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NATIXIS Prize
NATIXIS Prize for best MSc Thesis in Quantitative Finance - awarded annually
- NATIXIS Prize 2020: Thomas Hengstberger (supervisor: M. Pakkanen)
Increasing Venture Capital Investment Success Rates Through Machine Learning
NATIXIS Prize 2018: Redwan Bouizi (supervisors: D. Bloch and T. Cass)
Financial Times Series Forecasting Using Wavelet Transformation and Reservoir Computing Paradigm
NATIXIS Prize 2017: Aitor Muguruza Gonzalez (supervisors: C. Martini, B. Horvath, A. Jacquier)
Rough volatility: characterisation of VIX in rBergomi and extension to numerical schemes
NATIXIS Prize 2015: Shuren Tan (supervisors: P. Austing and D. Brigo)
Reconstructing the joint probability distribution from basket prices
NATIXIS Prize 2014: Johannes Heinrich
Reinforcement Learning for Algorithmic trading
NATIXIS Prize 2013: Jens Olov Michael Ronnqvist (supervisor: J.-F. Chassagneux)
Default Contagion in Financial Networks
Stochastic Analysis Prize
Stochastic Analysis Prize for best performance in stochastic analysis modules - awarded annually
- 2021-22: Kexin Xie
- 2020-21: Romain Gajewski and Qiqi Ouyang
- 2019-20: Paul Chuc
- 2018-19: Justin Gwee
- 2017-18: Kees Groeneweg
- 2016-17: Stefan Curtress
Emma Hubert
Photo Credit to Sameer A. Khan/Fotobuddy
contact: eh3988 (at) princeton.edu
Since September 2021, I am an Assistant Professor in the ORFE Department at Princeton University . The research in Applied Mathematics I am conducting with my co–authors is a continuous path oscillating between Contract Theory, Nash Equilibria and Mean–Field Games, using recently introduced and state of the art tools in stochastic control. We study applications to Energy, Epidemiology and Finance.
Join our Workshop!
Together with Professor Ludovic Tangpi (ORFE, Princeton), we are organising a Workshop on Stochastic Control & Financial Engineering: Methods and Numerics , in Princeton in June 20-23, 2023. In addition to the great line-up of experienced researchers, we will select 20 junior researchers (PhD or postdoc) for a talk or poster presentation! So feel free to apply to speak here !
Before joining the ORFE department at Princeton , I was a Research Associate in the Department of Mathematics & CFM - Imperial Institute of Quantitative Finance at Imperial College, London. I taught the course on Market Microstructure in the MSc Mathematics and Finance .
From October 2017 to September 2020, I was a PhD student at LAMA Laboratory , Université Gustave Eiffel , under the supervision of Romuald Elie (LAMA) and Dylan Possamaï ( Department of Mathematics, ETH Zürich ). I defended my PhD thesis in December 2020. My thesis was awarded the `` Prix de thèse SMAI-GAMNI 2021 '' , the `` Prix de thèse Paris-Est Sup 2021 '' and the `` Prix Paul Caseau 2021 ''.
During my PhD, I was also a consulting PhD for the R&D Department of EDF , a Teaching Assistant at ENSAE Paris–Tech in Microeconomics (1st year of Master's degree), and a representative of the PhD students of the Doctoral School MSTIC .
More technical details can be found on my CV . You can also visit my Google Scholar or Researchgate pages. My personality and soft skills (qualities and defects of my qualities) are surprinsingly well detailed here .
Presentation of my work, in 3 or 5 minutes
Prix de thèse Paris-Est Sup 2021
STUOD Research Associate
Imperial College London
IMPERIAL COLLEGE LONDON
November 2020 - present
April 2020 - October 2020
STUOD Research Assistant
October 2016 - March 2020
Mathematics of Planet Earth Centre for Doctoral Training
Project title: Nonlinear Stochastic Transport Partial Differential Equations: Well-posedness and Applications to Data Assimilation
Supervisor: Prof. Dan Crisan
Co-supervisors: Prof. Peter Jan van Leeuwen, Prof. Roland Potthast
Defended: July 2020
IMPERIAL COLLEGE LONDON & UNIVERSITY OF READING, 2015-2016
Master of Research (passed with distinction)
Thesis title: Asymptotic Results in Approximate Nonlinear Filtering with Application in Data Assimilation
Advisors: Dr. Jochen Bröcker and Prof. Dan Crisan
UNIVERSITY OF BUCHAREST
Faculty of Mathematics and Computer Science
Master in Applied Mathematics in Finance, Insurance and Biostatistics, June 2015
Thesis title: Stochastic filtering: the 1-dimensional Kalman-Bucy filter
Advisor: Prof. Lucian Beznea
Bachelor of Science in Mathematics, June 2013
Programming experience: Python, Fortran
English (advanced)
French (intermediate)
Romanian (native)
Graduate Teaching Assistant for the following courses:
Dynamical Systems II: Numerical Stochastic Differential Equations, within the Mathematics of Planet Earth Centre for Doctoral Training (2017-2018)
Real Analysis, Imperial College London (autumn 2016-2018)
Complex Analysis, Imperial College London (spring 2017-2018)
Mario Ghossoub
- Publications
- Working Papers
- About Waterloo
- Faculties & academics
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Associate Professor of Statistics and Actuarial Science
Phd, fsa, fcia, cera, frm.
