Math finance
Team leaders Charles-Albert Lehalle and Huyên Pham
quick links: Team members -- Projects
CMAP's MathsFi team is interested in modelling financial markets, their participants and their fundamentals, the traded assets, derivatives on these assets, both at an individual and collective level, as well as market microstructure and price formation. We pay particular attention to topics relating to systems of interacting agents, and to the optimisation and numerical simulation problems raised by models. Risk management of portfolios of derivatives, energy markets, sustainable finance, regulation of financial markets and their decentralisation, identification and modelling of fundamental properties of financial markets and traded assets, as well as problems of predicting returns and risks or the added value of alternative data, are typical problems that we study in close collaboration with private partners such as investment banks, asset managers and regulatory authorities. These studies draw on stochastic analysis and optimisation, stochastic control of dynamical systems, Monte Carlo simulation, and techniques of data sciences (statistical, machine or reinforcement learning, and dimension reduction methods such as generative models).
Research topics and keywords:
- Volatility modeling and model calibration
- Liquidity modeling, market making and optimal trading and liquidation
- Climate risks modelling, sustainable finance and financial models for transitions
- Mean Field Games and Mean Field Control
- Optimal martingale transport and robust finance
- Financial intermediation and risk hedging
- Contract theory, Principal-Agent approach to regulation
- Decentralized Finance (DeFi) and Blockchain
- Numerical Methods: Monte Carlo simulations, Neural Networks and Stochastic Approximations
- Reinforcement Learning in Finance
- Generative AI Models for Financial Time Series
- Alternative Data
- Signature Methods in Finance
Permanent Members
Associate Researchers
Post-docs | PhD Students
Visiting PhD Students
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Projects and grants associated to the team:
Chaires
- Deep Finance and Statistics created by Qube RT with Ecole Polytechnique
- FiME created by EDF with Université Paris-Dauphine, ENSAE, Ecole Polytechnique
- Finance et Développement Durable created by CA-CIB, EDF, Institut Europlace de Finance with Ecole Polytechnique, Univ. Paris-Dauphine
- Machine Learning and Systematic Methods in Finance created by Exodus with Ecole Polytechnique
- Risques Financiers created by Fondation du Risque, Société Générale with Ecole Polytechnique, Ecole des Ponts ParisTech, Sorbonne Université
- Stress Test created by Fondation de l'Ecole Polytechnique, BNP Paribas with Ecole Polytechnique
Partnerships with the industry (CIFRE)
Enterprises: 80 Technologies, BNP Paribas, Biggie Group, CA-CIB, CITIBANK, ENGIE, GEFIP, Société Générale
Public Projects
- Projet MIRTE, programme PEPR Maths Vives, correspondent Fabrice Djete