• J. Guyon, J. Lekeufack: Volatility is (mostly) path dependent, Quantitative Finance 23(9):1221–1258, 2023 [SSRN preprint 4174589]
  • F. Bourgey, J. Guyon: Fast exact joint S&P 500/VIX smile calibration in discrete and continuous time, to appear in Risk [SSRN preprint 4315084]
  • J. Guyon, S. Mustapha: Neural joint S&P 500/VIX smile calibration, to appear in Risk [SSRN preprint 4309576]
  • M. El Amrani, J. Guyon: Does the term-structure of the at-the-money skew really follow a power law? Risk, August 2023 [SSRN preprint 4174538]
  • H. Pham, X. Warin: Actor critic learning algorithms for mean field control with moment neural networks, [arXiv:2309.04317]
  • D. Coculescu, M. Motte, H. Pham: Opinion dynamics in communities with major influencers and implicit  social influence via mean-field approximation, [arXiv:2306.16553]
  • M. Hamdouche, P. Henry Labordère, H. Pham: Generative modeling for time series via Schrödinger bridge, [arXiv:2304.05093]
  • M. Hamdouche, P. Henry Labordère, H. Pham: Policy gradient learning methods for stochastic control with exit time and applications to share repurchase pricing, [arXiv:2302.07320], to appear in Applied Mathematical Finance
  • N. Frikha, M. Germain, M. Laurière, H. Pham, X. Song: Actor-critic learning for mean-field control in continuous time, [arXiv:2303.06993]
  • W. Lefebvre, G. Loeper, H. Pham: Differential learning methods for solving fully nonlinear PDEs,  Digital Finance, vol 5, 183-229
  • M. Germain, H. Pham, X. Warin:  Neural networks-based algorithms for stochastic control and PDEs in finance, Machine Learning and Data Sciences for Financial Markets: a guide to contemporary practices, Cambridge University Press, Editors: Agostino Capponi and Charles-Albert Lehalle