Electronic Journal of Statistics, 4, 1300-1323, 2010. QMI/Quant Valley conference, NYSE New York, (le 26/06/2013). Working paper, 2019. Séminaire de Probabilités et Statistiques, Université Paris 11, (le 28/04/2011). with Jean Jacod. 55-Optimal liquidity-based trading tactics. Statistics, 41, 31-45, 2007. Annals of Finance, 8, 31-48, 2012. Finance and Stochastics, 22 (2), p. 241-280, 2018. After being Assistant Professor at École Polytechnique, he became Professor at University Pierre et Marie Curie (Paris 6) in 2011. with Jiatu Cai and Peter Tankov. 34-An {l_1,l_2,l_infinity}-regularization approach to high-dimensional errors-in-variables models This leads us to adopt the fractional stochastic volatility (FSV) model of Comte and Renault. Evidence from the Tokyo Stock Exchange pilot program, Large tick assets: implicit spread and optimal tick size, Simulating and analyzing order book data: The queue-reactive model, Understanding the stakes of high frequency trading, Limit theorems for nearly unstable Hawkes processes, Estimating the efficient price from the order flow: a Brownian Cox process approach, A new approach for the dynamics of ultra high frequency data: the model with uncertainty zones, Volatility Estimation under Endogenous Microstructure Noise. Journée en l'honneur de George Papanicolaou, Université Paris 7, (le 01/12/2011). Econophysics Of Order-Driven Markets, Springer, 2011. Séminaire du Laboratoire de Statistique Théorique et Appliquée (LSTA), Université Paris 6 (le 28/01/2008). Liquidity and Tick Size conference, NYSE-Euronext London, (le 16/12/2013). with Othmane Mounjid and Pamela Saliba. SIAM Journal on Financial Mathematics, 10 (2), p. 491-511, 2019. Mathieu Rosenbaum has collaborations with various financial institutions, notably BNP-Paribas since 2004. Sujet : « Étude de quelques problèmes d’estimation statistique en finance ». 19-Estimation of the lead-lag parameter from non-synchronous data Stochastic Analysis with applications in Biology and Finance, Berlin, (le 04/10/2016). 4-Integrated volatility and round off error Conference Asymptotics in Finance, University of Chicago, (le 03/05/2012). 13-Volatility and covariation estimation when microstructure noise and trading times are endogenous Professeur Chargé de Cours résident à l'Ecole Polytechnique, Centre de Mathématiques Appliquées (CMAP)  (2008-2011). Journée "dépendance", ENGREF Paris (le 05/06/2009). Rhein-Main kolloquium Stochastik, Mainz, (le 03/02/2017). Malka Elisheva Schaps (Mary Elizabeth Schaps) Born August 6, 1948, Cleveland, Ohio Immigrated to Israel, August 1972. 65- The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem. Mathieu Rosenbaum (University Paris 6) Patrick Sentis (University of Montpellier) Paolo Sodini (Stockholm School of Economics) Ariane Szafarz (Université Libre de Bruxelles) Christophe Spaenjers (HEC Paris) ... CV Research Interests: continuous-time finance, production models. Groupe de travail « Méthodes Stochastiques et Finance», LAMA, Université Paris-Est Marne-La-Vallée (le 15/01/2010). Voir le profil de ZHANG Yu, FRM sur LinkedIn, le plus grand réseau professionnel mondial. Stochastic Analysis and Statistical Inference V, University of Tokyo (le 22/02/2010). Séminaire Probabilités et Mathématiques Financières, Université d'Evry, (le 27/01/2011). Financial Econometrics Conference, Université Toulouse 1, (le 22/05/2015). Mathematical Finance seminar, Osaka University, (le 21/02/2012). and Mathieu Rosenbaum. Séminaire de Probabilités-statistiques de l’université Paris 13 (le 06/06/2007). Cours à l'école d'été "Summer School in Risk Management and Risk Sharing", UBC Vancouver (Juillet 2010). Some papers and preprints: • (with Peter Friz and Radoš Radoičić) Cumulants and Martingales. 