Arnaud Lionnet

I am a student member of the Oxford-Man Institute for Quantitative Finance, the Maths Institute's Stochastic Analysis Group, and more frequently hangs out with the Mathematical and Computational Finance Group.

I am interested in mathematical finance, (functional and numerical) analysis and probability. More generally, I have an interest in complex and dynamical systems, especially where it is relevant to consider randomness. This covers financial markets, some physical and biological systems, traffic, meteorology, etc. Many things.

My doctoral research is about backward stochastic differential equations (BSDEs), from a theoretical and numerical point of view. These equations provide a natural language in which to express the pricing of options by replication, and also come up in problems of utility maximization. They really are the probabilistic counterpart to parabolic PDEs, and therefore provide Monte Carlo methods for numerically solving such equations.

Recently, I initiated, and am currently co-organising with Tigran Atoyan, a series of interdisciplinary informal discussions at the Oxford-Man Institute. Last year, I also co-organised with Sam Cohen and Gechun Liang a conference for Young Researchers in BSDEs, Numerics and Finance.