Welcome to the Website of the

FINANCIAL MODELING GROUP

The Ecole Polytechnique Financial Modeling Group, headed by Professor Nicole El Karoui, is located within the Center for Applied  Mathematics, a research center for applied mathematics jointly run by Ecole Polytechnique and CNRS (French National Center for Scientific Research).  It is an interdisciplinary research group involved in developing stochastic models of financial markets. The group co-organizes the Bachelier Seminar, a weekly research seminar on mathematical finance, and a monthly seminar for market professionals, the Petit Dejeuner de la Finance.

Weekly seminar / Seminaire Hebdomadaire: Seminaire Bachelier.
 

Groupe de travail hebdomadaire.

TOPICS OF RESEARCH:
 

• Pricing and hedging of  derivative securities.
• Term structure of interest rates.
• Inverse problems in financial modeling and model calibration..
• Economic systems with interacting agents/ agent-based market models.
• Risk measurement methodologies: Value at Risk and related topics.
• Monte Carlo methods in finance.
• Credit risk modeling and credit derivatives.
  

MEMBERS:

• Jocelyne Bion Nadal.
  
• Nicolas Cazanave.
  
• Rama Cont 
  
• Stephane Crepey.
  
• Nicole El Karoui.
  
• Emmanuel Gobet
  
• Julien Hok
  
• Jean Philippe Lemor.
  
• Asma Meziou.
  
• Benoit Pochart.
  
• Moeiz Rouis.
  
• Peter Tankov
  
• Ekaterina Voltchkova
  

  
  

  Secretary:            Jeanne Bailleul  ( jeanne@cmapx.polytechnique.fr ).
   
  TELEPHONE:       01 69 33 41 50.
  FAX:                       01 69 33 30 11.

  ADDRESS:

  Financial Modeling Group
  Centre de Mathématiques Appliquées
  Ecole Polytechnique
  91128 Palaiseau, FRANCE.

  Subway Access : RER B: Massy Palaiseau + Bus 91-06 (Bus stop: Ecole Polytechnique)
                                     or   Lozere (suivre les panneaux).
   

  ---

   Groupement de recherche CNRS: METHODES QUANTITATIVES EN FINANCE.

  ---

  Page maintained by: Rama Cont