47-Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint Oxford-Mann stochastic analysis seminar, Oxford, (le 19/10/2015). Financial Econometrics conference, TSE, (le 17/05/2013). with Omar El Euch and Masaaki Fukasawa. 10th European Summer School in Financial Mathematics, Dresden, (Août 2017). This GMU Lasso is implemented in hdme, and can be called with the function gmu_lasso.The snippet below shows its use. Séminaire Européen de Statistique 2007. Managing editeur pour Quantitative Finance. 39-Asymptotic lower bounds for optimal tracking: a linear programming approach ZHANG a 2 postes sur son profil. Electronic Communications in Probability, 23 (61), p. 1-12, 2018. Quantitative Finance, 18 (6), p. 933-949, 2018. Editeur de "Market Microstructure, Confronting Many Viewpoints" (2012), Séminaire Chaire "Risques financiers", X-Ponts-UPMC-Société Générale, (le 30/05/2012). The Annals of Applied Probability, 26 (5), p. 2860-2882, 2016. with Mark Podolskij. Congrès des actuaires, Paris (le 29/06/2009). 2006/2007-2008/2009 : Cours de méthodes statistiques en finance à l’ENSAE (avec Nicolas Chopin). Financial Mathematics Seminar, the Stevanovich center for financial mathematics, University of Chicago (le 14/12/2007). Organizers: Mathieu Rosenbaum Nour Meddahi, Toulouse School of Economics, France. Rosenbaum M., Yor M. (2014) On the Law of a Triplet Associated with the Pseudo-Brownian Bridge. Cornell-Manhattan Finance Seminar (le 04/06/2014). 2009/2010-2011/2012 : Cours de Trading Haute Fréquence Optimal à l'ENSAE et pour le master MASEF (avec Charles-Albert Lehalle). Measuring Risk conference, Princeton University, (le 08/10/2011). IASC-ARS conference, Singapore, (le 17/12/2015). Professeur à l'Université Pierre et Marie Curie, Paris 6, Laboratoire de Probabilités et Modèles Aléatoires (LPMA) (2011-2016). Market Microstructure and Liquidity, 3 (4), 1850005, 2017. 12th German Probability and Statistics Days, Bochum, (le 02/03/2016). Mathieu Rosenbaum is a full-time professor at Ecole Polytechnique, where he holds the chair “Analytics and Models for Regulation”. 27-Estimation of volatility functionals: the case of a square root n window Conference Stochatic Modeling, Verona, (le 19/12/2017). To appear in Operations Research. 25-Understanding the stakes of high frequency trading Mathematical Statistics Seminar, University of Heidelberg, (le 29/01/2013). Mathematical Finance, 29 (1), p. 3-38, 2019. 54-Pivotal estimation via self-normalization for high-dimensional linear models with error in variables. Finance research seminar, University of St Gallen, (le 24/10/2017). with Thibault Jaisson. Working paper, 2020. P. Jusselin, T. Mastrolia, M. Rosenbaum. A solution to the market making problem. Ever since, the focus on REM has expanded because of its potential applicability in telecommunications. In: Donati-Martin C., Lejay A., Rouault A. applications to statistical estimation and mathematical finance 2008/2009-2009/2010 : TDs d'Estimation Fonctionnelle à l'ENSAE. Séminaire de statistique, CEREMADE, Université Paris Dauphine (le 21/03/2008). Electronic Journal of Probability, 19, article 37, 2014. Working paper, 2019. Conference in Memory of Marc Yor, Université Paris 6, (le 04/06/2015). 