Research Interests: Insurance, Risk Measurement & Management, Decision Theory, Ambiguity and Model Uncertainty, Behavioral Economics, Quantitative Behavioral Finance, Mathematical Finance, Risk Theory
Professional Designations:
- Fellow of the Society of Actuaries (FSA)
- Fellow of the Canadian Institute of Actuaries (FCIA)
- Chartered Enterprise Risk Analyst (CERA)
- Financial Risk Manager (FRM) - Certified by the Global Association of Risk Professionals
Academic Experience:
- University of Waterloo - Department of Statistics and Actuarial Science - Associate Professor, with tenure (As of July 2022)
- University of Waterloo - Department of Statistics and Actuarial Science - Assistant Professor (May 2017 - June 2022)
- Concordia University - Department of Mathematics and Statistics - Affiliate Assistant Professor (As of Sept. 2016)
- Imperial College London - Assistant Professor of Finance (Aug. 2013 - Aug. 2016)
- Université de Montréal - SSHRC Postdoctoral Fellow - Department of Economics (Aug. 2011 - Jul. 2013)
- University of Waterloo, Ph.D. - Actuarial Science (2008 - 2011)
- University of Michigan, M.S. - Mathematics (2005 - 2006)
- Institut d'Études Politiques de Paris (Sciences Po), Cycle International d'Études Politiques (2004 - 2005)
- Notre Dame University, B.S. - Actuarial Science - Summa Cum Laude (2000 - 2004)
- MITACS Accelerate (2021-2022)
- NSERC Discovery Grant (2018-2023), Natural Sciences and Engineering Research Council of Canada
- Society of Actuaries / The Actuarial Foundation Individual Grant - Managing Model Uncertainty in Insurance-Linked Securities (with Enrico Biffis )
Honors and Awards:
- Excellent Teaching Performance Prize (2014 - 2015) - Imperial College London
- SSHRC Postdoctoral Fellowship (2011 - 2013) - Social Sciences and Humanities Research Council of Canada (SSHRC)
- James C. Hickman Fellowship (2010 - 2011) - Society of Actuaries (SOA)
- NSERC Doctoral Scholarship (2008 - 2011) - Natural Sciences and Engineering Research Council of Canada (NSERC)
- President's Scholarship (2008-2011) - University of Waterloo
- WatRISQ Doctoral Scholarship (2010 - 2011) - University of Waterloo's Research Institute in Insurance, Securities and Quantitative Finance
- Mathematics Graduate Experience Award (Fall 2010) - University of Waterloo
- Graduate Scholarship (Winter 2010) - University of Waterloo
- Statistics and Actuarial Science Chair's Award (Fall 2009) - University of Waterloo
- IQFI Doctoral Scholarship (2009) - University of Waterloo's Institute for Quantitative Finance and Insurance
- Fulbright Fellowship (2005 - 2006) - U.S. Department of State - Bureau of Cultural Affairs
- É mile Boutmy Scholarship (2004 - 2005) - Institut d'Études Politiques de Paris - Academic Excellence Scholarship
- Dean's List of Distinguished Students and Tuition Scholarship (2000 - 2004) - Notre Dame University
Visiting Positions:
CREST - ENSAE, Department of Finance and Insurance (June & July 2022)
Centre d'Economie de la Sorbonne, Department of Microeconomic Theory (June 2022)
KU Leuven - Faculty of Economics and Business, Department of Accountancy, Finance & Insurance, Actuarial Research Group (May & June 2022)
Université Catholique de Louvain - Institute of Statistics, Biostatistics and Actuarial Sciences (April and May 2022)
University of Montreal - CIREQ (October & November 2019)
- University of Amsterdam - Faculty of Economics and Business - Section Quantitative Economics (September 2019)
Chinese University of Hong Kong - Dept. of Systems Engineering and Engineering Management (April 2019)
Northwestern University - Visiting Postdoctoral Fellow - Center of Mathematical Studies in Economics and Management - Dept. of Managerial Economics and Decision Sciences - Kellogg School of Management (Fall 2012)
Université de Montréal - Dept. of Economics (Sept. 2010)
Bocconi University - Dept. of Decision Sciences (Jul. 2010)
Talks and Seminars:
Equilibria in Reinsurance Markets: Monopolistic vs. Competitive Pricing - Concordia University (Dec. 2022)
