Adrien Nguyen-Huu's website

You can contact me at

A. Nguyen-Huu, Office 529, Economics Faculty, University of Montpellier, Site Richter, Av. Raymond DugrandCS 79606 34960 Montpellier Cedex 2, FRANCETel: +33 (0)4 34 43 25 07@: adrien 'dot' nguyen-huu 'at' umontpellier 'dot' fr

You can find me also on LinkedIn, ResearchGate, Academia, Orcid, Scholar citation, Mathematical Genealogy Project, RePEc, FiME, CREST, Energy & Prosperity Chair and CEE-M.

Status

  • Assistant Professor at the Economics Faculty of University of Montpellier
  • Researcher at the CEE-M (CNRS FRE2010) laboratory
  • Manager of the "Environmental Risk Management" Team at CEE-M
  • Associate Researcher in the Chair Energy and Prosperity (ENS Ulm-X-ENSAE)
  • Responsible of the Chair Energy and Prosperity monthly seminar

Working papers and pre-publications

  1. Optimal Sharing Rule for a Household with a Portfolio Management Problem (2018), with O. Mbodji and T. Pirvu. [HAL]
  2. Stopping Behaviors of Naive and Non-Committed Sophisticated Agents When They Distort Probability (2017), with Yu-Jui huang and Xun Yu Zhou. [arXiv]
  3. Hicksian Traverse Revisited: Conditions for the Energy Transition (2018) with A. Pottier. [HAL]

Publications (in chronological order)

  1. A structural risk-neutral model of electricity prices, with R. Aïd, L. Campi and N. Touzi. International Journal of Theoretical and Applied Finance (2009). [HAL]
  2. No marginal arbitrage of the second kind for high production regime in discrete time investment-production models with proportional transaction costs, with B. Bouchard. Mathematical Finance (2011). [HAL]
  3. A note on super hedging for investor-producers. Mathematics and Financial Economics (2012). [arXiv]
  4. Investment under uncertainty, competition and regulation. Journal of Dynamics and Games (2014). [arXiv]
  5. Orbits in a stochastic Goodwin-Lotka-Volterra model, with B. Costa-Lima. Journal of Mathematical Analysis and Applications (2014). [arXiv]
  6. Hedging expected loss on Derivatives in Electricity Futures Markets, with N. Oudjane. Commodity, Energy and Environmental Finance, Fields Inst. Commun.n°74, Springer (2015). [arXiv]
  7. Inflation and speculation in a dynamic macroeconomic model, with M.R. Grasselli. Journal of Risks and Financial Management, Selected Papers from the Fifth Int. Conf. on Math. in Fin. (MiF) 2014 (2015). [Mdpi]
  8. Debt and Investment in the Keen model: a reappraisal of Minsky, with A. Pottier. Review of Keynesian Economics (2017). [HAL]
  9. Time-consistent Stopping Under decreasing Impatience, with Yu-Jui Huang. Finance & Stochastics (2018). [arXiv]
  10. Inventory Growth Cycles with Debt-Financed Investment, with M.R. Grasselli. Structural Change and Economic Dynamics (2018)[arXiv].

Conferences, Seminars, Symposiums

        1. 1er journée de Printemps de la chaire Finance et Développement Durable, Paris, France, May 6, 2009.
        2. 6th World Congress of the Bachelier Finance Society, Toronto, Canada, 2010.
        3. Markets with frictions: transaction costs and liquidity risk, Paris Dauphine Workshop, 2010.
        4. FiME workshop, Paris, France, 2010.
        5. 4th European summerschool in Financial Mathematics, ETH Zurich, Switzerland, 2011.
        6. 3ème Journée des doctorants du groupe Bachelier, Paris, France, 2011.
        7. 3ème journée de la Chaire Finance et Développement Durable, Paris, Fance, 2011.
        8. Set optimization meets Finance Symposium, Lutherstadt Wittenberg, Germany, Aug 16-19, 2012.
        9. Journées MAS de la SMAI 2012, Clermont-Ferrand, Aug 29-Sep 3, 2012.
        10. CAIMS 2013, Annual Meeting of the Canadian Applied and Industrial Mathematics Society, Quebec city, Canada, June 16-20, 2013.
        11. Research in Options 2013, Buzios, Brazil, Nov 29-Dec 5, 2013.
        12. Séminaire MBFA, Maison des Sciences Economiques, Paris, France, Apr. 9, 2014. [Slides]
        13. Math Finance Seminar, Dublin City University, Dublin, Ireland, Nov. 5, 2014.
        14. Séminaire du CIRED, CIRED, Nogent-sur-Marne, France, Dec. 2, 2014.
        15. 9th Bachelier Colloquium, Métabief, France, Jan. 16, 2015. [Slides]
        16. LIED seminar,Paris, France, Jun. 2, 2015.
        17. PEPS-MoMIS Convergence International workshop, Paris, France, Oct. 13, 2015.
        18. Grenoble Post-Keynesian Conference 2015, Grenoble, France, Dec. 14, 2015.
        19. SIAM Financial Mathematics & Engineering 2016, Austin, USA, Nov. 18, 2016.
        20. VAME 2017 Workshop, Perpignan, France, May 4-5, 2017.
        21. Journées MAS de la SMAI 2018, Dijon, Aug-29-Sep 2, 2018.

Previous positions and grants

        1. Post-doctorate fellow @ CREST, École Polytechnique (supervision by Gaël Giraud), 2015-2016.
        2. Visiting Scholar @ Oxford Mathematical Institute, 2015.
        3. Post-doctorate fellow @ CERMICS, École des Ponts ParisTech (supervision by Michel De Lara), 2014-2015.
        4. Post-doctorate fellow @ LAMCA, IMPA (supervision by Jorge Zubelli), 2013-2014.
        5. Post-doctorate fellow @ McMaster University and Fields Institute (supervision by Matheus Grasselli), 2012-2013.
        6. Research fellow @ FiME laboratory, 2010-2012.
        7. Lecturer @ CEREMADE, Université Paris-Dauphine, 2012.
        8. Visiting Scholar @ University of British Columbia (Vancouver), 2010.
        9. PhD Student @ EDF R&D, OSIRIS, and CEREMADE (supervision by Bruno Bouchard and Nadia Oudjane), 2009-2012. Derivative Pricing in Electricity Markets (2012), PhD Thesis in Applied Mathematics @ University Paris-Dauphine under the supervision of B. Bouchard and N. Oudjane. CEREMADE and EDF R&D, OSIRIS [HAL or download a french summary).