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{{Short description|French mathematician}}
{{Short description|French mathematician}}
{{Cleanup bare URLs|date=September 2022}}

'''Olivier Guéant''' is a [[French people|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]].
'''Olivier Guéant''' is a [[French people|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]].


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


== Financial Mathematics & Market-making ==
== Mathematical modelling in finance ==
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.<ref>{{Cite web|url=https://scholar.google.fr/citations?view_op=list_works&hl=fr&hl=fr&user=_LKL9SkAAAAJ|title=Olivier Guéant}}</ref> 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.<ref>{{Cite web|url=https://scholar.google.fr/citations?view_op=view_citation&hl=fr&user=_LKL9SkAAAAJ&citation_for_view=_LKL9SkAAAAJ:2osOgNQ5qMEC|title = Dealing with the inventory risk: A solution to the market making problem}}</ref>
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.<ref>{{Cite web|url=https://scholar.google.fr/citations?view_op=list_works&hl=fr&hl=fr&user=_LKL9SkAAAAJ|title=Olivier Guéant}}</ref> 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.<ref>{{Cite web|url=https://scholar.google.fr/citations?view_op=view_citation&hl=fr&user=_LKL9SkAAAAJ&citation_for_view=_LKL9SkAAAAJ:2osOgNQ5qMEC|title = Dealing with the inventory risk: A solution to the market making problem}}</ref>


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*AAENSAE Prize for his research on environmental interest rates, 2008 (with Olivier David Zerbib)
*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
*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]])<ref>{{cite web|url=https://www.institutlouisbachelier.org/recherche/les-prix/|title=Les prix}}</ref>
*IEF-FBF Prize of the best paper in Finance, 2016 (with [[Charles-Albert Lehalle]])<ref>{{cite web|url=https://www.institutlouisbachelier.org/recherche/les-prix/|title=Les prix {{!}} PRIX IEF/ FONDATION SCOR POUR LA SCIENCE : MEILLEUR JEUNE CHERCHEUR EN FINANCE ET ASSURANCE | language=fr |website=www.institutlouisbachelier.org}}</ref>
*Best Young Researcher in Finance and Insurance 2023 (IEF/Scor Foundation for Science)<ref>{{cite web|url=https://foundation.scor.com/news/iefscor-foundation-science-award-best-young-researcher-finance-and-insurance-2023|title=IEF/SCOR Foundation for Science Award: Best Young Researcher in Finance and Insurance, 2023}}</ref>
*Best Young Researcher in Finance and Insurance 2023 (IEF/Scor Foundation for Science)<ref>{{cite web|url=https://foundation.scor.com/news/iefscor-foundation-science-award-best-young-researcher-finance-and-insurance-2023|title=IEF/SCOR Foundation for Science Award: Best Young Researcher in Finance and Insurance, 2023}}</ref>


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[[Category:Year of birth missing (living people)]]
[[Category:Year of birth missing (living people)]]
[[Category:Living people]]
[[Category:Living people]]
[[Category:French mathematicians]]
[[Category:21st-century French mathematicians]]

Latest revision as of 17:26, 22 April 2024

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

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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

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  • 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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