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Welcome to this site where I present an overview of my work as a lecturer at the University of Cergy-Pontoise, France, and research fellow at THEMA Research Center.
My main area of specialization is in the mathematical and numerical methods applied to the valuation and the hedging of contingent claims. I am particularly interested in boundary crossing problems and computational issues in high dimension. 
Several of my published articles and working papers can be downloaded in PDF format in the Research page which, hopefully, will be regularly updated by new results.
Teaching material can be downloaded in PDF format in the Teaching page.
 
 
 
 
 
   

"O austere mathematics! I have not forgotten you since your learned teachings, sweeter than honey, distilled themselves through my heart like refreshing waves, instinctively, since the day of my birth, I have aspired to drink from your spring more ancient than the sun and I still continue to frequent the courtyard of your solemn temple: I, the most faithful of your initiates.

"There used to be a vacuum in my soul, a some-thing, I know not what, dense as smoke; but wisely and religiously I mounted the steps that lead to your altar, and you dispelled that gloomy shroud as the wind blows a butterfly. In its place you set an extreme coldness, a consummate prudence and an implacable logic. With the aid of your invigorating milk my intelligence developed rapidly and assumed immense proportions in the midst of the ravishing illumination that you bestow prodigally upon those who love you with a sincere love.

"Arithmetic! Algebra! Geometry! Imposing trinity! Luminous triangle! He who has never known you is without sense! He merits the ordeal of the most cruel tortures for in his ignorant carelessness there is a blind contempt. But he who knows you and appreciates you desires nothing more of this world’s goods, is content with your magical joys and, borne upon your somber wings, desires nothing better than to ascend, lightly flying and describing an ascendant spiral, towards the curved vault of the heavens. Earth offers him nothing but illusion and moral phantasmagoria.

"But you, 0 concise mathematics, by the rigorous fetters of your tenacious propositions and the constancy of your iron-bound laws you dazzle the eyes with a powerful reflection of that supreme truth whose imprint is manifest in the order of the universe. But the order surrounding you, represented chiefly by the perfect regularity of a square, Pythagoras’ friend, is even greater; for the Omnipotent revealed himself and his attributes completely in that memorable effort that consisted in extracting from the entrails of chaos your treasures of theorems and your magnificent splendors. In ancient and in modern times more than one great human imagination saw his genius appalled by the contemplation of your symbolic figures traced upon burning paper like so many mysterious signs living with a latent breath, incomprehensible to the vulgar and profane, which were merely the radiant revelation of eternal axioms and hieroglyphics that existed before the universe and will continue to exist beyond it"

 

(excerpt from Maldoror, by Comte de Lautreamont)