The Futures of Quantitative Finance chair is a partnership between researchers at Université Paris Cité (LPSM lab), researchers at École des Ponts ParisTech (CERMICS lab), and quantitative researchers at BNP Paribas. It was launched in March 2023 and is led by Julien Guyon, professor at École des Ponts ParisTech, and Huyên Pham, professor at Université Paris Cité.
This academic chair promotes, develops, and fosters innovation in quantitative finance worldwide. The core purpose of the chair is to address contemporary issues in market risk modelling. It will enable academic researchers from École des Ponts ParisTech and Université Paris Cité to gain access to real financial markets to improve their models, while quantitative researchers at BNP Paribas will have a seat at the table to benefit from cutting-edge research.
Driven by the same passion for innovation and the shared ambition to be global leaders in this field, members of the Futures of Quantitative Finance chair will investigate – among other topics – on the following:
- Machine learning for finance
- Deep learning methods for high dimensional problems
- Generation of market simulators
- Volatility and dependence modelling
- Risk modelling: future hedging costs computation and X-valuation adjustment (XVA) analysis
As this is a long-term collaboration, the academic chair will add more topics to the research agenda as the market changes.
Beyond academic research, the chair also contributes to spreading its knowledge in the domain of quantitative finance by supporting education and hosting workshops and seminars. The chair is also represented at renowned international conferences.