Bowley vs. Pareto Optima in Reinsurance Contracting - 24th International Congress on Insurance: Mathematics and Economics (Jul. 2021), Centre Interdisciplinaire en Modélisation Mathématique de l'Université Laval (Feb. 2022), Workshop on Risk Measures and Uncertainty in Insurance at the House of Insurance of the University of Hannover (May 2022), 11th Conference in Actuarial Science & Finance on Samos (May 2022), KU Leuven (June 2022), Amsterdam School of Economics (June 2022)
No-Betting Pareto Optima - Bielefeld Stochastic Afternoon: Math Finance session, University of Bielefeld (Apr. 2021), 2021 Annual Meeting of the American Risk and Insurance Association (Aug. 2021), 48th Annual Seminar of the European Group of Risk and Insurance Economists (Sept. 2021)
Bilateral Risk Sharing with Heterogeneous Beliefs and Exposure Constraints - 4th World Risk and Insurance Economics Congress (WRIEC 2020), 55th Actuarial Research Conference (ARC 2020), Ryerson University (October 2020), University of Connecticut (November 2020)
Optimal Reinsurance with Multiple Reinsurers: D istortion Risk Measures, Distortion Premium Principles, and Heterogeneous Beliefs - 6th Annual Workshop on Insurance Mathematics (February 2020), Online International Conference in Actuarial Science, Data Science and Finance (April 2020)
Optimal Insurance with an Upper Limit on the Retained Loss - 23rd International Congress on Insurance: Mathematics and Economics (July 2019)
Bilateral Risk Sharing with Heterogeneous Beliefs and Exposure Constraints - Université Laval (March 2019), Hong Kong University (April 2019), 46th Annual Seminar of the European Group of Risk & Insurance Economists (September 2019 - Nominated for the SCOR/EGRIE Best Paper Award), Quantact Research Seminar at Université du Québec à Montréal (October 2019)
Optimal Insurance with Belief Heterogeneity (July-October 2018) - 22nd International Congress on Insurance: Mathematics and Economics (IME 2018), 2nd International Workshop on Optimal (Re)Insurance at the Central University of Finance and Economics in Beijing, 53rd Actuarial Research Conference (ARC 2018), University of Amsterdam, Western University
Optimal Insurance without the Nonnegativity Constraint on Indemnities: Ambiguity and Belief Heterogeneity (December 2017) - 2017 CEAR/MRIC Behavioral Insurance Workshop
Optimal Insurance: Belief Heterogeneity, Ambiguity, and Arrow's Theorem - University of Waterloo, Dept. of Statistics & Actuarial Science (January 2017), Western University, Dept. of Statistical & Actuarial Sciences (December 2016), University of Michigan, Financial & Actuarial Mathematics Seminar (April 2016)
Insurer Ambiguity and the Demand for Insurance - 2014 CEAR/MRIC Behavioral Insurance Workshop (December 2014)
Cost-Efficient Contingent Claims under Nonlinear Pricing (June 2014 ) - University of Manchester, Economic Theory Seminar (April 2014), Risk, Uncertainty and Decisions Conference (May 2014), Foundations of Utility and Risk Conference (June 2014), 8th World Congress of the Bachelier Finance Society (June 2014), 20th Conference of the International Federation of Operational Research Societies (July 2014), 2014 European Meeting of the Econometric Society (August 2014)
Arrow's Theorem of the Deductible with Heterogeneous Beliefs - Cass Business School, Faculty of Actuarial Science and Insurance (March 2014)
Belief Heterogeneity in the Arrow-Borch-Raviv Insurance Model - University of British Columbia (April 2012), 2013 EGRIE Meeting (September 2013)
Cost-Efficient Contingent Claims under Knightian Uncertainty: A Distributional Analysis - 2013 Quantitative Behavioural Finance Conference - University of Waterloo (April 2013), 2013 Mathematical Finance Days - Institut de Finance Mathématique de Montréal (May 2013), 13th SAET Conference on Current Trends in Economics (July 2013)
