CMAP
Emmanuel GOBET - Personal Web Page
I am a Professor of Applied Mathematics at Ecole Polytechnique
- Research team: SIMPAS and Financial Mathematics
- Scientific leader of the chaire Stress Test: RISK Management and Financial Steering (2018- )
- Principal Investigator of the ANR project BLOCKFI (Blockchain et Finance Décentralisée) (2024-2029)
- Head of the Applied Mathematics departement (2020-2023)
- Co-Director of the Master Probability and Finance (2010-2024)
- IP Paris Pedagogy Coordination Director at Hi! PARIS (2021-2024)
- Pedagogic team of Executive Master of Ecole polytechnique (2022-)
- Associate Editor for Annals of Applied Probability (2019-2023), Bernoulli (2019-2023), ESAIM Proc and Surveys (2013- ), SIAM Journal on Financial Mathematics (2015-2023)
Main research topics:
- Machine learning, data science, extremes
- Monte Carlo simulations, stochastic approximations
- Risk modeling, risk management
- Stochastic control, stochastic modelling
- Applications: Climate change, Energy, Finance, Insurance, Blockchain
News:
- Our lab regularly opens
PostDoc positions with research topics as above. Do not
hesitate to contact me with your CV details
- Climate finance, risk and
uncertainty modelling (CLIFIRIUM2025), Paris, 7-9 April 2025, website
- Cyber-risk and cyber-resilience in finance and insurance (cyr2Fi), Paris, 6 June 2024,
website
- Data Challenge on
Generative modelling of the evolution of maize yield (GenHack2023), Dec. 2023-Jan. 2024,
website
- Climate finance, risk and
uncertainty modelling (CLIFIRIUM2023), Paris, 9-11 October 2023,
website
- 14th Monte Carlo Methods
Conference (MCM2023), Paris, 26-30 June 2023,
website
- Data Challenge on
Generative modelling of the evolution of ocean temperature (GenHack2022), Oct.-Nov. 2022,
website
- Climate finance, risk and
uncertainty modelling (CLIFIRIUM2022), Paris, 31 May-2
June 2022, website
- Data Challenge on
Generative modelling of Financial Losses (GenHack2021),
Oct.-Nov. 2021, website
- International Conference on
Rare Event Simulation (RESIM 2021), Paris, May 18-21,
2021, website
- Data Science Summer School
(DS3), Paris, Jan. 6-7-8th, 2021, website
- Chaire Stress Test Workshop,
Paris, Nov. 30th-Dec. 1st, 2020, website
- International Workshop
on Stress Test and Risk Management, Paris, May 28-29
2019, website
- Chaire Stress
Test, RISK Management and Financial Steering,
research program between BNP Paribas and Ecole Polytechnique, hosted
by Fondation de l'X, 2018 - 2023.
- International Conferenece
CAESARS018 : Advances in Modelling and Control for Power Systems
of the Future, Sept. 5-7th 2018, website
- International
Conference on Monte Carlo techniques, Paris, July 5-8th
2016, website
- SIEBEL grant 2016 (Data
Analytics and Stochastic Control for Optimal Management of Microgrid
Generation and Storage Resources), website
- CEMRACS 2017: Numerical
methods for stochastic models: control, uncertainty
quantification, mean-field, July 17 - August 25, CIRM,
Marseille, website
- ANR CAESARS 2016-2019
(Control and simulAtion of Electrical Systems, interAction and
RobustnesS), website
- Special Thematic Semester on Monte-Carlo methods, website, organized with B. Bouchard and B. Jourdain (Oct. 2015-June 2016)
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"Monte Carlo methods and stochastic processes: from linear
to non-linear". (Academic HEP). 2021. This book is the Chinese translation (thanks to Mingyu Xu) of the English version published by CRC Press. |
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"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). You can also visit the webpage of the book (exercises with solutions, Python demos, extra links...). You can |
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"Méthodes de Monte-Carlo et processus stochastiques: du
linéaire au non-linéaire". Sept. 2013. You can |
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"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: |