8. She cohosts the Intimate Judaism podcast and is co-author of […] with Bastien Baldacci, Iuliia Manziuk and Thibaut Mastrolia. with Weibing Huang and Charles-Albert Lehalle. Séminaire de Statistiques de l'Université Paris-Sud, Orsay, (le 19/10/2017). Europlace Award for Best Young Researcher in Finance (2014). Journal of Financial Econometrics, 16 (4), p. 588-598, 2018. Candidatures et calendrier des … Dealing with the Inventory Risk. Fees and scholarships. Atelier Trading et Microstructure, Collège de France (le 10/12/2008). CV/resume; Statement of purpose; You will receive an answer in your candidate space within 2 months of the closing date for the application session. Stochastic Processes and Their Applications, 122, 3901-3920, 2012. In particular, he is one of the organizers of the conference “Market Microstructure, Confronting Many Viewpoints“, which takes place every two years in Paris. Séminaire de la Banque de France, Paris, (le 24/02/2017). with Marc Yor. 12-A new approach for the dynamics of ultra high frequency data: the model with uncertainty zones 2019-present: participation to the chair IDR re2a directed by Alexandre Brouste, Anis Matoussi, Mathieu Rosenbaum and Nizar Touzi, 2018-present: working group ARC on actuarial risk with Caroline Hillairet and Olivier Lopez, 2016-2018: participation to the chair … 63- From microscopic price dynamics to multidimensional rough volatility models. Accepted Papers. 15-Statistical finance at the École Polytechnique, Paris: the informal FIESTA research group Working paper, 2019. Editeur Associé de Advances in Applied Probability, Electronic Journal of Statistics, Journal of Applied Probability., Mathematical Finance, Mathematics and Financial Economics, Statistical Inference for Stochastic Processes, SIAM Journal in Financial Mathematics, Springer Briefs Statistics and Risk Modeling. Séminaire de finance-assurance du laboratoire de finance du CREST (le 06/12/2007). with Sylvain Delattre and Christian Y. Robert. (eds) Séminaire de Probabilités XLVI. Séminaire de Statistiques, Université Toulouse 1, (le 17/05/2011). Journal of the American Statistical Association, 110, 107-122, 2015. Joint Statistical Meeting, Denver (le 04/08/2008). Mathieu Rosenbaum & Peter Tankov, 2011. SIAM Journal of Financial Mathematics, 8, p. 854-900, 2017. CURRICULUM VITAE. with Bastien Baldacci and Dylan Possamai. 310 Col oquio Brasileiro de Matem atica (by invitation) - Rio de Janeiro - Brazil (July/August 2017). plaintiff: jerry goldstein, joel honegger, michael mathieu, onofrio pecoraro, howard rice, michael rosenbaum, birchwood capital advisors, inc. and pto acquisition, inc. Statistique Asymptotique des Processus Stochastiques IX , Université du Mans (le 12/03/2013). 45-Rough volatility: Evidence form option prices Workshop on Extreme Value and Time Series Analysis, Karlsruhe, (le 21/03/2016). Conference in honor of Jim Gatheral's 60th birthday, Courant Institute, New York, (le 13/10/2017). Quant summit, London, (le 15/03/2017). Working paper, 2019. 42-The microstructural foundations of leverage effect and rough volatility Conference Market Microstructure Confronting Many Viewpoints 3, Paris, (le 10/12/2014). Workshop The Mathematics of High Frequency Financial Markets, IPAM-UCLA, (le 16/04/2015). QASS conference, Queen Mary University London (le 17/06/2009). High Frequency Financial Econometrics Workshop, Barcelona, (le 11/06/2015). SIAM Journal on Financial Mathematics, 1, 427-453, 2010. Séminaire de Probabilités, Université Paris 13, (le 26/03/2014). Workshop on Mathematical Finance and Related Issues, Kyoto, (le 05/09/2012). 52-No-arbitrage implies power-law market impact and rough volatility. Journal of Multivariate Analysis, 101, 2434-2451, 2010. To appear in Mathematical Finance, 2019. with Omar El Euch and Jim Gatheral. Thèse de Doctorat à l’Université Paris-Est (Laboratoire d’Analyse et de Mathématiques Appliquées- LAMA) et au CREST, en collaboration avec BNP-Paribas (2007). Gran Sasso Workshop in Mathematical Finance, L'Aquila, (le 28/09/2017). Frontiers in Financial Econometrics, Princeton University (le 25/09/2009). 