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 .).


Published papers

  1. 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).
  2. 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.
  3. 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).
  4. 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.


PhD Thesis

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