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 visit the webpage of the book (exercises with solutions, Python demos, extra links...).
    You can
    • order the book 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