Emmanuel GOBET - Personal Web Page


I am a Professor of Applied Mathematics at Ecole Polytechnique.
Research team: SIMPAS

Main research topics:

  • Algorithms of probabilistic type and stochastic approximations
  • Financial mathematics
  • Malliavin calculus and stochastic analysis
  • Monte Carlo simulations
  • Statistics for stochastic processes, statistical learning

NEWS:
  •  Monte-Carlo methods and stochastic processes: from linear to non-linear "Monte-Carlo methods and stochastic processes: from linear to non-linear" (CRC Press). August 2016.
    This book, published by CRC Press, is an extended version of the french version (see below), published by Editions de l'Ecole Polytechnique.
    You can
    • Order via Amazon here.
    • Order via CRC Press here.
  • International Conference on Monte Carlo techniques, Paris, July 5-8th 2016, see website

  • SIEBEL grant 2016 (Data Analytics and Stochastic Control for Optimal Management of Microgrid Generation and Storage Resources), see website

  • CEMRACS 2017: Numerical methods for stochastic models: control, uncertainty quantification, mean-field, July 17 - August 25, CIRM, Marseille, see website

  • ANR CAESARS 2016-2019 (Control and simulAtion of Electrical Systems, interAction and RobustnesS), see website

  • Special Thematic Semester on Monte-Carlo methods, see the website here, organized with B. Bouchard and B. Jourdain (october 2015-june 2016)

PostDoc Positions:
  • Our group regularly opens PostDoc positions with research topics on numerics for stochastic processes and probabilistic algorithms. If you are interested, contact me by email.
Méthodes de Monte-Carlo et processus stochastiques: du linéaire au non-linéaire "Méthodes de Monte-Carlo et processus stochastiques: du linéaire au non-linéaire". Sept. 2013.

You can
  • Order via Amazon here.
  • Order via Editions de l'Ecole Polytechnique here.
  • Order via Ellipses here.
Les outils stochastiques des marchés financiers "Les outils stochastiques des marchés financiers: une visite guidée de Einstein à Black-Scholes", with Nicole El Karoui. Feb. 2011.

You can download a simplified version without figures and exercises here. Or you can buy the full version:
  • Order via Amazon here.
  • Order via Editions de l'Ecole Polytechnique here.
  • Order via Ellipses here.
CMAP UMR 7641 École Polytechnique CNRS, Route de Saclay, 91128 Palaiseau Cedex France, Tél: +33 1 69 33 46 00 Fax: +33 1 69 33 46 46