Stochastic analysis and mathematical finance, with focus on
Numerical approximations of McKean Anticipative Backward Stochastic Differential Equations arising in Initial Margin requirements
With A. Agarwal, E. Gobet, J. López-Salas, F. Noubiagain, A. Zhou.
Preprint Hal, 2017.
Rare event simulation related to financial risks: efficient estimation and sensitivity analysis. With A. Agarwal, E. Gobet, G. Liu.
Preprint Hal, 2015.
Study of new rare event simulation schemes and their application to extreme scenario generation. With A. Agarwal, E. Gobet, G. Liu.
Mathematics and Computer in Simulations, 143, pp. 89-98, January 2018. Hal.
Local volatility from American options. With P. Henry-Labordère.
Risk Magazine, November 2017. Preprint ssrn.
Varadhan's estimates, projected diffusions, and local volatilities. With P. Friz.
Forthcoming in SIAM J. Financ. Math. arXiv.
Moment generating functions and Normalized implied volatilities: unification and extension via Fukasawa's pricing formula. With C. Martini
Quantitative Finance, pp. 1-14, 2017. Journal eprint link (expires after 50 downloads), arXiv.
Shapes of implied volatility with positive mass at zero. With C. Hillairet and A. Jacquier.
SIAM J. Financ. Math. 8(1), pp. 709-737, 2017. arXiv.
Two examples of non strictly convex large deviations. With A. Jacquier and P. Roome.
Electronic Communications in Probability, 21(1), p. 1-12, 2016. arXiv.
Linking Vanillas and VIX options: A constrained martingale optimal transport problem. With P. Henry-Labordère.
SIAM J. Financ. Math 6(1), pp. 1171–1194, 2015. journal, local pdf.
On small–noise equations with degenerate limiting system arising from volatility models. With G. Conforti and J-D. Deuschel.
Large Deviations and Asymptotic Methods in Finance, Springer Proceedings in Mathematics and Statistics, Vol. 110, 2015. arXiv.
Rational Shapes of the local volatility surface. With P. Friz and S. Gerhold.
Risk magazine, February 2013, p. 82-87. Available here.
The Term Structure of Implied Volatility in Symmetric Models, with applications to Heston. With C. Martini.
The International Journal of Theoretical and Applied Finance,15(4): 1250026 [27 pages], 2012. journal, ssrn.
Some estimates in extended Stochastic Volatility models of Heston type. With V. Bally.
Risk and Decision Analysis, 2(4): 195-206, 2011. journal, hal.
Smoothness and Asymptotic Estimates of densities for SDEs with locally smooth coefficients and applications to square-root diffusions.
Annals of Applied Probability, 21(4): 1282-1321, 2011. journal, arXiv.
Quasi-Explicit calibration of Gatheral's SVI model. 2009.
Zeliade Systems White Paper #5, available here. With C. Martini.
J'ai organisé jusqu'en juin 2017 le GT modèles stochastiques et finance du CMAP, en collaboration avec ENSTA et ENSAE. Mes collègues Julien Claisse et Thibaut Mastrolia ont pris le relai en 2017-18.Until 2015 I was co-organizer of the Parisian Model Validation Seminar, a quarterly seminar bringing together academics and practitioners involved in the field of model risk / model validation in finance.