Alexandre Pannier

Hi! 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 member of the Financial and Actuarial Mathematics, Numerical Probability team.

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

31/03 - A BDG inequality for stochastic Volterra integrals, availbale on [arXiv] .

07/01 - New version (with improved results) of Rough volatility, path-dependent PDEs and weak rates of convergence (with O. Bonesini and A. Jacquier), 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.