(2025-) Sorbonne Université, ISUP
Details coming soon.(2010-2025) Ecole Polytechnique, engineer program
- 1st year program (X10-11-12-13-23):
Aléatoire MAP361.
- 2nd year program: MODAL Simulation Numérique Aléatoire (MAP473D)
- 3rd year program: Méthodes de Monte-Carlo et processus
stochastiques, du linéaire au non-linéaire (MAP556)
Master programs
- Master 2 Mathématiques de l'Aléatoire at Orsay-Ecole Polytechnique: Random generation.
- 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) - Master 2 Data Science at Institut
polytechnique de Paris: Data-based generative model (MAP670U)
Summer Schools
- XV SIAM Conference on Financial Mathematics and Engineering, at Philadelphia (USA). Decentralized Finance and Blockchain Technology. June 2023. Lecture notes.
- 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.
- Spring school in Stochastic Analysis in finance, at Roscoff (France). Asymptotic expansions and local volatility models. March 2012. Lecture notes.
- Summer school in Probability Theory, at Disentis (Switzerland). Numerical approximations of Backward Stochastic Differential Equations. July 2010. Slides.
- 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
- Journées
Nationales
de l'APMEP, Octobre 2011. Mathématiques appliquées et
finance. Transparents ici.