43-The characteristic function of rough Heston models Séminaire Bachelier, Institut Henri Poincaré, (le 09/10/2012). Recent Advances in High Frequency Financial Econometrics, London School of Economics (le 15/11/2008). Journée des chaires de l'institut Louis Bachelier, Paris, (le 20/10/2017). The Annals of Applied Probability, 24, 1002-1048, 2014. Financial Econometrics Conference, Imperial College London (le 17/05/2008). 59-Optimal auction duration: a price formation viewpoint. Bernoulli satellite meeting: Asymptotic Statistics and Related Topics, Tokyo, (le 02/09/13). Conference Celebrating the Scientific Achievements of Ole Barndorff-Nielsen, Aarhus, (le 17/06/2015). 64- Market making and incentives design in the presence of a dark pool: a deep reinforcement learning approach. Séminaire MODALX, Université Paris X (le 14/01/2010). "European Summer School in Financial Mathematics", Paris 24-29 août 2009, Paris 23-27 août 2010, Zurich 5-9 septembre 2011 et des conférences. Statistics and Probability Letters, 79, 55-62, 2009. of Minnesota Magnetic characterization of oceanic gabbros 2010-2011 Kimberly Yauk – undergraduate, Univ. Mathieu Rosenbaum, Ecole Polytechnique, France. Jobs: Professeur résident à l'Ecole Polytechnique, Centre de Mathématiques Appliquées (CMAP) (2016-). 56-Assessing MiFID 2 regulation on tick sizes: A transaction costs analysis viewpoint. Dynstoch 2011, Heidelberg, (le 16/06/2011). avec Frédéric Abergel, Jean-Philippe Bouchaud, Thierry Foucault et Charles-Albert Lehalle, Wiley Finance. Quantitative Finance, 12, 685-689, 2012. with Christian Y. Robert. Working paper, 2018. Princeton University ORFIE seminar, Princeton, (le 17/11/2015). Responsable de la chaire Analytics and Models for Regulation.. Co-responsable du Master Probabilité et Finance.. Professeur à l'Université Pierre et Marie Curie, Paris 6, Laboratoire de Probabilités et Modèles Aléatoires (LPMA) (2011-2016). A complete list of papers can be found at his page. Séminaire parisien de statistique, Paris (le 17/09/2007). 35-Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes 57-From Glosten-Milgrom to the whole limit order book and applications to financial regulation. Séminaire de Probabilités, LPMA, (le 08/03/2011). Statistics and Finance seminar, University of Chicago, (le 17/01/2014). preparation : 7. The subject is disturbing, and yet Varda treats it with a rare sympathy and empathy, perhaps inspired by the fact that the boy in the film is played by her own son, Mathieu Demy. Recent Developments in the Statistics of high Frequency Data, TSE, (le 13/11/2013) London Mathematical Finance Seminar, University College London, (le 12/02/2015). Conference Modeling and Managing Financial Risks, Paris, (le 12/01/2011). Working paper, 2019. 2009/2010-2010/2011 : Cours de Mathématiques Financières à l'Université de Fudan à Shanghai with Charles-Albert Lehalle, Nicolas Megarbane and Pamela Saliba. Journal of Financial Econometrics, 9, 344-366, 2011. Omar El Euch, Masaaki Fukasawa, Jim Gatheral, Mathieu Rosenbaum, Short-Term At-the-Money Asymptotics under Stochastic Volatility Models, SIAM Journal on Financial Mathematics, 10.1137/18M1167565, 10, 2, (491-511), (2019). 36-How to predict the consequences of a tick value change? The Annals of Applied Probability, 27 (4), p. 2455-2514, 2017. "Asymptotically optimal discretization of hedging strategies with jumps," Papers 1108.5940, arXiv.org, revised Apr 2014. Cours à la "Vietnamese-French Summer School: Mathematical methods applied in the fields of Finance and Economics", Ho Chi Minh City (Août 2012). Ana Galvao, University of Warwick, United Kingdom. "Dynstoch 2012". Financial Economics Seminar, BI Oslo, (le 04/12/2013). 58-From asymptotic properties of general point processes to the ranking of financial agents. 