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 .).
- 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).
- 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.
- 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).
- 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.
- Hedging Valuation Adjustment for Callable Claims, with S. Crépey and D. Essaket. HAL.
- Hedging Valuation Adjustment and Model Risk, with C. Albanese and S. Crépey. HAL.
Study of numerical methods for partial hedging and switching problems with costs uncertainty.
- XVAs and Regulation, M2QF, Univ. Paris Saclay, Univ. Evry and ENSIIE. Link to preliminary course notes.
- 6-hour course on CPPI strategy, Finance and Life Insurance, M2QF, M2GRA, Univ. Paris Saclay, Univ. Evry and ENSIIE.
- Stochastic Calculus, 2nd year FISE ENSIIE.
- Stochastic Processes, M1 Univ. Paris 2 Assas.
- Mathematical Modeling, 1st year FISA ENSIIE.
- Teaching fellow: Martingales and Markov Chains, 2nd year FISE ENSIIE.
- Teaching fellow: Probability, 1st year ENSIIE.
- Supervision of Cutting-Edge projects, M2QF, Univ. Paris Saclay, Univ. Evry and ENSIIE.
- Supervision of Mathematical projects, 1st year ENSIIE.