Julien Guyon set up a new chair named “Futures of Quantitative Finance” together with BNP Paribas and Université Paris Cité, for an initial period of three years (2023-2025). The successful kickoff event, which was very well attended, took place on March 8 at the BNP Paribas offices in Paris in the presence of Anthony Briant, director of École des Ponts ParisTech, Jérôme Lesueur, director for research, and Tony Lelièvre, director of CERMICS. The researchers involved at CERMICS include Aurélien Alfonsi, Julien Guyon (Principal Investigator), and Benjamin Jourdain; the PI at UPC is Huyên Pham. By partnering with BNP Paribas and UPC on this new chair, École des Ponts ParisTech will strengthen its expertise in quantitative finance, building on a rich history of teaching and research in financial mathematics and risk modeling and management (dating back to the end of the 1980s). The chair will investigate several domains:
- Machine learning in finance (deep learning, reinforcement learning, generative models, etc.)
- Volatility and dependence modeling, model calibration, and model risk
- XVA analysis: models and computational methods
- Numerical methods for high dimensional problems
