Short bio

I have been a lecturer and research fellow in Mathematics at CYU Cergy Paris University since September 2003. I hold a Habilitation à Diriger des Recherches (HDR) in Mathematics, and earned my Ph.D. from the University of Paris-Dauphine, France. I work on stochastic processes, and I am particularly interested in questions shaped by thresholds, boundaries and path geometry. My recent research focuses on first-passage and exit phenomena, the structure of random times, excursion theory, and topological features of Brownian motion, while my earlier work developed exact and semi-analytic methods for boundary-crossing models and other path-dependent problems, most of them in a financial setting. Across these topics, the common thread is the search for mathematically tractable descriptions of complex pathwise behavior.

My doctoral research focused on computational challenges arising from path dependency and high dimensionality in option pricing. Prior to my Ph.D., I completed a Master’s degree in Applied Mathematics at Oxford University (UK), a Master’s in Financial Economics at the University of Panthéon-Sorbonne (France), and a Master’s in Political Science at the Institut d'Études Politiques de Paris.

Between 1994 and 1998, I acquired professional experience in the corporate sector as a young graduate: first as a consultant at a risk management firm in San Francisco (USA), then on the trading floor at CIC Bank in Paris, and subsequently as a product developer at Indocam Asset Management, managing a portfolio of institutional clients. During my doctoral studies (2000–2003), I also worked as an assistant lecturer.

In addition to my academic career, I am also the author—under a pen name—of novels, poetry collections, short stories, plays, and essays, in both French and English. It is my other profession and passion.