Emmanuel GOBET - Teaching


Ecole Polytechnique, engineer program

  1. 1st year program (X10-11-12-13-23): Aléatoire MAP361.
  2. 2nd year program: MODAL Simulation Numérique Aléatoire (MAP473D)
  3. 3rd year program: Méthodes de Monte-Carlo et processus stochastiques, du linéaire au non-linéaire (MAP556)

Master programs

  1. Master 2 Mathématiques de l'Aléatoire at Orsay-Ecole Polytechnique: Random generation.
  2. Master 2 Probability and Finance at Sorbonne University (formerly Paris 6)-Ecole Polytechnique: Stochastic processes and financial derivatives (MAP653B)
    (with N. El Karoui and C. Medalie for the part on cryptocurrencies)
  3. Master 2 Data Science at Institut polytechnique de Paris: Data-based generative model (MAP670U)

Summer Schools

  1. XV SIAM Conference on Financial Mathematics and Engineering, at Philadelphia (USA). Decentralized Finance and Blockchain Technology. June 2023. Lecture notes.
  2. XV Spanish-French School on Numerical Simulation in Physics and Engineering, at Malaga (Spain). Introduction to stochastic calculus and to the resolution of PDEs using Monte Carlo simulations. September 2012. Lecture notes.
  3. Spring school in Stochastic Analysis in finance, at Roscoff (France). Asymptotic expansions and local volatility models. March 2012. Lecture notes.
  4. Summer school in Probability Theory, at Disentis (Switzerland). Numerical approximations of Backward Stochastic Differential Equations. July 2010. Slides.
  5. European Summer School in Financial Mathematics at HEC - Jouy-en-Josas (France). Backward Stochastic Differential Equations and Financial Applications (with Jin Ma). August 2009.

Other

  1. Journées Nationales de l'APMEP, Octobre 2011. Mathématiques appliquées et finance. Transparents ici.
CMAP UMR 7641 Ecole Polytechnique and CNRS, Institut Polytechnique de Paris, Route de Saclay, 91128 Palaiseau Cedex France