A5072602318- Stochastic processes and financial applications
- Financial Risk and Volatility Modeling
- Complex Systems and Time Series Analysis
- Financial Markets and Investment Strategies
- Intermetallics and Advanced Alloy Properties
- Electron and X-Ray Spectroscopy Techniques
- Microstructure and mechanical properties
- Sports Analytics and Performance
- Advanced Materials Characterization Techniques
- Advanced Electron Microscopy Techniques and Applications
- Insurance, Mortality, Demography, Risk Management
- Microstructure and Mechanical Properties of Steels
- Consumer Market Behavior and Pricing
- Economic theories and models
- Ion-surface interactions and analysis
- Metal Alloys Wear and Properties
- Semiconductor materials and interfaces
- Doping in Sports
- Metal and Thin Film Mechanics
- Integrated Circuits and Semiconductor Failure Analysis
- Aluminum Alloys Composites Properties
- Advanced materials and composites
- Advancements in Photolithography Techniques
- Risk and Portfolio Optimization
- Metallurgy and Material Forming
Université de Lorraine
2012-2025
Laboratoire d'Étude des Microstructures et de Mécanique des Matériaux
2014-2024
CERMICS
2005-2024
École nationale des ponts et chaussées
2011-2023
Bloomberg (United States)
2010-2023
Centre National de la Recherche Scientifique
2004-2023
New York University
2010-2023
Columbia University
2010-2023
Courant Institute of Mathematical Sciences
2010-2023
École nationale supérieure d'arts et métiers
2018-2023
We learn from data that volatility is mostly path-dependent: up to 90% of the variance implied equity indexes explained endogenously by past index returns, and 65% for (noisy estimates of) future daily realized volatility. The path-dependency we uncover remarkably simple: a linear combination weighted sum returns square root squared with different time-shifted power-law weights capturing both short long memory. This simple model, which homogeneous in volatility, shown consistently outperform...
We propose a general method to study dependent data in binary tree, where an individual one generation gives rise two different offspring, of type 0 and 1, the next generation. For any specific characteristic these individuals, we assume that is stochastic depends on its ancestors' only through mother's characteristic. The dependency structure may be described by transition probability P(x, dy dz) which pair daughters' characteristics around (y, z), given x. Note y, daughter 0, z,...
Characterizing threading dislocations (TDs) in gallium nitride (GaN) semiconductors is crucial for ensuring the reliability of semiconductor devices. The current research addresses this issue by combining two techniques using a scanning electron microscope, namely channeling contrast imaging (ECCI) and high-resolution backscattered diffraction (HR-EBSD). It comparative study these to underscore how they perform evaluation TD densities GaN epitaxial layers. Experiments reveal that dislocation...
Abstract The aim of this study is to propose a new approach explore the 3D evolution pore properties in saturated and remoulded clay relation mechanical loading. Oedometric loading until desired stress level was applied sample. A post-mortem observation using scanning electron microscopy (SEM) coupled with focused ion beam (FIB) used obtain microstructure micro-volume novel processing method, incorporating machine learning for segmentation performed reconstitute micro-volume. Pore network...
In his book Stochastic Volatility Modeling, Lorenzo Bergomi organizes and shares the immense knowledge experience on volatility modelling that he has accumulated over almost 20 years as head of...
In 2016, for the first time, UEFA European Championship gathered 24 men’s national teams. It consisted of a group stage made 6 groups 4, followed by knockout starting with round 16. We critically examine number flaws in design bracket that was used UEFA: advantage, lack win incentive, and arbitrary choices. suggest two fairer procedures satisfy balance diversity constraints but eliminate advantage significantly increase hence interest, stage. The suggested use global ranking 16 teams...
In 2026, the FIFA World Cup will for first time gather 48 men’s national teams. It consist of a group stage made 16 groups three, with best two teams in each advancing to knockout stage. Using three raises several fairness issues, including risk match fixing and schedule imbalance. this article we examine collusion. The who play last game know exactly what results let them advance Risk occurs when result qualifies both at expense third team group, can seriously tarnish tournament. We...
Following previous work on calibration of multi-factor local stochastic volatility models to market smiles, we show how calibrate exactly any such models. Our approach, based McKean's particle method, extends hybrid models, for which provide a Malliavin representation the effective volatility. We illustrate efficiency our algorithm
Abstract We critically examine a number of flaws in the current procedure for final draw FIFA World Cup™: imbalance (the eight groups are not same competitive level), unfairness (some teams have greater chance than others ending up tough group), and uneven distribution (all possible outcomes equally likely). These result from way has decided to enforce geographic constraints that they put on draw. explain how, by building pots level organized an S-curve, drawing first continental then teams,...
So far, path-dependent volatility models have drawn little attention from both practitioners and academics compared to local stochastic models. This is unfair: in this article we show that they combine benefits both. Like the model, are complete can fit exactly market smile; like models, produce rich implied dynamics. Not only that: given their huge flexibility, actually generate a much broader range of spot-vol dynamics, thus possibly preventing large mispricings, also capture prominent...
Since VIX options started trading in 2006, many researchers have tried to build a model that jointly and exactly calibrates the prices of S&P 500 (SPX) options, futures options. So far best attempts, which used parametric continuous-time jump-diffusion models on SPX, only produced an approximate fit. In this article we solve longstanding puzzle using completely different approach: nonparametric discrete-time model. Given future maturity T1, joint probability measure SPX at T2 = T1 + 30 days...
We present a new, simple knockout format for sports tournaments, that we call “Choose Your Opponent”, where the teams have performed best during preliminary group stage can choose their opponents subsequent stage. The main benefit of this is it essentially solves recently identified incentive compatibility problem when more than one from advance to stage, by effectively canceling risk tanking. This new design also makes exciting, giving strong perform at level, and fair, limiting collusion...
The uncertain volatility model has long attracted the attention of practitioners since it provides a worst-case pricing scenario for sell side. valuation financial derivative based on this requires solution fully nonlinear partial differential equation. One can only rely finite-difference schemes when number variables (that is, underlyings and path-dependent variables) is small (no more than three in practice). In all other cases, numerical seems out reach. paper we outline two accurate,...