Deputy Director of AMIES
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" univgrenoblealpes.fr
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" univgrenoblealpes.fr
I am a member of the DAO team at Laboratoire Jean Kuntzmann.
I am the development leader of the open source numerical library PNL.
I am comaintainer of the LaTeX extension for Visual Studio Code: LaTeX Workshop.
I am maintainer of vscodelatexbasics used by Visual Studio Code to provide builtin LaTeX syntax highlighting.
Main research topics
 Computational finance
 Stochastic optimization / Stochastic approximation
 Linear and nonlinear Monte Carlo methods
 Parallel computing for numerical probability
 Stochastic modeling
Conferences and workshops
 Premia 24 meeting, Paris, April 2022.
 Séminaire LMM, Le Mans, March 2022.
 SIAM Conference on Financial Mathematics and Engineering, online, June 2021.
 Invited to Advanced in Financial Mathematics 2020, Paris, January 2020.
 Invited to the Conference Stochastic modeling and financial applications, Vérona, June 2018.
 CEMRACS, Introduction to High Performance Computing (lectures + handson 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 RhônesAlpes, 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 QuasiMonte 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.
 MathFi Seminar, Université de MarnelaVallée, November 2005.
Organization of conferences, workshops or minisymposia
 CoHead of the organizing committee of Forum Emploi Maths 2022, 2022, France, Paris.
 CoHead of the organizing committee of Forum Emploi Maths 2021, 2021, France, Paris.
 CoHead of the organizing committee of Forum Emploi Maths 2020, 2020, France, Paris.
 CoHead of the organizing committee of Forum Emploi Maths 2019, 2019, France, Paris.
 Member of the organizing committee of Forum Emploi Maths 2018, 2018, France, Paris.
 Minisymposium on Computational Challenges in Finance at MCQMC 2018, France, Rennes.
 Member of the organizing committee of Les journées SMAI MODE, 2018, France, Autrans.
 Member of the organizing committee of Les journées de Probabilités, 2017, France, Aussois.
 Member of the organizing committee of CEMRACS, 2017, France, Marseille.
 Member of the organizing committee of Les Journées MAS, 2016, France, Grenoble.
 Minisymposium on Stochastic Approximation at the International Conference on Monte Carlo techniques, 2016, France, Paris.
 Minisymposium on Stochastic Approximation at CANUM 2016, France, Alsace.
 Minisymposium on Multilevel Monte Carlo Methods at the SMAI Congrès 2015, France, Savoie.
 Colloque sur la méthode de Stein et la calcul de Malliavin sur l'espace de Poisson, Grenoble, 2014.
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 the LaTeX extension for Visual Studio Code.
I am comaintainer and major contributor of the project, see the GitHub page and the project documentation. The project has over 12 million downloads.
 vscodelatexbasics is used Visual Studio Code to provide builtin syntax highlighting for LaTeX.
I am maintainer of the project.
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 package is part of the TeX Live and MiKTeX distributions.
This is a LaTeX package to detect numbered equations that should not be, because there is no reference to them. It also searches for non starred maths environments with no label and 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 packageamsaddr
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 packageappendixnumberbeamer
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 cohead of the Financial Engineering major. Third year
 FX derivatives and interest rate models, since 2010.
 MonteCarlo 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.