2nd Heidelberg-Mannheim Stochastics Colloquium, Heidelberg, (le 26/11/2015). INFORMS Applied Probability Society Conference, Istanbul, (le 06/07/2015). Stochastic Processes and Their Applications, 118, 1434-1462, 2008. arXiv … "Advances in Financial Mathematics", Paris, 10-13 janvier 2017. with Sylvain Delattre. Mathematical Finance, 22, 133-164, 2012. Working paper, 2018. Caltech Engineering and Applied Science faculty work at the edges of fundamental science to invent the technologies of the future. "Statistics for Stochastic Processes : Inference, Limit Theorems, Finance and Data Analysis 1-2-3-4", Finance and Stochastics seminar, Imperial College London, (le 15/02/2017). Conference Mathematical Finance and Related Issues, Osaka University, (le 17/02/2015). with Paul Jusselin. Lehalle). 28-Simulating and analyzing order book data: The queue-reactive model Paris, 12-13 mars 2012, 19 Mars 2013, 18-19 décembre 2013 et 23 janvier 2015. Tuition fees will be communicated when admission opens. with Jiatu Cai, Masaaki Fukasawa and Peter Tankov. Seminar MODALX, Université Paris X (le 17/01/2013). Furthermore, he is managing editor for “Quantitative Finance” and associate editor for “Electronic Journal of Statistics”, “Journal of Applied Probability”, “Mathematical Finance”,  “Mathematics and Financial Economics”, “Statistical Inference for Stochastic Processes”, “SIAM Journal in Financial Mathematics”, “Springer Briefs” and “Statistics and Risk Modeling”. with Alexandre Belloni, Victor Chernozhukov, and Alexandre Tsybakov, Mathieu Rosenbaum. Statistics and Modeling for Complex Data, ENPC, (le 22/06/2011). Finance Seminar, University of Geneva, (le 11/02/2016). James T. Rosenbaum (born September 29, 1949) is an American physician-scientist who is Chief of Ophthalmology emeritus at the Legacy Devers Eye Institute, Portland, Oregon, where he held the Richard Chenoweth Chair, and Chief of Arthritis and Rheumatic Diseases at the Oregon Health & Science University where he holds the Edward E Rosenbaum Professorship in Inflammation Research. NUS-University Paris Diderot conference, (le 14/09/2015). Mathematical Finance seminar, Imperial College London, (le 07/03/2012). Séminaire de finance-assurance du laboratoire de finance du CREST (le 26/04/2007). Asymptotic statistics and computations, ISM and University of Tokyo, (le 12/03/2014). International Conference on Stochastic Analysis and Applications, Hammamet, (le 11/10/2011). The Annals of Applied Probability, 25, 600-631, 2015. with Christian Y. Robert. Statistique Asymptotique des Processus Stochastiques VII , Université du Mans (le 17/03/2009). Byrne Workshop on Stochastic Analysis in Finance and Insurance, University of Michigan, (le 08/06/2016). Mathematical Statistics Seminar, WIAS Berlin, (le 02/02/2011). with Christian Y. Robert. Workshop on Large deviations and asymptotic methods in finance, Imperial College London, (le 11/04/2013). que pourrait contenir cette page personnelle qui est sous la responsabilité de son auteur. with Alexandre Belloni, Victor Chernozhukov, Abhishek Kaul and Alexandre Tsybakov. An {L1, L2, Linf}-Approach to High-Dimensional Errors-in-variables Models, with Mathieu Rosenbaum and Alexandre B. Tsybakov (pdf, Electronic Journal of Statistics 2016, Vol. Encadrant avec Charles-Albert Lehalle du mémoire "Mesures de dépendances haute fréquence entre actifs financiers", par Aminata Dieye, Nicolas Huth, Sophie Genest et Matthieu Lasnier, Prix ASTEC du meilleur groupe de travail ENSAE en statistique ou finance 2007/2008. Finance Seminar, ETH Zürich (le 27/06/2010). To appear in Quantitative Finance, 2019. with Omar El Euch and Jim Gatheral. with Thibault Jaisson. Journée Hawkes, Université Paris Dauphine, (le 19/03/2014). Bernoulli, 19, 426-461, 2013. 