Alexandre Pannier
"La logique mène à tout, à condition d'en sortir." Alphonse Allais
Email: pannier[at]lpsm.paris
Office: Bâtiment Sophie Germain, bureau 5041
Hello, I am a researcher and teacher in mathematics in the field of probability. Since September 2022, I am maître de conférences (Assistant Professor) at Université Paris Cité in the Laboratoire de Probabilités Statistique et Modélisation (LPSM) and part of the team Mathématiques financières et actuarielles, probabilités numériques.
Formerly, I was a Research Associate (postdoc) in Mathematics at Imperial College London, where I completed my PhD in 2021 under the supervision of Antoine Jacquier. The Department of Mathematics awarded me the Yael Dowker Prize for the best Maths PhD Thesis of the year.
NEWS
18/04 - Talk: TU Berlin, Stochastische Analysis und Stochastik der Finanzmärkte
18/03 - Preprint: A path-dependent PDE solver based on signature kernels (with C. Salvi), available on [arXiv]
Research. My research interests lie at the intersection of stochastic analysis and mathematical finance, with a particular emphasis on Volterra processes, rough volatility models and their applications to option pricing. Recently, I have been particularly interested in path-dependent PDEs related to fractional processes and more generally in "lifting" stochastic Volterra processes to infinite-dimensional spaces in order to retrieve the Markov property. The common thread of my PhD thesis is the use of agnostic tools, primarly asymptotic methods, which remain efficient in the absence of Markovianity. The list of my publications and preprints is below.
Please refer to the Overview for a short presentation of my research field or to my thesis' main introduction for a friendly and more comprehensive one. You can also check out this page for a list of past and upcoming talks.
Preprints
A path-dependent PDE solver based on signature kernels (with C. Salvi), available on [arXiv], 2024.
Path-dependent PDEs for volatility derivatives, available on [arXiv], 2023
Rough volatility, path-dependent PDEs and weak rates of convergence (with O. Bonesini and A. Jacquier), available on [arXiv], 2023.
On the large-time behaviour of affine Volterra processes (with A. Jacquier and K. Spiliopoulos), available on [arXiv], 2022.
Rough multifactor volatility for SPX and VIX options (with A. Jacquier and A. Muguruza), available on [arXiv], 2021.
Publications
Pathwise large deviations for white noise chaos expansions. Bernoulli 28(3): 1961-1985 (August 2022). Also available on [arXiv].
Large and moderate deviations for stochastic Volterra systems (with A. Jacquier), Stochastic Processes and their Applications 149:142-187 (July 2022). Also available on [arXiv].
Analytical approximation to the multidimensional Fokker-Planck equation with steady-state solution (with R. J. Martin, R. V. Craster and M. J. Kearney), J. Phys. A, 52(8), 2019.
PhD thesis
Limit theorems for non-Markovian and fractional processes. Department of Mathematics, Imperial College London, 2021. Defended on Guy Fawkes day.
A few slides
[PDF] Large and moderative deviations for stochastic Volterra systems
[PDF] Pathwise large deviations for white noise chaos expansions
[PDF] Multifactor rough volatility for SPX and VIX options
[PDF] On the large-time behaviour of affine Volterra processes
[PDF] Rough volatility, path-dependent PDEs and weak rates of convergence
List of past, present and future co-authors