Research interests: Mathematical Finance, Stochastic Control, P(I)DEs in the viscosity sense, Mean Field Games.
Awards: Rising star in quantitative finance -- Risk Awards 2024
Referee for: Finance and Stochastics, Quantitative Finance, SIAM Journal on Financial Mathematics, SIAM Journal on Control and Optimization, International Journal of Theoretical and Applied Finance, Mathematical Finance, Digital Finance, Mathematics of Operations Research, Annals of Operations Research.
Research group:
Wenbin Yan (PhD student, Université Paris Dauphine-PSL, co-supervised with Pierre Cardaliaguet, 2025- )
Sébastien Bieber (PhD student, Université Paris Dauphine-PSL, co-supervised with Bruno Bouchard, 2024- )
Articles and preprints:
[26] Aïd, R., Bergault, P., & Rosenbaum, M. (2025). Competition and Incentives in a Shared Order Book. Submitted.
[25] Bergault, P., Bieber, S., & Sánchez-Betancourt, L. (2025). Optimal Exit Time for Liquidity Providers in Automated Market Makers. Submitted.
[24] Barzykin, A., Bergault, P., & Guéant, O. (2025). Optimal Quoting under Adverse Selection and Price Reading. Submitted.
[23] Campbell, S., Bergault, P., Millionis, J., & Nutz, M. (2025). Optimal Fees for Liquidity Provision in Automated Market Makers. Submitted.
[22] Bergault, P., Bieber, S., Guéant, O., & Zhang, W. (2025). Cryptocurrencies and Interest Rates: Inferring Yield Curves in a Bondless Market. Submitted.
[21] Bergault, P., Cardaliaguet, P., & Yan, W. (2025). Optimal hedging of an informed broker facing many traders. Submitted.
[20] Aqsha, A., Bergault, P., & Sánchez-Betancourt, L. (2025). Equilibrium Reward for Liquidity Providers in Automated Market Makers. Submitted.
[19] Bergault, P., Bodor, H., & Guéant, O. (2025). To Hedge or Not to Hedge: Optimal Strategies for Stochastic Trade Flow Management. Submitted.
[18] Bergault, P., Bertucci, L., Bouba., D., Guéant, O., & Guilbert, J. (2025). Automated Market Making: the case of Pegged Assets. Submitted.
[17] Bergault, P., & Cognéville, E. (2025). Simulating and analyzing a sparse order book: an application to intraday electricity markets. Quantitative Finance.
[16] Baldacci, B., Bergault, P., & Guéant, O. (2024). Dispensing with optimal control: a new approach for the pricing and management of share buyback contracts. Risk.
[15] Barzykin, A., Bergault, P., & Guéant, O. (2024). Algorithmic Market Making in Spot Precious Metals. Risk.
[14] Bergault, P., & Sánchez-Betancourt, L. (2024). A mean field game between informed traders and a broker. SIAM Journal on Financial Mathematics.
[13] Bergault, P., & Guéant, O. (2023). Modeling liquidity in corporate bond markets: applications to price adjustment. Submitted.
[12] Bergault, P., Cardaliaguet, P., & Rainer, C. (2023). Mean Field Games in a Stackelberg problem with an informed major player. SIAM Journal on Control and Optimization.
[11] Bergault, P., Bertucci, L., Bouba., D., & Guéant, O. (2022). Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions. Digital Finance.
[10] Barzykin, A., Bergault, P., & Guéant, O. (2022). Dealing with multi-currency inventory risk in FX cash markets. Risk.
[9] Baldacci, B., Bergault, P., & Possamai, D. (2022). A mean field game of market making against strategic traders. SIAM Journal on Financial Mathematics.
[8] Baldacci, B., & Bergault, P. (2021). Optimal incentives in a limit order book: a SPDE control approach. Market Microstructure and Liquidity.
[7] Bergault, P., Drissi, F., & Guéant, O. (2021). Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics. SIAM Journal on Financial Mathematics.
[6] Barzykin, A., Bergault, P., & Guéant, O. (2021). Market making by a forex dealer. Risk.
[5] Barzykin, A., Bergault, P., & Guéant, O. (2021). Algorithmic market making in FX cash markets with hedging and market impact. Mathematical Finance.
[4] Bergault, P., Evangelista, D., Guéant, O., & Vieira, D. (2021). Closed-form approximations in multi-asset market making. Applied Mathematical Finance.
[3] Baldacci, B., Bergault, P., Derchu, J., & Rosenbaum, M. (2020). On bid and ask side-specific tick sizes. SIAM Journal on Financial Mathematics.
[2] Baldacci, B., Bergault, P., & Guéant, O. (2019). Algorithmic market making for options. Quantitative Finance.
[1] Bergault, P., & Guéant, O. (2019). Size matters for OTC market makers: general results and dimensionality reduction techniques. Mathematical Finance.