E. Gobet is graduated from Ecole Polytechnique, Paris and got a PhD degree in probability at University Paris Diderot. He took different positions at University Pierre et Marie Curie, Grenoble Institute of Technology and he is currently Professor in applied mathematics at Ecole Polytechnique. His main topics of research are related to financial mathematics, stochastic modelling, Monte Carlo methods, machine learning. He has written about 80 papers in international journals, 3 books, supervised 15 PhD thesis, he is used to collaborate with banks and financial institutions. He is the head of the Master « Probabilités & Finance » at Ecole Polytechnique.
Professor of Mathematics at Sorbonne-Université (campus Pierre et Marie Curie)
Head of Master 2 “Probabilités & Finance” (El Karoui) at Sorbonne-Université
Former head of the “Laboratoire Probability Theory and Random models” (LPSM, ex-LPMA)
Former head of Schol of Doctoral studies for Mathematical Sciences in Paris
Main topic of research : Numerical Probability, Financial Mathhematics, Stochastic optimization and learning
Mathieu Rosenbaum obtained his thesis at the University Paris-Is in 2007. After having been Professor part-time lecturer at the Polytechnic school, he became Professor at the University Pierre and Marie Curie (Paris 6) in 2011 before returning in 2016 with X as a Professor, in charge of the pulpit “Analytics and Models for Regulation”. At the Polytechnic school, Mathieu Rosenbaum is in particular one of the persons in charge of the Master degree 2 “Probabilities and finances”common with the University Paris 6. Its researchrelates mainly to problems of statistical finance such as the study of the microstructure of themarkets, the construction of statistical procedures for the data high frequency or modeling of volatility. He collaborates in addition with several financial institutions and is one of the organizers of theconference “Market Microstructure Confronting Many Viewpoints” being held every two years in Paris. He makes more over part of the leading committee of about ten international science magazines. In 2014 it obtained the Europlace price of better enquiring young person in finance and in 2015 a financing ERC in mathematics.
Nizar Touzi is Professor of Applied Mathematics at Ecole Polytechnique since 2006. He was previously Chair Professor at Imperial College London. He was an invited session speaker at the International Congress of Mathematicians (Hyderabad 2010). He received the Louis Bachelier prize of the French Academy of Sciences in 2012, and the Paris Europlace prize of Best Young Researcher in Finance in 2007. In 2010, he held the University of Toronto Dean’s Distinguished Chair position. He is Co-editor and Associate Editor in various international journals in the fields of financial mathematics, applied probability, and control theory.
Ecole Polytechnique & Société Générale
Pierre Henry-Labordère works in the Global Markets Quantitative Research team at Société Générale. After receiving his Ph.D. at Ecole Normale Supèrieure (Paris) in the theory of superstrings, he joined the Theoretical Physics department at Imperial College (London) before moving to finance in 2004. Since 2011, Pierre has also been an associate researcher at Centre de Mathématiques Appliquées, Ecole Polytechnique. He was the recipient of the 2013 Quant of the Year award from Risk Magazine.
Capital Fund Management
Currently Senior Research Manager at Capital Fund Management (CFM), Charles-Albert Lehalle is a leading expert in market microstructure and optimal trading. Formerly Global Head of Quantitative Research at Crédit Agricole Cheuvreux, and Head of Quantitative Research on Market Microstructure in the Equity Brokerage and Derivative Department of Crédit Agricole Corporate Investment Bank, he studied intensively the market microstructure evolution since the financial crisis and regulatory changes in Europe and in the US. He provided research and expertise on this topic to investors and intermediaries, and is often heard by regulators and policy-makers like the European Commission, the French Senate, the UK Foresight Committee, etc. He belongs to the Consultative Workgroup on Financial Innovation of the ESMA and to the Scientific Committee of the French regulator (AMF).One of Charles-Albert Lehalle’s important research topics is optimal trading. He published papers in academic journals about the use of stochastic control and stochastic algorithms to optimize a trading flow with respect to flexible constraints. He also authored papers on post trade analysis, market impact estimates and modelling the dynamics of limit order books, he co-edited the book “Market microstructure: confronting many viewpoints” (Wiley, 2012) following an eponymous serie of interdisciplinary international conferences he co-organizes. He authored the book “Market Microstructure in Practice” (World Scientific Publisher, 2013), explaining the main features of the modern market microstructure. Up to 2005,Charles-Albert headed research and development teams in the aerospace, defense and automotive industries, building innovating products in the fields of monitoring and unmanned control. He co-authored patents in these areas. With a Ph.D. in applied mathematics on stochastic processes, information theory and nonlinear control, Charles- Lehalle lectures at “Paris 6 (El Karoui) Master of Finance” (Ecole Polytechnique, ESSEC, Ecole Normale Supérieure) and MASEF/ENSAE one and gives occasional seminars at numerous universities worldwide.
