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).

In collaboration with Prof. Aurélien Alfonsi, I am currently working on stochastic Volterra equations with jumps and non-Lipschitz coefficients. Recently, we have been able to derive conditions ensuring the existence and uniqueness of a non-negative strong solution. For further information, check out our latest preprint!

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

I then moved to Università di Padova (Italy) where I worked from 2021 to 2022 as an assegnista di ricerca and where I concentrated upon the theoretical aspects of CBI and related processes. 

Research interests 

I currently demonstrate interests in the following areas of research:

  • Stochastic processes.
  • Stochastic differential equations.
  • Stochastic Volterra equations (with jumps).
  • Hawkes processes and their variants/extensions.


  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.


  1. On non-negative solutions of stochastic Volterra equations with jumps and non-Lipschitz coefficients, with A. Alfonsi. ArXiv preprint, 2024.


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.
  • Decisions in Economics and Finance.


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