Associate Professor
Grenoble INP - Ensimag
Laboratoire Jean Kuntzmann
Google Scholar Profile
My GitHub Account

Building IMAG - Office 150
700 avenue Centrale
Domaine Universitaire - 38401 St Martin d'Hères
Mail me at firstname.lastname "at"

I am a member of the DAO team at Laboratoire Jean Kuntzman.
I am also a partner member of the MathRisk INRIA team based in Paris and I am in charge of Premia's development.
I am the the development leader of the open source numerical library PNL.

Main research topics

  • Computational finance
  • Stochastic optimization / Stochastic approximation
  • Adaptive Monte Carlo methods
  • Parallel computing for numerical probability
  • Stochastic modelling

Conferences and workshops

  • Journées MAS, Grenoble, August 2016.
  • International Conference on Monte Carlo techniques, Paris, July 2016.
  • Seminar on Insurance Mathematics and Stochastic Finance at ETH Zurich, May 2016.
  • CANUM 2016, Obernay, France, May 2016.
  • Invited to the conference Frontiers in Stochastic Modelling for Finance, Padua, Italy, February 2016.
  • Invited to the OSIRIS seminar, EDF R&D, October 2015.
  • 10th IMACS Seminar on Monte Carlo, Linz, Austria, July 2015.
  • 11th International Conference on MCQMC in Scientific Computing, Leuven, Belgium, April 2014.
  • Invited to the Conférence "Les Nouveaux Outils du Développement Durable", Paris, October 2013.
  • 9th IMACS Seminar on Monte Carlo, Annecy, France, July 2013.
  • Invited to the Workshop on Financial Mathematics and Numerical Probability Beijin, China, June 2013.
  • Invited to the Workshop on Monte Carlo Methods, Ecole Polytechnique, October 2012.
  • Rencontres d'Analyse Probabilités de la région Rhones-Alpes, September 2012
  • Séminaire de Probabilité et Statistiques de l'Université de Montpellier, September 2011.
  • Journées MAS, Bordeaux, September 2010.
  • Journées Algorithmes Stochastiques, Dijon, November 2009.
  • IEEE International Symposium on Parallel and Distributed Processing, Roma, May 2009.
  • Third Conference on Numerical Methods in Finance, Paris, April 2009.
  • Eighth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, Montreal, July 2008.
  • Conference on Numerical Methods in Finance, Udine (Italy), June 2008.
  • Groupe de travail Probabilités numériques et finance, Universités Paris 6 et Paris 7, March 2008.
  • Séminaire de l'ISFA, Université de Lyon 1, March 2008.
  • Groupe de travail Probabilité/Optimisation du CERMICS, February 2008.
  • Séminaire de probabilités de l'université de Nancy 1, January 2008.
  • Séminaire du CMAP, Ecole Polytechnique, October 2007.
  • INRIA Sophia Antipolis, June 2007.
  • Center for Research in Advanced Financial Technology, Tokyo Institute of Technology, November 2006.
  • RESIM 2006, Bamberg (Germany), October 2006.
  • Journées MAS, Lille, September 2006.
  • Société Générale, July 2006.
  • Groupe de travail du CMAP, Ecole Polytechnique, June 2006.
  • Math-Fi Seminar, Université de Marne-la-Vallée, November 2005.

Organisation of conferences, workshops or mini-symposia


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Book Chapters

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  • Quelques contributions aux méthodes numériques probabilistes et à la modélisation stochastique, Habilitation à diriger des recherches, Septembre 2017.
  • Asymptotic properties of stochastic algorithms and pricing of Parisian options, PhD thesis, September 2007.

Software development

  • PNL:

    PNL is a numerical library written in C. It is free software under the Lesser Gnu Public License.
    I am the main developer of the project.
    PNL project is hosted on


    PREMIA is an option pricer jointly developed by INRIA and ENPC and supported by a consortium of financial institutions.
    I am in charge of the software architecture.

LaTeX packages and tools (available on CTAN)

  • A tool for cleaning TeX files chklref

    This package is part of CTAN.
    Clone chklref on GitHub.

    chklref is a LaTeX package intended to help LaTeX users to find out any useless references in their tex files or any numbered environments that should not be. It also scans for uncited bibliography items for non BiBTeX users.

  • Numbering Beamer appendix slides on their own: appendixnumberbeamer.

    This package is available on CTAN and is part of the TeX Live and MiKTeX distributions.
    The latest version is on GitHub.

    Appendixnumberbeamer helps to better handle appendix slide numbers. Currently, they are counted as standard slides which can reveal unpleasant when the total number of slides appears on each slide. The package provided here tries to tackle this problem. The appendix TeX command issues a reset in the slide numbering. This way the slides being part of the appendix use their own counter and are not counted in the total number of slides of the document, which is typically what you expect if you add a few extra slides in case of questions for instance. Note that to LaTeX compilations are required to obtain a correct numbering. To use this package, just add \usepackage{appendixnumberbeamer} in the preamble of your document.

  • Yet another Beamer theme: beamerthemeJLTree.

    This theme is available on CTAN and is part of the TeX Live and MiKTeX distributions.
    The latest version is on GitHub.

    It was originally based on the Montpellier theme and has evolved over time.

  • The amsaddr package.

    This package is available on CTAN and is part of the TeX Live and MiKTeX distributions.
    The latest version is on GitHub.

    This package is designed for usage with the amsart class. This class naturally places regular mail addresses or emails at the very end of the document. Changing its behaviour to put the material on the first page either as a foot note or right below the authors' names can be quite tough.

Main teaching activities at ENSIMAG

Since September 2011, I have been co-repsonsible for the Financial Engineering major.

  • Third year
    • FX derivatives and interest rate models, since 2010.
    • Monte-Carlo methods for financial engineering, since 2010.
    • Parallel programming for financial applications, since 2009.
    • American options: from theory to algorithms, since 2010.
    • Designing a generic pricer in C++, since 2014.
  • Second year
    • Introduction to Stochastic Calculus and Applications to finance, since 2014.