Université Paris-Dauphine & Ecole Polytechnique
Resume Professor of economics at Paris-Dauphine University since 2016 and lecturer at the Ecole Polytechnique since 2015. EDF R&D research-engineer in financial economics of energy markets (1998-2003) and manager (2003-2006). Co-founder in 2006 of the Finance for Energy Markets Research Initiative, which received the AEF 2014 award of the best enterprise – university research initiative. Deputy-Director of EDF R&D Research department on generation and financial risk management (2014-2016). Member of the Scientific Office of the Institut Louis Bachelier. Author of the monography Electricity Derivatives, Springer, 2015. Co-editor of the book Commodities, Energy and Environmental Finance, Fields Institute Communications, Springer, 2015.
Sorbonne Université & ENGIE
Senior Economist in Energy Markets at ENGIE. Business Analyst and Project Manager, Ph.D and Financial Mathematics Engineer, specializing in the energy sector on European and international markets, with strong expertise on energy technologies and legislation. Formerly, Research Engineer and Competitive Intelligence Project Leader at Gaz de France and then GDF SUEZ.
Manager du Blockchain Lab de PwC France – PwC France
Identification de cas d’usage et stratégie opérationnelle
Réalisation de smart contracts en assurance, énergie et traçabilité
Accompagnement d’Initial Coin Offerings (ICO)
Gouvernance de blockchains de consortium
Sorbonne Université : Animation du cours Blockchain/Fintech du Master de Paris 6 dit Master El Karoui
Publications : Backward SDE Representation for Stochastic Control Problems with Non Dominated Controlled Intensity Reflected BSDEs with nonpositive jumps, and controller-and-stopper games Mean variance hedging under defaults risk
Sorbonne Université I – Laboratoire de Probabilités et Modèles Aléatoires
Équipe «Probabilités Numériques et Mathématiques Financières»
Stefano De Marco
Assistant Professor in Applied Mathematics at CMAP, Ecole Polytechnique. Member of the research team in Financial Mathematics and the research team in numerical probability at Ecole Polytechnique. Research Interests : Stochastic analysis and mathematical finance, with focus on :
- Asymptotics for diffusion processes, large deviations
- Regularity of densities and tail estimates via Malliavin calculus
- Volatility modeling in finance, volatility derivatives
- Robust hedging and martingale optimal transport
Teaching : Stochastic Simulation and Monte-Carlo methods MAP564, Ecole Polytechnique – Local and stochastic volatility, model calibration.
Master Probabilités et Finance Sorbonne Université – Ecole Polytechnique – Local and stochastic volatility model calibration.
Master MMMEF Université Paris 1 – Ensta – Ensae – Modal MAP474 SNA, Ecole Polytechnique.
Université Paris 13
Associate Professor in Applied Mathematics at University Paris 13. Ahmed Kebaier is member of the laboratory LAGA at UP13 and of the CERMICS research team in Ecole des ponts Paris Tech.
At the engeniering school Sup-Galilée (MACS), Ahmed Kebaieris in charge of the finance track. His main research interests are related to numerical probability ans statistics with applications to financial mathematics.
He is the instructor of : Monte Carlo methods MAE51 at ENSTEA Paris Tech and Numerical Analysis in the Master Msc international Finance at HEC, Paris.