• Research team: Financial and Acturial Mathematics, Numerical Probability and Statistics, Data, Algorithms
• 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)
• Deputy Director of ISUP (2025- )
• Director of the Master of Actuary (2026- )
• Certified actuary of the French Institute of Actuaries (2025- )

• Panel expert at HCERES (2022-2025)
• Head of the Applied Mathematics departement of Ecole polytechnique (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 (2021-2024)
• 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)

	"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.
	"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 order the book via Amazon here, order via CRC Press here.
	"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.
	"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.