Olivier Guéant

Olivier Guéant is a French mathematician, working on mean field game theory and financial mathematics (notably stochastic calculation & market-making). He is currently Full Professor of applied mathematics at Université Paris 1 Panthéon Sorbonne.

Background

Guéant studied mathematics and economics at Ecole Normale Supérieure[1] and was a special student at Harvard University. He defended the first PhD thesis on mean field games under the supervision of Pierre-Louis Lions. Guéant's PhD was awarded the Rosemont Demassieux prize.[2]

In 2010, he founded with Jean-Michel Lasry, Pierre-Louis Lions, and Henri Verdier a start-up called MFG-Labs,[3] pioneering in Big Data. The company has been acquired in 2013 by Havas Media.[4]

Associate professor in applied mathematics at Paris Diderot University from 2010 to 2015, Guéant became then Professor of Quantitative finance at ENSAE, and is now Full Professor of applied mathematics at Université Paris 1 Panthéon Sorbonne.

His research on financial mathematics deals with optimal execution and market making.[5] He also worked with Roger Guesnerie, Jean-Michel Lasry and Olivier David Zerbib on environmental interest rates.

Between 2014 and 2017, Guéant was sitting at the Scientific Advisory Board of Havas Media. Since 2016 he has been one of the members of the Index Advisory Group at Euronext.[6]

Prizes
  • AAENSAE Prize for his research on environmental interest rates, 2008 (with Olivier David Zerbib)
  • Rosemont-Demassieux Prize for his PhD on mean field game theory, 2010
  • IEF-FBF Prize of the best paper in Finance, 2016 (with Charles-Albert Lehalle)[7] · [8]

Financial Mathematics & Market-making

Specialist of financial mathematics & of stochastic control, he published several books and articles on liquidity management, optimal orders execution & multi-assets market making.[9] He is also a specialist of pricing & asset management. He notably solved, along with Charles-Albert Lehalle and Joaquin Fernandez-Tapia the Avellaneda-Stoikov equations, which are key to dealing with inventory risk in market making.[10]

Books
  • Paris-Princeton Lectures on Mathematical Finance 2010, 2011
  • The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making, 2016

References
  1. "Arrêté du 30 avril 2004 portant nomination d'élèves à l'Ecole normale supérieure (session 2003) | Legifrance". legifrance.gouv.fr. Retrieved 2016-09-13.
  2. "Chercheurs primés". sciencesmaths-paris.fr. Retrieved 2016-09-13.
  3. MFG Labs. "Embrace the programmable world | MFG Labs". mfglabs.com. Retrieved 2016-09-13.
  4. "Rachat d'MFG Labs: entretien exclusif avec Dominique Delport, Havas Media". frenchweb.fr. 5 June 2013. Retrieved 2016-09-13.
  5. "Olivier Guéant - Citations Google Scholar". scholar.google.fr. Retrieved 2016-09-13.
  6. https://www.euronext.com/fr/indices/cac-advisory-group
  7. "2016 Risk Forum : presentation of the EIF – FBF prize". fbf.fr. Retrieved 2016-09-13.
  8. Institut Louis Bachelier. "Prix EIF - Institut Louis BachelierPromouvoir, partager et diffuser la recherche en économie et finance". institutlouisbachelier.org. Archived from the original on 2017-09-15. Retrieved 2016-09-13.
  9. "Olivier Guéant".
  10. "Dealing with the inventory risk: A solution to the market making problem".
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