Invited lectures:

  • KAUST online course, April 2021 (slides)
  • CFM-Imperial Distinguished Lectures, London, November 2016 (slides)
  • Summer school on interactions between probabilities and PDEs, LIASFMA, AMSS, Beijing, July 2013
  • LARSyS Lecture Series in Engineering and Mathematics II, Lisbon, January 2012
  • Bachelier Course, with J.-M. Lasry, Institut Henri Poincaré, January 2009.

Talks at conferences and seminars:

Future:
  • CFM-Imperial Workshop on Market Microstructure, London, December 2023
  • QRFE workshop, Durham University Business School, October 2023
  • London-Paris Bachelier Workshop on Mathematical Finance, London, September 2023
Past:
  • SAMM Seminar, Université Paris 1 Panthéon-Sorbonne, June 2023
  • Frontiers in Quantitative Finance Seminar, London, April 2023
  • Séminaire Bachelier, Paris, March 2023
  • 16h Financial Risks International Forum, Paris, March 2023
  • ​23rd MathFinance Conference, Frankfurt (online), March 2023
  • Math. Finance Seminar, Bielefeld, November 2022
  • SAMM Seminar, Université Paris 1 Panthéon-Sorbonne, June 2022
  • Una Random Workshop, Bologna (online talk), June 2022
  • Machine Learning and Mean-Field Games, IMSI Chicago (online talk), May 2022 
  • ML and Quant Finance workshop at Oxford Man Institute, Oxford (online talk), February 2022
  • King's College London Financial Mathematics Seminar, London (online talk), January 2022
  • Mean-field reinforcement learning, King's College London and Université de Paris (online talk), October 2021
  • Advances in Stochastic Analysis for Handling Risks in Finance and Insurance, CIRM, Marseille, September 2021
  • ​ECMI 2021 virtual conference, April 2021
  • Frontiers in Quantitative Finance Seminar (Oxford Seminar), London, February 2020
  • Market microstructure: confronting many viewpoints, London, December 2019
  • Dynamics, Equations and Applications, Krakow, September 2019
  • Bachelier Seminar, IHP, Paris, June 2019
  • Workshop "Finance Mathematique, Probabilités Numériques et Statistiques des Processus", LPSM, Paris, May 2019
  • Huawei/FSMP joint seminar, Paris, September 2018​
  • Groupe de Travail: Finance mathématique, probabilités numériques et statistique des processus, INRIA-P7-Ponts, November 2017
  • Mathematical and Computational Finance Seminar, Oxford, November 2017
  • Annual Meeting of ASSET 2017, Algiers, October 2017
  • International Conference on Computational Finance, Lisbon, September 2017
  • Journée SMAI-MODE : Optimisation, Jeux et Economie, Paris, May 2017
  • CSEF Seminar, Naples, March 2017
  • SAMM Seminar, Université Paris 1, March 2017
  • Labex ReFi seminar, ESCP, Paris, February 2017
  • Market microstructure: confronting many viewpoints, Paris, December 2016
  • ​SIAM Conference on Financial Mathematics & Engineering, Austin, November 2016
  • Bachelier Seminar, IHP, Paris, October 2016​
  • Summer Workshop in Economic Theory (SWET), Paris 1, June 2016
  • Applied Mathematics Seminar, Collège de France, Paris, June 2016
  • CFM Seminar, Paris, May 2016
  • Workshop "Économie des nouvelles données", Paris-Dauphine, November 2015
  • Berlin Seminar on Stochastic Analysis and Stochastic Finance, Humboldt University, Berlin, November 2015
  • Séminaire thématique du LIED, June 2015
  • Séminaire Economie Théorique, Paris 1, April 2015
  • Bachelier Seminar, IHP, Paris, January 2015
  • Market microstructure: confronting many viewpoints, Paris, December 2014
  • SIAM Financial Mathematics, Chicago, November 2014
  • New Trends in Optimal Control, Tours, June 2014
  • Stochastic Analysis in Finance and Insurance, Oberwolfach, May 2014
  • Global Derivatives, Amsterdam, May 2014
  • Workshop "Finance Mathematique, Probabilités Numériques et Statistiques des Processus", LPMA, Paris, May 2014
  • Bachelier Seminar, IHP, Paris, March 2014
  • Workshop Trading and Microstructure, Collège de France, January 2014​
