Sofiene El Aoud

Research interests

• Quantitative finance.
• Stochastic/statistical modelling.
• Optimal stochastic control of trading strategies.
• Prediction theory.

Education

• 2012 – 2015: PhD in Quantitative Finance – ECP
• 2010 – 2011: MSc in Statistics and Applied Mathematics – Université Paris VII
• 2008 – 2011: Engineering degree – ENSAE

Papers

• Calibration of a stock’s beta using option prices. SSRN
• A stochastic control approach for option market making. SSRN
• On the joint dynamics of the spot and the implied volatility surface. SSRN

Talks

• A stochastic control approach for option market making: Quantitative methods in finance, Sydney, 12/2014.
• Calibration of a stock’s beta using option prices: Bachelier Finance Society, 8th World Congress, Brussels, 05/2014.
• Options pricing in a CAPM model with stochastic volatility:  Statistical modeling, financial data analysis and applications, Venice, 09/2013.