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Posts
Efficient XVA computation using supervised learning algorithms
Published:
We will show how neural networks can help to handle the main issues of the computations of XVAs.
portfolio
Portfolio item number 1
Short description of portfolio item number 1
Portfolio item number 2
Short description of portfolio item number 2
publications
Linear-Quadratic McKean-Vlasov Stochastic Differential Games
Published in Modeling, Stochastic Control, Optimization, and Applications. The IMA Volumes in Mathematics and its Applications, vol 164. Springer, Cham, with Huyên Pham, 2019
Recommended citation: https://arxiv.org/abs/1812.00632
Integral operator Riccati equations arising in stochastic Volterra control problems
Published in SIAM Journal on Control and Optimization, with Eduardo Abi Jaber and Huyên Pham, 2019
Recommended citation: https://arxiv.org/abs/1911.01903
Linear–Quadratic control for a class of stochastic Volterra equations: solvability and approximation
Published in Annals of Applied Probability, with Eduardo Abi Jaber and Huyên Pham, 2019
Recommended citation: https://imstat.org/wp-content/uploads/2020/11/AAP1645.pdf
Markowitz portfolio selection for multivariate affine and quadratic Volterra models
Published in SIAM Journal on Financial Mathematics, with Eduardo Abi Jaber and Huyên Pham, 2020
Recommended citation: https://hal.archives-ouvertes.fr/hal-02877569/document
Linear-quadratic stochastic delayed control and deep learning resolution
Published in Journal of Optimization Theory and Applications, with William Lefebvre, 2021
Recommended citation: https://hal.archives-ouvertes.fr/hal-03145949v3/document
talks
Linear–Quadratic optimal control for a class of stochastic Volterra equations: solvability and approximation
Published:
More information about the event
teaching
Actuarial Thesis M2 (2024/2025)
Student supervision, ISUP - Sorbonne Université, 2025
Supervising Master 2 students during the writing of their actuarial dissertation
Probability Theory L3 (2024/2025)
Undergraduate course, ENSAE Paris, 2025
Course about all the fundamental notions of probability theory
Financial Mathematics M1 (2024/2025)
Undergraduate course, ENSAE Paris, 2025
An introductory course in Financial Mathematics