  • Imperial College London Finance & Stochastics seminar, October 2013
  • Les Nouveaux Outils du Développement Durable, Université Paris Dauphine, October 2013
  • Global Derivatives 2013, Amsterdam, April 2013
  • Advances in Algo and HF trading, University College London, April 2013
  • 6th Financial Risks International Forum, March 2013​
  • Bachelier Seminar, IHP, March 2013
  • 5th Hedge Fund Research Conference (Discussant), January 2013​
  • Friday Seminar in Economics (organized by Roger Guesnerie), Collège de France, November 2012
  • Workshop on Stochastic and PDE Methods in Financial Mathematics, Yerevan State University / American University of Armenia, September 2012
  • SIAM Conference on Financial Mathematics and Engineering, Minneapolis, July 2012
  • ​Groupe de Travail "Mathématiques de la décision", GREMAQ, Toulouse, April 2012 
  • Seminar "Equazioni Differenziali e Applicazioni", Padova, February 2012 
  • Groupe de Travail "Modèles stochastiques en finance", Ecole Polytechnique, February 2012
  • Seminar "Évaluation d'actifs financiers et arbitrage", ENSAE, December 2011
  • Workshop Mathfi, CERMICS, Ecole Nationale des Ponts et Chaussées, November 2011
  • Workshop "Calcul des Variations", Ceremade, Université Paris-Dauphine, November 2011
  • Séminaire Parisien d'optimisation, October 2011
  • European Conference on Complex Systems, Satellite workshop on Current trends in game theory, Vienna, September 2011
  • Workshop "Trading and Microstructure", Collège de France, September 2011
  • Informs Applied Probability Society Conference, Stockholm, July 2011
  • Finance Seminar, Ecole Centrale Paris, June 2011
  • Workshop on Mean Field Games, Rome, May 2011
  • ​Bachelier Seminar, Paris, April 2011
  • Workshop "Probabilités Numériques et Finance", Paris, March 2011
  • Financial Risks international Forum on Long Term Risks, Paris, March 2011
  • International Research Forum, The Hong Kong Polytechnic University, Hong Kong, December 2010
  • Workshop "Horizon Maths", EADS, November 2010
  • Workshop "Modélisation", Paris-7, November 2010
  • Workshop "Analyse non linéaire et EDP", ENS/P6/P7, November 2010​
  • Seminar of the Laboratoire Jacques-Louis Lions, P6, October 2010
  • Minisymposium "Emerging Topics in Dynamical Systems and Partial Differential Equations" - DSPDE 2010, Barcelona, June 2010
  • Colloquium "Le financement du long terme : acteurs publics et investisseurs privés face aux nouveaux besoins d'investissement", Sciences-Po Aix-en-Provence, May 2010.
  • Printemps de la Chaire Finance et Développement Durable et du laboratoire FIME, April 2010
  • X-HEC seminar in Economic Theory, Ecole Polytechnique, February 2010
  • Workshop "Economie du changement climatique", Collège de France, February 2010.
  • Workshop "Weather Derivatives and Risk", Humboldt University, January 2010.
  • Workshop on new mathematical directions in economic modelling, University of Chicago, January 2010.
  • Workshop "Economie du changement climatique", Collège de France, November 2009.
  • Workshop "Défis actuels de la finance", Université Paris XIII, November 2009
  • Workshop "Calcul des Variations", Ceremade, Université Paris-Dauphine, November 2009.
  • Workshop "Trading and Microstructure", Collège de France, October 2009
  • Workshop "Kinetic and mean-field models in Socio-Economic Sciences", Edinburgh, July 2009.
  • Workshop "Optimization, Transport and Equilibrium in Economic”, Ecoles des Mines, July 2009
  • Printemps de la Chaire Finance et Développement Durable, Palais Brongniart, May 2009
  • CEPN/LAGA Seminar, Université Paris XIII, March 2009
  • Applied Mathematics Seminar, Collège de France, December 2008
  • Workshop "Trading and Microstructure", Collège de France, December  2008
  • ​Printemps de la Chaire Finance et Développement Durable, Université Paris-Dauphine, March 2008.

