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 (past and future):

  • SAMM Seminar, Université Paris 1, June 2002
  • Una Random Workshop, Bologna, June 2022
  • Machine Learning and Mean-Field Games, IMSI (Chicago), May 2022 
  • ML and Quant Finance workshop at Oxford Man Institute, Oxford, February 2022
  • King's College London Financial Mathematics Seminar, London, January 2022
  • Mean-field reinforcement learning, King's College London and Université de Paris, online only, 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). Jiang Pu is now Dr. Jiang Pu (the PhD defense occurred on Sept 25th 2017). He was hired as a researcher by the Europlace Institute of Finance and then joined academia in an engineering school.
  • Iuliia Manziuk, who graduated from Paris School of Economics, HSE University, and Lomonosov Moscow State University. Iuliia Manziuk is now Dr. Iuliia Manziuk (the PhD defense occurred on Feb 10th 2020). She was hired as a post-doc at Ecole Polytechnique to work with Pr. Mathieu Rosenbaum and Pr. Nizar Touzi.
  • Philippe Bergault, who graduated from Université Paris Dauphine and Université Paris-Diderot (M2MO). Philippe Bergault is now Dr. Philippe Bergault (the PhD defense occurred on May 25th 2021). He was hired as a post-doc at Ecole Polytechnique to work with Pr. Mathieu Rosenbaum.
  • Alexis Bismuth, who graduated from UPMC and Université Paris-Saclay, co-supervised by J.-M. Martinez (CEA Saclay).
  • Fayçal Drissi, who graduated from ENSIMAG and IAE Grenoble.
  • 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)

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:

  • Applied Mathematical Finance
  • Network and Heterogeneous Media

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.