Olivier Guéant

Olivier Guéant is a French mathematician, focusing on mean field game theory and financial mathematics. He is currently a Full Professor of applied mathematics at the Université Paris 1 Panthéon Sorbonne.

Background[edit]

Guéant studied mathematics and economics at Ecole Normale Supérieure[1] and also studied at Harvard. He defended the first PhD thesis on mean field games under the supervision of Pierre-Louis Lions. Guéant's PhD was awarded the Rosemont Demassieux prize.[2]

In 2010, along with Jean-Michel Lasry, Pierre-Louis Lions, and Henri Verdier, Guéant founded a start-up called MFG-Labs,[3] pioneering Big Data. The company was acquired by Havas Media in 2013.[4]

From 2010 to 2015, Guéant served as Associate professor in applied mathematics at Paris Diderot University. He then briefly served as Professor of Quantitative finance at ENSAE, and then accepted a Full Professorship of applied mathematics at the Sorbonne where he now serves.

His research on financial mathematics focuses on optimal execution and market making.[5] He also worked with Roger Guesnerie, Jean-Michel Lasry and Olivier David Zerbib on environmental interest rates.

Between 2014 and 2017, Guéant was sitting on the Scientific Advisory Board of Havas Media.

Mathematical modelling in finance[edit]

As an expert of financial mathematics and stochastic control, Guéant has published several books and articles on liquidity management, optimal orders execution and multi-asset market making.[6] He is also an expert on pricing and asset management. Along with Charles-Albert Lehalle and Joaquin Fernandez-Tapia, he notably solved the Avellaneda-Stoikov equations, which are key to dealing with inventory risk in market making.[7]

Books[edit]

  • Paris-Princeton Lectures on Mathematical Finance 2010, 2011
  • The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making, 2016

Awards[edit]

  • AAENSAE Prize for his research on environmental interest rates, 2008 (with Olivier David Zerbib)
  • Rosemont-Demassieux Prize for his PhD on mean field game theory, 2010
  • IEF-FBF Prize of the best paper in Finance, 2016 (with Charles-Albert Lehalle)[8]
  • Best Young Researcher in Finance and Insurance 2023 (IEF/Scor Foundation for Science)[9]

References[edit]

  1. ^ "Arrêté du 30 avril 2004 portant nomination d'élèves à l'Ecole normale supérieure (session 2003) | Legifrance". legifrance.gouv.fr. Retrieved 2016-09-13.
  2. ^ "Chercheurs primés". sciencesmaths-paris.fr. Retrieved 2016-09-13.
  3. ^ MFG Labs. "Embrace the programmable world | MFG Labs". mfglabs.com. Retrieved 2016-09-13.
  4. ^ "Rachat d'MFG Labs: entretien exclusif avec Dominique Delport, Havas Media". frenchweb.fr. 5 June 2013. Retrieved 2016-09-13.
  5. ^ "Olivier Guéant - Citations Google Scholar". scholar.google.fr. Retrieved 2016-09-13.
  6. ^ "Olivier Guéant".
  7. ^ "Dealing with the inventory risk: A solution to the market making problem".
  8. ^ "Les prix | PRIX IEF/ FONDATION SCOR POUR LA SCIENCE : MEILLEUR JEUNE CHERCHEUR EN FINANCE ET ASSURANCE". www.institutlouisbachelier.org (in French).
  9. ^ "IEF/SCOR Foundation for Science Award: Best Young Researcher in Finance and Insurance, 2023".
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