Deputy Director of AMIES
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
+33 (0)4 57 42 17 56
Mail me at firstname.lastname "at" univ-grenoble-alpes.fr



I am a member of the DAO team at Laboratoire Jean Kuntzmann.
I am the head of development of Premia.
I am 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 modeling

Conferences and workshops

  • CEMRACS, Introduction to High Performance Computing (lectures + hands-on session), Marseille, July 2017.
  • 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 Rhônes-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.

Organization of conferences, workshops or mini-symposia

Preprints


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Articles


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Book Chapters


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Proceedings


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Theses


  • 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 is a LGPL numerical library written in C.
    I am the main developer of the project. PNL project is hosted on GitHub.

  • PREMIA is a pricer for financial derivatives.
    I am the head of development.

  • LaTeX Workshop is a LaTeX extension for Visual Studio Code.
    I am a major contributor and co-maintainer of the project, see the GitHub page.

My LaTeX tools (available on CTAN)

  • A package to typeset exercises and their solutions: solutions.
    This package offers an easy to use and customizable environment to typeset exercises. The answers can be left out, printed after each question, printed after each exercise or at the end of the document.

  • A tool for cleaning TeX files: chklref.
    This is a LaTeX package to detect any numbered equations that should not be because there is no reference to them. It also scans for non cited bibliography items for non BiBTeX users.

  • Positioning addresses in amsart documents: amsaddr.
    This package is part of the TeX Live and MiKTeX distributions.

    This package is designed for usage with the amsart class, which naturally places mail email addresses at the very end of the document. The package amsaddr enables us to put the addresses on the first page either as a foot note or right below the authors' names.

  • Numbering Beamer appendix slides on their own: appendixnumberbeamer.
    This package is part of the TeX Live and MiKTeX distributions.
    The package appendixnumberbeamer helps to better handle appendix slides numbering. Currently, they are counted as standard slides. This package uses a separate counter for appendix slides. This way the slides being part of the appendix are counted on their own and are not counted in the total number of slides of the document.. To use this package, just add \usepackage{appendixnumberbeamer} in the preamble of your document.

  • Yet another Beamer theme: beamerthemeJLTree.
    This theme is part of the TeX Live and MiKTeX distributions.
    It was originally based on the Montpellier theme and has evolved over time.

Main teaching activities at ENSIMAG

Since September 2011, I have been co-head of 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.