Cyril Bénézet

About me

I am Maître de Conférences at the ENSIIE, affiliated to the Laboratoire de Mathématiques et Modélisation d'Évry (LaMME).
Some topics I'm interested in: financial mathematics, numerical probabilities, stochastic control, BSDEs, non-linear PDEs.

I am member of the ANR project ReLISCop, coordinated by A. Richou.
I am part of the project "Risk management in times of unprecedented geo-political volatility: a machine-learning approach" funded by the Institut Louis Bachelier, with A. Brini and G. Toscano.

For more about me, here is my CV.
My email adress is: cyril.benezet at ensiie dot fr (at is @, dot is .).

Publications

Published papers

  1. Learning conditional distributions on continuous spaces, with Z. Cheng and S. Jaimungal. HAL, Journal of Machine Learning Research, 26(105):1−64, 2025.
  2. Handling model risk with XVAs, with S. Crépey. HAL, Frontiers of Mathematical Finance, 2024, 3(4): 490-519
  3. Transform MCMC schemes for sampling intractable factor copula models, with E. Gobet and R. Targino. HAL, Methodology and Computing in Applied Probability volume 25, Article number: 13 (2023).
  4. Switching problems with controlled randomisation and associated obliquely reflected BSDEs, with J.-F. Chassagneux and A. Richou. arXiv, Stochastic Processes and their Applications, Volume 144, February 2022, Pages 23-71.
  5. A numerical scheme for the quantile hedging problem, with J.-F. Chassagneux and C. Reisinger. arXiv, SIAM J. Finan. Math., 12(1), 110–157, (48 pages).
  6. A sparse grid approach to balance sheet risk measurement, with J. Bonnefoy, J.-F. Chassagneux, S. Deng, C. Garcia Trillos and L. Lenôtre. arXiv, ESAIM: PROCEEDINGS AND SURVEYS, February 2019, Vol. 65, p. 236-265.

Preprints

PhD Thesis

Study of numerical methods for partial hedging and switching problems with costs uncertainty. Manuscript.

Teaching