Emmanuel GOBET - Personal Web Page


I am a Professor of Applied Mathematics at Ecole Polytechnique.

Main research topics:

  • Computational finance
  • Financial mathematics
  • Malliavin calculus
  • Monte Carlo simulations
  • Probabilistic algorithms and approximations
  • Statistics for stochastic processes
NEW: Workshop Sequential Monte Carlo methods and Efficient simulation in Finance at Ecole Polytechnique, 10-12th october 2012

 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.

Contact:

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