I am a PhD student specialising in mathematical finance. My research focuses on dynamic programming methods and the numerical computation of super-hedging prices in markets with transaction costs.
Financial Mathematics
Stochastic Calculus
Machine Learning
Publications & Preprints
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Computation of the Super-Hedging Strategies for Vanilla Options with Transaction Costs
hal-05626560 (2026) -
Conditional Random Sets in Polish Spaces with Applications to the Skorokhod Space
hal-05623197 (2026) -
Explicit Recursive Construction of Super-Replication Prices under Proportional Transaction Costs
hal-05347450 (2025) -
Reduced Run-time and Memory Complexity Regression with a Gaussian Process Prior
55ème Journées de Statistique, Bordeaux — Conference paper (2024) -
Chernoff's Inequality in Riesz Spaces
Quaestiones Mathematicae — Journal article (2023)
Research & Implementation Projects
Model-Free Super-Hedging in Markets with Transaction Costs: An Empirical Study on S&P 500 Data
Featured
Empirical validation of super-replication strategies using historical SPY ETF data (Jan 2020 – Feb 2026). Companion to the 2026 preprint.
View on GitHub →
Model-Free Super-Hedging of Vanilla Options under Transaction Costs
Numerical implementation of backward-recursive hedging strategies for call and put options.
View on GitHub →
Reduced Gaussian Processes for Regression and Classification
Methods for reducing computational and memory complexity of Gaussian process models on large-scale datasets.
View on GitHub →Seminars & Conferences
Teaching
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Université Paris Dauphine – PSL
Introduction to Finance, Statistics, and AI Data Analysis (Python).
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IPEIM, Monastir
Intensive undergraduate Algebra I & II for engineering candidates.
Scientific Event Organisation
- Co-Organiser: COSA 2026 — International Conference on Ordered Structures and Applications.
- Co-Organiser: Young Researchers' Days (YRSD), CEREMADE (2024–2025).