Registered participants

Participants housed on the campus

Soufiane Aazizi (Cadi Ayyad University, Marrakech) [BSDEs, Malliavin calculus, Mathematical finance]
Aygul Abakirova (Moscow State University) [Stochastic analysis, SDEs and semimartingale theory]
Julio Daniel Backhof (Humboldt Universität zu Berlin) [Mathematical Finance, Stochastic Analysis.]
Tiziano De Angelis (University of Manchester) [Pricing American Bond options under HJM: an infinite dimensional variational inequality]
Imade Fakhouri (Cadi Ayyad University, Marrakesh) [BSDEs, Viscosity solutions, Optimal stochastic control]
Han Feng (University of Warwick) [Stochastic control, Optimal stopping, Skorokhod Embedding]
M'hamed Gaigi (ENIT Tunis) [Impulse control problem, Quantization methods, Viscosity Solutions]
Martin Herdegen (ETH Zürich) [Numéraire independent modelling, no-arbitrage, stochastic analysis]
Christoph Hoeggerl (Department of Mathematical Sciences, University of Bath) [Robust pricing, American Options, Skorokhod embedding]
Andry Krishenik (Cornell University) [Game theory, credit risk]
Pankaj Kumar (Perm State National Research University) [Optimal transport and robust pricing]
Daniel Lacker (Princeton University) [Optimal control, mean field games]
Emmanuel Leclercq (Swiss Finance Institute, EPFL) [Option prices, tangent Lévy models, arbitrage-free term structure dynamics]
Christoph Mainberger (Humboldt Universitaet zu Berlin, Department of Mathematics) [Equilibrium Theory, BSDEs, Superhedging]
Yaroslav Melnyk (Kaiserslautern University of Technology) [Vatiational inequalities, optimal stopping and impulse control, transaction costs]
Duy Nguyen (GeorgiaUniversity) [ Optimal investment]
Friedrich Penkner (University of Vienna, Faculty of Mathematics) [Robust asset-pricing, optimal transport]
Daniele Regoli (Dipartimento di Matematica, Università degli studi di Padova) [Statistical mechanics methods in economics and social sciences, growth optimal portfolio]
Matthias Riedel (Goethe-University, Frankfurt) [Market microstructure, filtering]
Wissal Sabbagh (ENIT Tunis and Université du Maine) [BSDEs, Monte Carlo methods, Stochastic control]
Peter Spoida (University of Oxford, Mathematical Institute) [Robust Pricing and Hedging, Skorokhod embedding]
Johannes Temme (Universität Wien) [Robust hedging and pricing, martingale inequalities]
Anton Tenyakov (University of Western Ontario) [Futures, filtering, estimation of hidden MC]
Klébert Kentia Tonleu (Humboldt Universität zu Berlin) [Hedging in incomplete markets under uncertainty]
Matija Vidmar (The University of Warwick, Department of Statistics.) [Levy processes, continuous time Markov chains, convergence rates, fluctuation theory]
Lauri Viitasaari (Aalto University School of Science and Technology) [Mathematical finance, Numerics in stochastics, Fractional Brownian motion Martingale theory]
Mirjana Vukelja (ETH Zürich) [Optimal control]
Han Wang (Imperial College) [Stability of Stochastic Filtering]
Jia Wei (London School of Economics) [Parisian option pricing]
Vytaute Zabarskaite (The University of Nottingham, UK) [Large Deviations, Markov Switching Processes]
Xiuneng Zhu (Princeton university) [Stochastic control, optimal liquidation]

Other junior participants

Lokmane Abbas-Turki (Université Paris-Est, Marne la Vallée) [Multidimensional nonlinear and linear inverse problems in financial mathematics]
Ania Aksamit (Université d'Evry) [Enlargement of filtrations in finance]
Tigran Atoyan (Oxford University) [Robust option pricing, pathwise stochastic calculus, re-calibration strategies, Skorokhod embedding]
Tarik Ben Zineb (Ecole Polytechnique) []
Romain Bompis (CMAP, Ecole Polytechnique) [Stochastic expansions and option pricing]
Nicolas Bonnotte (Université Paris-Sud and Scuola Normale Superiore di Pisa) [Optimal transport]
Aych Bouselmi (Université Paris-Est, Marne la Vallée) [Option US, frontière optimale]
Zhihao Cen (CMAP, Ecole Polytechnique) []
Sébastien Choukroun (Université Paris Diderot) [Mean variance hedging]
Roxana Dumitrescu (CEREMADE, Université Paris-Dauphine) [Stochastic tagets, incomplete markets]
Maxence Jeunesse (Ecole des Pontes et Chaussées) [American option pricing, regularity of variationnal pdes]
Nabil kazitani (CMAP, Ecole Polytechnique) []
Ismail Laachir (Université de Bretagne-Sud and ENSTA ParisTech) []
Nicolas Landon (Ecole Polytechnique) []
Nicolas Langrené (Université Paris Diderot) [Stochastic control, Electricty market]
Numa Lescot (Université Pierre et Marie Curie, INRIA) [Variance reduction, greeks estimates]
Libo Li () []
Xinpeng Li (Ecole Polytechnique) [Repeated games]
Chau Ngoc Huy (Université Paris Diderot) []
Hai Nam Nguyen (Université d'Evry) [Credit risk, interest rate models]
Levon Nurbekyan (CoLab program UT Austin-Portugal) [Optimal Transportation theory and Math. Finance]
Lambert Piozin (Université du Maine) []
Dylan Possamaï (Université Paris Dauphine) [2BSDE, quasi-sure analysis in finance]
Guillaume Royer (CMAP, Ecole Polytechnique) [Optimal management, partial replication, lookback options]
Roberto Velho (CoLab program UT Austin-Portugal) [Optimal Transportation theory and Math. Finance]
Tan Xiaolu (CMAP, Ecole Polytechnique) [Optimal transport, Numerical methods for non-linear PDEs]
Xi Yangyang () []
Jing Zhang (Université d'Evry) []
Chao Zhou (CMAP, Ecole Polytechnique) [Robust Utility Maximization and Associated Backward Stochastic Differential Equations]


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