+44 1865 270502
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Mathematical Finance, (Martingale) Optimal Transport, (Optimal) Skorokhod Embedding, Stochastic Optimal Control, Numerical Methods
I am a Postdoctoral Research Assistant in Mathematical Institute. I was awarded my Ph.D. degree in Applied Mathematics at Ecole Polytechnique, France.
I have a general interest in Mathematical Finance and its interplay with Probability and Stochastic Processes. During my thesis, I mainly focused on the duality theory for martingale optimal transport problem and optimal Skorokhod embedding, which reflects the pricing-hedging duality in robust finance. Now my concern is on developping numerical methods for the martingale optimal transport problem.
Tutor: University of Oxford, United Kingdom
Course: Continuous Martingales and Stochastic Calculus, 2017; Prof. Jan Oblój
Teaching assistant: Ecole Polytechnique, France
Course: Stochastic Calculus in Finance, 2015-2016; Prof. Nizar Touzi
Prizes, Awards, and Scholarships:
2013-2016 Gaspard Monge Fellowship, Foundation of Ecole Polytechnique
2009-2013 Eiffel Scholarship, EGIDE - Centre français pour l'accueil et les échanges internationaux
Major / Recent Publications:
with J. Oblój. Computational methods for martingale optimal transport problems. Preprint, arXiv:1710.07911 [math.PR], 2017.
A stability result on optimal Skorokhod embedding. Preprint, arXiv:1701.08204 [math.PR], 2017.
with J. Claisse and P. Henry-Labordère. Some results on Skorokhod embedding and robust hedging with local time. J. Optim. Theory Appl., 1-29, 2017.
with X. Tan and N. Touzi. Tightness and duality of martingale transport on the Skorokhod space. Stochastic Process. Appl., 127(3), 927-956, 2017.
with X. Tan and N. Touzi. Optimal Skorokhod embedding under finitely-many marginal constraints. SIAM J. Control Optim., 54(4), 2174-2201, 2016.
with X. Tan and N. Touzi. On the monotonicity principle of optimal Skorokhod embedding problem. SIAM J. Control Optim., 54(5), 2478-2489, 2016.
with C. Martini, L. Neufcourt and A. Jacquier. Generalised arbitrage-free SVI volatility surfaces. SIAM J. Finan. Math., 7(1), 619-641, 2016.