Belief Heterogeneity in the Arrow-Borch-Raviv Insurance Model, and Some Extensions - RUD 2012, Northwestern University (June 2012), HEC Montréal - Finance (September 2012), Imperial College Business School - Finance Group (December 2012), Risk Theory Society Annual Seminar (April 2013)
On a Class of Monotone Comparative Statics Problems under Heterogeneous Uncertainty, with an Application to Insurance - University of Michigan (February 2012), Concordia University (March 2012), Université de Montréal (November 2011)
Contracting for Innovation under Knightian Uncertainty (Oct. 2011) - Université de Montréal
Contracting under Heterogeneous Beliefs (Apr. 2011) - University of Waterloo
Cooperative Game Theory: A Mathematical Introduction (Mar. 2010) - Graduate Student Seminar - University of Waterloo
Free Will, Uncertainty and the Foundations of Utility: An Introduction to Decision Theory (Oct. 2009) - Graduate Student Seminar - University of Waterloo
Static Portfolio Choice under Cumulative Prospect Theory (Apr. 2009) - University of Waterloo (April 2009), IAREP/SABE 2009 conference (July 2009)
The Omega Measure and its Generalization (Nov. 2008) - University of Waterloo
Dual Duration and Liability-Matching Portfolios (Mar. 2007) - Investment Consulting Group, Hewitt Associates, Toronto
University of Waterloo (Spring 2021), Topics in Risk Sharing and (Re)Insurance (Graduate)
University of Waterloo (Winter 2021), Finance II (Graduate)
University of Waterloo (Spring 2019, Spring 2020, Spring 2021), Financial Mathematics III (Graduate)
University of Waterloo (Winter 2019), Topics in Robust Optimal (Re)Insurance Design (Graduate)
University of Waterloo (Winter 2018, Fall 2018, Winter 2020, Spring 2020), Mathematics of Financial Markets (Undergraduate)
University of Waterloo (Fall 2017), Economics (Master's of Actuarial Science program)
Imperial College London (Autumn 2013 & Autumn 2014), Stochastic Calculus for Finance (Master's)
Imperial College London (Autumn 2013 & Autumn 2014), Stochastic Calculus (Master's)
Imperial College London, (September 2014), Application of MATLAB for Finance (Master's)
Imperial College London (Summer 2014), Derivatives (Master's)
Imperial College London (Autumn 2013), Quantitative Methods (Master's)
Université de Montréal (Spring 2012), Theory of Interest / Mathématiques Financières (Undergraduate)
University of Waterloo (Fall 2009 and Fall 2010), Teaching Assistant (TA) - Theory of Probability (PhD)
University of Waterloo (Spring 2009), TA - Loss Models II (PhD)
University of Waterloo (Winter 2008), TA - Corporate Finance (Master’s)
University of Waterloo (Winter 2008), TA - Mathematical Models in Finance (PhD)
University of Michigan (Fall 2006) - Support class on Financial Mathematics for Exam FM of the Society of Actuaries
University of Michigan (Winter 2006) - Support class on Probability and Statistics for Exam P of the Society of Actuaries
Student Supervision:
Shuangjian Zhang - Postdoctoral Fellow, University of Waterloo
Corina Birghila - Postdoctoral Fellow, University of Waterloo
Michael Zhu - Current PhD student, University of Waterloo
Benxuan Shi - Current PhD student, University of Waterloo
Hongda Hu - Current PhD student, University of Waterloo
Oma Coke - Budget-Constrained Optimal Insurance with an Upper Limit on the Insurer's Exposure - Master's Thesis, University of Waterloo
Shon Czinner - Portfolio Choice under RDEU, Yaari, and EUT - Master's Thesis, University of Waterloo
Yu Chen - Measuring Model Risk in Risk Analytics - Master's Thesis, University of Waterloo
Shenglong Li - Pareto-Optima under Rank-Dependent Utility - Master's Thesis, University of Waterloo
Jiaye Su - Portfolio Choice under Cumulative Prospective Theory - Master's Thesis, University of Waterloo
Michael Zhu - Cost-Efficient Contingent Claims with Choquet pricing - Master's Thesis, University of Waterloo
Harris Chen - Undergraduate research student, University of Waterloo
Qisi Deng - Undergraduate research student, University of Waterloo
