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Chair of Quantitative Finance
People » Alumni » Sofiene El Aoud

Sofiene El Aoud

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.

Coordinates

Chair of Quantitative Finance
Laboratoire de Mathématiques Appliquées aux Systèmes
École Centrale Paris

Grande Voie des Vignes
92290 Châtenay-Malabry
FRANCE
Tel.: +33 1 41 13 18 95
Email: sylvie.dervin@ecp.fr