Supervisor for PhD Students

  • Jiang Pu, who graduated from Ecole Polytechnique and ENSAE, co-supervised by H. Pham (Université Paris-Diderot). The PhD defense occurred on Sept 25th 2017. He was hired as an assistant professor in the engineering school ESILV.
  • Iuliia Manziuk, who graduated from Paris School of Economics, HSE University, and Lomonosov Moscow State University. The PhD defense occurred on Feb 10th 2020. She was hired as a post-doc at Ecole Polytechnique and awarded the prize "Rising Star in Quant Finance" (Risk). She then decided to join a hedge fund.
  • Philippe Bergault, who graduated from Université Paris Dauphine and Université Paris-Diderot (M2MO). The PhD defense occurred on May 25th 2021. He was hired as an Assistant Professor at Université Paris Dauphine - PSL.
  • Alexis Bismuth, who graduated from UPMC and Université Paris-Saclay. The PhD defense occurred on December 7th 2022. He was hired as a consultant.
  • Fayçal Drissi, who graduated from ENSIMAG. He has spent half of his time at Oxford Man Institute as a visiting student over the course of his PhD. The PhD defense occurred on May 5th 2023. He was hired as a post-doctoral student at Oxford University.
  • Rengim Cetingoz, who graduated from Université Paris 1 Panthéon-Sorbonne.
  • Hamza Bodor, who graduated from Ecole des Ponts and ENS Paris-Saclay (M2 MVA).
  • Louis-Amand Gérard, who graduated from Université Paris 1 Panthéon-Sorbonne (also, and mainly, supervised by Eduardo Abi-Jaber)

Member of PhD defense committees

  • Pietro Fodra: "Modeling of the price microstructure and applications of stochastic control to algorithmic trading", 2015 (committee members: F. Abergel, A. Cartea, O. Guéant, C.-A. Lehalle, M. Ludkovski, H. Pham, M. Rosenbaum).
  • Pierre Blanc: "Effets de rétroaction en finance : applications à l'exécution optimale et aux modèles de volatilité", 2015 (committee members: A. Alfonsi, J.-P. Bouchaud, M. Crouhy, J. Gatheral, O. Guéant, B. Lapeyre, M. Rosenbaum).
  • Jiang Pu: "Contrôle optimal et applications en finance: exécution optimale, couverture d'options et choix de portefeuille", 2017 (committee members: A. Alfonsi, J.-F. Chassagneux, O. Guéant, J.-M. Lasry, H. Pham, A. Schied).
  • Antoine Kornprobst: "Financial crisis forecasts and applications to systematic trading strategies", 2017 (commitee members: M. Benzi, R. Cerqueti, C. Chorro, R. Douady, H. Gatfaoui, O. Guéant, S. Marmi, P. de Peretti).
  • Clément Goulet: "Signal Extractions with Applications in
    Finance", 2017 (commitee members: J.-F. Aujol, C. Chorro, H. Gatfaoui, O. Guéant, C. Merhy, P. de Peretti, G. Rotunda).
  • Marc Abeille: "Exploration-Exploitation with with Thompson sampling in linear systems", 2017 (commitee members: S. Agrawal, O. Guéant, A. Lazaric, R. Munos, E. Sérié, C. Szespevari).
  • Jean-Luc Coron: "Quelques exemples de jeux à champ moyen", 2017 (commitee members: Y. Achdou, O. Guéant, J.-M. Lasry, P.-L. Lions). I was one of the reviewer.
  • Fanirisoa Rahantamialisoa: "Integration of VIX information in GARCH option pricing models”, 2018 (commitee members: G. Barone Adesi, M. Billio, C. Chorro, O. Guéant, J.-P. Ortega, P. de Peretti).
  • Pamela Saliba: "High-frequency trading: Statistical analysis, modelling and regulation", 2019 (commitee members: F. Abergel, J.-P. Bouchaud, A. Chaboud, N. El Karoui, A. Givry, O. Guéant, S. Laruelle, C.-A. Lehalle, F. Lillo, M. Rosenbaum).
  • Othmane Mounjid: "Contrôle optimal, apprentissage statistique et modélisation du carnet d'ordres", 2019 (commitee members: B. Bouchard, J.-P. Bouchaud, O. Guéant, X. Guo, S. Laruelle, C.-A. Lehalle, E. Moulines, G. Pagès, M. Rosenbaum). I was one of the reviewers.
  • Iuliia Manziuk: "Optimal control and machine learning in finance: contributions to the literature on optimal execution, market making, and exotic options", 2020 (commitee members: A. Cartea, B. De Meyer, O. Guéant, C. Hillairet, C.-A. Lehalle, C. Hillairet, H. Pham, M. Rosenbaum).
  • Thibault Bonnemain: "Jeux en champ moyen quadratique avec coordination négative", 2020 (commitee members: C. Appert-Rolland, T. Gobron, O. Guéant, M.-O. Hongler, J.-P. Nadal, F. Santambrogio, D. Ullmo). PhD in Physics.
  • Johann Nicolle: "Some contributions to Bayesian and computational learning methods to portfolio selection problems", 2020 (commitee members: C. Ceci, C. de Franco, I. Kharroubi, H. Pham, M.-C. Quenez, A. Sulem). I was one of the reviewers.
  • Thibault Soler: "Combining Robust Covariance Estimates and New Dependency Measures: An innovative Approach to Portfolio Allocation", 2021 (commitee members: M. Billio, C. Chorro, S. Darolles, P. De Peretti, J.-D. Fermanian, O. Guéant, E. Jay, G. Rotundo).
  • Bastien Baldacci: "Quantitative finance at the microstructure scale: algorithmic trading and regulation", 2021 (commitee members: O. Guéant, S. Laruelle, G. Loeper, M. Ludkovski, T. Mastrolia, H. Pham, M. Rosenbaum, N. Touzi).
  • Philippe Bergault: "Mathematical modeling for market making and related problems of financial liquidity: a song of assets and traders", 2021 (commitee members: E. Abi Jaber, B. Bouchard, A. Cartea, B. De Meyer, R. Dumitrescu, O. Guéant, S. Laruelle, M. Rosenbaum).
  • Marc Chataigner: "Quelques contributions de l'apprentissage statistique à la finance : Volatilité, nowcasting, compression de CVA.", 2021 (commitee members: S. Crépey, C. Cuchiero, O. Guéant, A. Guilloux, B. Horvath, J. Hull, C. Reisinger).
  • Quentin Petit: "Mean field games and optimal transport in urban modelling", 2022 (commitee members: Y. Achdou, C. Alasseur, G. Carlier, A. Galichon, O. Guéant, F. Santambrogio, D. Tonon).
  • Xavier Bacon: "A few models of vector-valued optimal transport", 2022 (commitee members: P. Cardaliaguet, P. Combettes, O. Guéant, B. Nazaret, L. Nenna, F. Santambrogio).
  • Alexis Bismuth: "Statistical learning and stochastic control: applications to finance and energy", 2022 (commitee members: C. Chorro, J. Garnier, O. Guéant, V. Perchet, P. Tankov).
  • Jianfei Zhang: "Some applications of machine learning in quantitative finance: model calibration, volatility formation and news screening", 2023 (commitee members: E. Abi Jaber, S. De Marco, O. Guéant, A. Kebaier, S. Laruelle, S. Pulido, M. Rosenbaum, J. Yu)