Michael Zhu, Loss Aversion for Decision under Risk - Undergraduate research project, University of Waterloo
Hao Han, Pricing American Options by Least Squares Regression - Master's Thesis, Imperial College London
Grigory Budanov, Complex Adaptive Systems - Master's Thesis, Imperial College London
Weiqiong Shi, Counterparty Risk and Collateralization of Longevity Swaps - Master's Thesis, Imperial College London
Martina Skerlik, Solvency II - Master's Thesis, Imperial College London
Michael Tang, Inflation Hedging Through Asset and Sector Rotation - Master's Thesis, Imperial College London
Rebecca Stables, Pensions as an Asset Class - Master's Thesis, Imperial College London
Industry Experience:
The Great-West Life Assurance Company - Toronto, Canada (Oct. 2015 - Apr. 2017) - Director, ERM - Risk Modeling
Hewitt Associates - Toronto, Canada (Feb. 2007 - Dec. 2007) - Actuarial Analyst
Watson Wyatt Worldwide - New York City, USA (Summer 2006) - Actuarial Analyst
Hewitt Associates - Paris, France (Feb. 2005 - June 2005) - Actuarial Analyst
Refereeing Activity: Econometrica, Economic Theory, Journal of Economic Theory, Journal of Economic Dynamics and Control, Management Science, Mathematics of Operations Research, Operations Research, Operations Research Letters, Operational Research, Information Systems and Operational Research (INFOR), Journal of Applied Probability, Mathematical Finance, Finance and Stochastics, Mathematics and Financial Economics, Quantitative Finance, SIAM Journal on Financial Mathematics, Applied Mathematics and Optimization, Journal of Mathematical Economics , B.E Journal of Theoretical Economics, Journal of Risk and Insurance , Insurance: Mathematics and Economics, ASTIN Bulletin, Scandinavian Actuarial Journal, North American Actuarial Journal, European Actuarial Journal, Decisions in Economics and Finance, Economics Bulletin, European Journal of Finan ce, International Review of Economics and Finance, Review of Behavioral Finance, Ma thematical Social Sciences, Handbook of Insurance, Journal of Applied Probability, Journal of Computational and Applied Mathematics, Natural Sciences and Engineering Research Council of Canada (NSERC), Swiss National Science Foundation
Erdös number: 5
- Paul Erdös -> Peter C. Fishbrun -> Eric S. Maskin -> John G. Riley -> Edmund S. Phelps -> Mario Ghossoub
- Paul Erdös -> Zoltan Furedi -> Felix Lazebnik -> Wembo V. Li -> Carole Bernard -> Mario Ghossoub
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COMMENTS
Project and thesis ... You will find below a large sample of past theses, covering wide range of topics. ... MSc Maths Finance News.
NATIXIS Prize for best MSc Thesis in Quantitative Finance - awarded annually ... MSc Mathematics and Finance ranks 5 highest UK-based programme in the 2022
Sep 2022 – Present. Imperial College London, Department of Mathematics. London, United Kingdom. Reader in Data Science and Quantitative Finance (on leave).
... at Université Paris-Cité in the Mathematical Finance team of the Laboratoire ... I was a Research Associate (postdoc) in Mathematics at Imperial College
The research in Applied Mathematics I am conducting with my co–authors is a ... Imperial Institute of Quantitative Finance at Imperial College, London.
IMPERIAL COLLEGE LONDON & UNIVERSITY OF READING, 2015-2016. Mathematics ... Master in Applied Mathematics in Finance, Insurance and Biostatistics, June 2015.
MRes in Financial ComputingMathematics and Computer ScienceDistinction. 2017 - 2018. Joint degree between UCL and Imperial College London in the EPSRC
2016); Imperial College London - Assistant Professor of Finance (Aug. ... Mathematics Graduate Experience Award (Fall 2010) - University of Waterloo.
Statistics, and the Department of Mathematics, Imperial College London, ... Rama Cont is Professor of Mathematical Finance at the University of Oxford and.
Rama Cont is the Professor of Mathematical Finance at the University of Oxford. He is known for contributions to probability theory, stochastic analysis and