is associate professor at ESCP Europe
in Paris. He graduated from Ecole Polytechnique
with a B.S. in Engineering in 1987 and received his Ph.D. in theoretical
Computer Science from MIT in 1993.
current research and teaching address risk management, the pricing of
derivative securities, Monte Carlo simulation, and econometrics.
has done consulting work for banks, and has been a referee to: Combinatorica, Random Structures and Algorithms, Journal of
Computer and System Sciences, Journal of Combinatorial Theory,
Series B, SIAM Journal on Discrete Mathematics, Discrete Applied Mathematics, IEEE Journal on Selected Areas in
Communications, Risk Magazine, Journal of
the ACM, Operations Research, The French Ministry of Economy,
Industry and Employment, Finance and Stochastics, Journal of Optimization
Theory and Applications, and Acta Applicandae
Contact: email@example.com or firstname.lastname@example.org.
Dimension Reduction for Monte Carlo Simulations. November 2017. A
preliminary version has been presented at the 9th NIPS Workshop on Optimization for
Machine Learning, December 2016.
simulation of high dimensional Gaussian vectors. Accepted to Mathematics of
Operations Research. December 2016.
of Financial Derivatives Via Convex Programming. Management Science. 63(7): 2323-2339 (2017).
lower bound on variance swaps. Mathematical
Finance 26(4): 939-961 (2016).
- Sparse calibrations of contingent claims. Mathematical
Finance 20(1): 105-115 (2010).
- Analytic crossing
probabilities for certain barriers by Brownian motion. Annals of Applied Probability 18(4):
- An Arbitrage-free Interpolation of
Volatilities. Risk Magazine, 17(5): 102-106 (May 2004). Click here for an
- Faster Pricing
of Convertible Bonds. With Jean-Noêl Dordain and Arnaud Vinciguerra.
FOW, 348, May 2000. Presented at Frontières en Finance
workshop “Numerical pricing methods for complex derivatives “, May
- Computing Call
Admission Capacities in Linear Networks. With Edward G. Coffman Jr.,
Anja Feldmann, B. Poonen.
Probability in the Engineering and Information Sciences 13: 387-406
- On the Minimum Distance
of Parallel and Serially Concatenated Codes. With R. Urbanke.
IEEE International Symposium on Information Theory 31 (1998).
- Approximating the
independence number via the theta function. With Noga
Alon. Mathematical Programming 80: 253-264
- Greedy Dynamic Routing on
Arrays. With Frank Thomson Leighton. J. Algorithms 29(2): 390-410
Communication: A Tight Asymptotic Bound on Packet Waiting Times. With
Edward G. Coffman Jr., Frank Thomson Leighton. SIAM J. Comput.
27(5): 1221-1236 (1998).
- Dynamic Global Packet
Routing in Wireless Networks. With Paul E. Wright. INFOCOM: 1414-1421
- A Semidefinite Bound
for Mixing Rates of Markov chains. Random Structures and Algorithms
11(4): 299-313 (1997).
- A Spectral Technique for
Coloring Random 3-Colorable Graphs. With Noga Alon. SIAM J. Comput. 26(6): 1733-1748 (1997).
deviation bounds for Markov chains. Combinatorics, Probability and
Computing 6: 465-474 (1997).
Inequalities and Eigenvalues. SIAM Journal on Discrete Mathematics
10(1): 30-40 (1997).
- Bounds on
the Chromatic Polynomial and on the Number of Acyclic Orientations of a
Graph. With Leonard J. Schulman. Combinatorica
16(3): 383-397 (1996).
and Expansion of Regular Graphs. JACM 42(5): 1091-1106 (1995).
- Fault Diagnosis in a Flash.
With Richard Beigel, William Hurwood.
Proceedings of the 36th Annual IEEE Conference on Foundations of Computer
Science: 571-580 (1995).
- Lower Bounds for Sorting
Networks. With Frank Thomson Leighton, Yuan Ma, C. Greg Plaxton, Torsten Suel, Endre Szemerédi. 27th Annual ACM Symposium on Theory of
Computing: 437-446 (1995).
- On reducing the cut
ratio to the multicut problem. DIMACS TR:
- New modular properties of Bell numbers.
Journal of Combinatorial Theory, Series A, 58:147-152 (1991).