Member of HDR defense committees

  • Guillaume Bernis: "Modélisation probabiliste des marchés de crédit : allocation, stratégies et valorisation", 2018 (committee members: S. Crépey, L. Denis, B. De Meyer, O. Guéant, Y. Jiao, D. Talay).

Associate editor of the following journals:

  • Mathematical Finance (since December 2022)
  • Applied Mathematical Finance (since February 2017)
  • Network and Heterogeneous Media (since January 2021) 

Referee reports written for the following journals:

  • Finance and Stochastics
  • Journal de Mathématiques Pures et Appliquées
  • SIAM Journal on Control and Optimization
  • Mathematical Finance
  • SIAM Journal of Financial Mathematics
  • Applied Mathematics and Optimization
  • Quantitative Finance
  • Communications on Pure and Applied Analysis
  • ​Journal of Mathematical Analysis and Applications
  • International Journal of Theoretical and Applied Finance
  • Mathematics and Financial Economics
  • Comptes-Rendus Mathématiques (ex-CRAS)
  • Annals of Operations Research
  • Risks
  • Management Science
  • Stochastic Systems
  • Market Microstructure and Liquidity
  • Journal of Optimization Theory and Application
  • Applied Mathematics Research Express
  • Annals of Applied Probabiltiy
  • ​Automatica
  • Gazette des Mathématiciens
  • Networks and Heterogenous Media
  • Soft Computing
  • European Journal of Applied Mathematics
  • Philosophical Transactions A
  • Dynamic Games and Applications
  • Economic Theory
  • Journal of Public Economic Theory
  • Revue d'Economie Politique.