I am a distinguished professor of mathematics at Université Paris Cité, Laboratoire de Probabilités, Statistique et Modélisation (LPSM), Team Mathematical Finance and Numerical Probability. 

My research interests are:

• counterparty credit risk and XVA analysis, central counterparties, quantitative reverse stress testing;

• machine learning in finance: supervised learning of prices /sensitivities/risk metric from simulated payoffs, model calibration by neural nets or Gaussian processes regression, anomaly detection;

• backward stochastic differential equations, random times modeling, enlargement of filtration;

• model risk and uncertainty quantification

I am the author of about 80 research papers published in journals including Annals of Probability, Annals of Applied Probability, Finance and Stochastics, Mathematical Finance, Stochastic Processes and their Applications, Electronic Journal Probability, SIAM Journal on Financial Mathematics, SIAM/ASA Journal on Uncertainty Quantification, SIAM Journal on Mathematical Analysis, Quantitative Finance, or Risk Magazine. I wrote two books: Financial Modeling: A Backward Stochastic Differential Equations Perspective (S. Crépey, Springer Finance Textbook Series, 2013) and Counterparty Risk and Funding, a Tale of Two Puzzles (S. Crépey, T. Bielecki and D. Brigo, Chapman & Hall/CRC Financial Mathematics Series, 2014).  I participated to the supervision of 14 PhD theses, plus 4 ongoing, and 4 postdocs,  plus 2 ongoing.

I graduated from ENSAE ParisTech and hold a PhD in differential games and mathematical finance from Ecole Polytechnique and INRIA Sophia Antipolis.