Web application for LPMA
Development of a web application for didactic and research results of the LPMA at Simulations@LPMA.
Development of Multilevel Monte Carlo Richardson Romberg estimator [ML2R].
Optimal Control Solver
Development of Bocop, an open-source toolbox for solving optimal control problems, with collaborations with industrial and academic partners. Project realized in the INRIA team COMMANDS.
Principal Component Analysis and Seasonal adjustment of curves for proximities for GDF Suez Trading.
Basis spread market
Tools of curves construction and Bermudean options pricer for HSBC.