMAP)
- Adjunct Professor- ENSAE
Professional experience
2024: Full Professor at Ecole Polytechnique (on secondment from University Paris Cité)
2024: Vice-President of the Bachelier Finance Society
2016: Professor classe exceptionnelle CE2
2010-2016: Professor classe exceptionnelle CE1 (Distinguished Professor)
2010-2020: Chair of Applied Mathematics, JVN HCM, Vietnam
2006-2011: Member (junior) of the Institut Universitaire de France
2005-2010: Professor 1ère classe (Full Professor)
1999-2024: Professor of Mathematics at University Paris 7.
1995-1999: Assistant Professor of Mathematics at University of Marne-la-Vallée
1992-1995: Teaching Assistant at University Paris Dauphine
1988-1992: Student at the Ecole Normale Supérieure de Lyon
Awards and Distinctions
- Louis Bachelier prize (2007) of the Natixis foundation and SMAI awarded by the french Academy of Sciences
Selected presentations
Nelder Fellow Lectures, Imperial College London, may 2025
Oxford-Berlin summer school in Mathematics of random systems, september 2024
Van Eenam lectures, University of Michigan, april 2022
Vienna Congress on Mathematical Finance, september 2019
9th World congress of the Bachelier Finance Society, July 2016
Editorial boards
Editor in Chief
Applied Mathematics and Optimization (2016-2023): Editor in Chief (with I. Lasiecka)
Associate Editor
SIAM Journal on Control and Optimization (2021-2023)
Mathematical Finance (2020-)
Risks (2020-)
Acta Mathematica Vietnamica (2011-)
Finance and Stochastics (2010-2024)
Stochastics (2010-2020)
International Journal of Stochastic Analysis (2010-2018)
Asia-Pacific Financial Markets (2006-)
SMAI, Mathématiques et Applications (2001-2007)
Academic degrees
1990: Magistère Mathématiques et Applications, ENS Lyon.
1991: DEA Analyse Numérique, Universite Claude Bernard, Lyon I.
1991: Agrégation de Mathématiques.
1992: DEA Mathématiques Appliquées aux Sciences Economiques, Université Paris Dauphine-ENSAE.
1995: Doctorat de Mathematiques Appliquées à l'Université Paris IX Dauphine, mention très honorable avec les félicitations du jury,
soutenu le 23 janvier 1995, sur le thème :
Applications des méthodes probabilistes et de contrôle stochastique aux mathématiques financières.
1999: Habilitation à diriger des recherches, Université de Marne-la-Vallee, dossier présenté le 29 janvier 1999, sur le thème :
Contributions à la finance mathématique et aux grandes déviations en statistique des processus.