26-Limit theorems for nearly unstable Hawkes processes Responsable de la chaire Analytics and Models for Regulation. In fact, REM can be used to extract relevant information about … Journal of the Mathematical Society of Japan, special issue dedicated to Professor Kiyosi Itô, 67, 1771-1784, 2015. with Aditi Dandapani and Paul Jusselin. 2008/2009-2015/2016 : Professeur Chargé de Cours à l'Ecole Polytechnique : Cours de Probability Theory, TDs de Calcul Stochastique/Mathématiques Financières et Statistique, encadrement d' "EA". Mathieu ROSENBAUM - Professeur - bureau 00 3010 Erwan SCORNET - Maître de Conférences - bureau 00 2034 Amandine VEBER - Maître de Conférences - bureau 00 3007 Result of research initiated in 2013 which generated several conference presentations and working papers. SIAM Conference on Optimization - Vancouver - Canada (May 2017). Evidence from the Tokyo Stock Exchange pilot program Financial Econometrics and Vast Data Conference, Oxford-Man Institute of Quantitative Finance (le 16/09/2008). Séminaire de Finance du CREST, Paris, (le 18/04/2017). with Weibing Huang. Séminaire de Statistiques du CREST, Paris, (le 23/01/2017). Curriculum Vitae Resume Professor of economics at Paris-Dauphine University since 2016 and lecturer at the Ecole Polytechnique since 2015. Groupe de travail « Probabilités Numériques et Finance », LPMA, Université Paris 6 (le 27/03/2008). 23-Asymptotically optimal discretization of hedging strategies with jumps The Annals of Statistics, 38, 2620-2651, 2010. with Paul Jusselin and Thibaut Mastrolia. 3-First order p-variation and Besov spaces Conference Statistics for Stochastic Processes, Paris, (le 19/12/2013). HAL; HALSHS; TEL; MédiHAL; Liste des portails; AURéHAL; API; Data; Documentation; Episciences.org 20-Quarticity and other functionals of volatility: efficient estimation 2006/2007-2007/2008 : TDs en M1 Polytechnique-HEC (Financial Econometrics). Congress in Honor of Yury Kutoyants 70th Birthday, Le Mans, (le 08/09/2016). with Bastien Baldacci and Paul Jusselin. Second International Congress on Actuarial Science and Quantitative Finance, Cartagena, (le 15/06/2016). Generalized Matrix Uncertainty Lasso. « Imperial College Workshop on High Frequency Data », Tanaka Business School, Londres (le 22/02/2007). 11-Asymptotic results for time-changed Lévy processes sampled at hitting times Working paper, 2019. Vienna Congress on Mathematical Finance, Vienna, (le 14/09/2016). ", 66- On bid and ask side-specific tick sizes. with Marc Yor. with Khalil Dayri. hal-01393110 Séminaire de Probabilités-statistiques de l’université Paris 13, (le 09/05/2012). Par ailleurs, Mathieu Rosenbaum est à l'origine du développement de la thématique "Sports Analytics" à l'X. A note on Almgren-Chriss optimal execution problem with geometric Brownian motion, Mathieu Rosenbaum – 2020 Louis Bachelier Prize Winner, “The information content of high-frequency traders aggressive orders: recent evidence” at Quantitative Finance, Solving the enigma of volatility smiles – Quantitative Regulation, The quadratic rough Heston model and the joint S&P 500/Vix smile calibration problem, Market Microstructure, Confronting Many Viewpoints, From microscopic price dynamics to multidimensional rough volatility models, From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect, Optimal make take fees in a multi market maker environment, From asymptotic properties of general point processes to the ranking of financial agents, Optimal auction duration: A price formation viewpoint, From Glosten-Milgrom to the whole limit order book and applications to financial regulation, No-arbitrage implies power-law market impact and rough volatility, Optimal make-take fees for market making regulation, The behaviour of high-frequency traders under different market