Guillaume Szulda

Hello World!

Since September 2022, I have been a post-doctoral researcher in Applied Mathematics at CERMICSÉcole Nationale des Ponts et Chaussées (France) where I have been working, in collaboration with Prof. Aurélien Alfonsi, on a solution theory for certain stochastic Volterra equations with jumps.

I obtained my Doctor of Philosophy at LPSMUniversité Paris Cité in December 2021 where I investigated, under the supervision of Prof. Claudio Fontana and in collaboration with Prof. Alessandro Gnoatto, financial applications of Continuous-state Branching processes with Immigration (henceforth CBI).

I then moved to Università di Padova (Italy) where I worked from 2021 to 2022 as an assegnista di ricerca and where I researched, alongside Prof. Claudio Fontana and Prof. Alessandro Gnoatto, the theoretical aspects of CBI-time-changed Lévy processes. 

Research interests 

Since my very first steps in the academic world, my research interests have never ceased to evolve but broadly speaking, they have been gravitating around financial applications of stochastic processes (mostly my doctoral research) and theoretical aspects of the latter (i.e. my post-doctoral research to this day). More particularly, I currently demonstrate interests in the following more specific areas of research:

  • Stochastic Volterra equations with jumps.
  • Stochastic time changes and their applications.
  • The interactions between stochastic processes and PDEs.
  • The mathematical aspects of Deep Learning and applications.


  1. Multiple yield curve modeling with CBI processes, with C. Fontana and A. Gnoatto, Mathematics and Financial Economics, 15:579–610, 2021.
  2. CBI-time-changed Lévy processes for multi-currency modeling, with C. Fontana and A. Gnoatto, Annals of Operations Research, 2022.
  3. CBI-time-changed Lévy processes, with C. Fontana and A. Gnoatto, Stochastic Processes and their Applications, 163:323–349, 2023.


Teaching and supervision

  • Tutoring of Mathematical Finance at graduate level at Univeristà di Padova (Fall 2021, 30 hours).
  • Regular substitute for the Probability course at undergraduate level at CERMICS–ENPC (Fall 2022 and 2023, 6 hours each).
  • Supervision of a research project at graduate level on option pricing at CERMICS–ENPC (Winter 2023).
  • Introduction to Data Analysis with Python at undergraduate level at CERMICS–ENPC (Spring 2023 and Winter 2024, 10H30 each).


In chronological order:

  • Annals of Operations Research.
  • AIMS Mathematics.
  • Risk–Journal of Energy Markets.
  • Journal of Computational and Applied Mathematics.
  • Mathematics and Computers in Simulation.
  • Electronic Journal of Probability.


For further information, you can reach me at guillaume.szulda(at)