stress scenarios, The microstructural foundations of leverage effect and rough volatility, How to predict the consequences of a tick value change? He obtained his Ph.D from University Paris-Est in 2007. Matthieu has 7 jobs listed on their profile. Mathematical Colloquium, Vienna University, (le 10/01/2018). coef.corrected_lasso: Extract Coefficients of a Corrected Lasso object coef.gds: Extract Coefficients of a Generalized Dantzig Selector Object coef.gmu_lasso: Extract Coefficients of a GMU Lasso object coef.gmus: Extract Coefficients of a GMUS object corrected_lasso: Corrected Lasso cv_corrected_lasso: Cross-validated Corrected lasso cv_gds: Cross-Validated Generalized Dantzig … Working paper, 2018. Joint IMU-AMS conference, Tel Aviv, (le 16/06/2014). World Statistics Congress, Hong Kong, (le 30/08/13). Grade : Professeur à l'Ecole Polytechnique, Mail : mathieu.rosenbaum[arrowbase]polytechnique.edu. Sino-French Summer Institute, Beijing, (le 30/06/2011). She is also an AASECT certified sex therapy supervisor. 2004/2005-2007/2008 : TDs à l’ENSAE (Ecole Nationale de la Statistique et de l’Administration Economique) : Statistique Mathématique, Calcul Stochastique, Mathématiques financières. Risk management seminar, University of Berkeley, (le 07/11/2017). with Christian Y. Robert. with Charles-Albert Lehalle and Othmane Mounjid. Depuis 2016: Professeur à l'Ecole Polytechnique: Cours de Modélisation statistique (3e année), Méthodes statistiques en finance (M2), Finance haute fréquence: outils probabilistes, modélisation statistique à travers les échelles et trading optimal (M2), Encadrement de projets (3e année). with Alexandre Belloni and Alexandre Tsybakov. Journée doctorants du séminaire Bachelier, Paris (le 22/06/2007). Workshop "Market Frictions", Institut Henri Poincaré, Paris, (le 16/09/2010). Risk Magazine, May 2019. 17-Central limit theorems for realized volatility under hitting times of an irregular grid with Marc Yor. 29-Large tick assets: implicit spread and optimal tick size HAL . He also received the 2020 Louis Bachelier Prize. Professeur résident à l'Ecole Polytechnique, Centre de Mathématiques Appliquées (CMAP) (2016-). 2-Estimation of the volatility persistence in a discretely observed diffusion model He also has several editorial activities. Second Bar-Ilan Conference on Financial Mathematics, University Bar-Ilan, (le 21/06/2016). From Probability to Statistics and Back: High-Dimensional Models and Processes; A Festschrift in Honor of Jon A. Wellner, IMS Collections, 9, 276-290, 2013. Statistics seminar, Hebrew University, (le 28/03/2016). "Swing Options Valuation:a BSDE with Constrained Jumps Approach," Working Papers hal-00553356, HAL. Séminaire de Probabilités et Statistiques, Université du Mans, (le 05/01/2012). Spring School Cremma V, ENIT Tunis, (22-23/04/2015). Workshop "Risk Modelling and High Frequency Data" , TU Munich (le 16/06/2008). 44-Asymptotic behavior of local times related statistics for fractional Brownian motion 40-Asymptotic optimal tracking: feedback strategies CI845: Advances in forecasting Organizers: Michael Owyang Michael Owyang, Federal Reserve Bank of St Louis, United States. • (with Omar El Euch, Radoš Radoičić and Mathieu Rosenbaum) The Zumbach effect under rough Heston. Additional information My CV is here Publications : Teaching : Professional Experience Workshop on Recent Advances in High-Frequency Statistics, Humbolt Universitat Berlin, (le 21/11/2014). Journée Mathématiques Financières , Université d'Evry (le 21/02/2013). with Omar El Euch, Thibaut Mastrolia and Nizar Touzi. Stochastic Colloquium, Göttingen Universität, (le 09/02/2011). with Laurent Duvernet and Christian Y. Robert.

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