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Welcome to my personal website. I am currently Full Professor of Applied Mathematics at Université Paris 1 Panthéon-Sorbonne and Adjunct Professor of Quantitative Finance at ENSAE – Institut Polytechnique de Paris.

I am a mathematician by training and by passion, with both a theoretical and applied background. In addition to mathematics, I studied computer science, economics, and finance, which has enabled me to develop strong expertise in mathematical modeling across a range of domains — including economics, finance, energy markets, and, more recently, blockchain technologies and decentralized finance (DeFi).

Over the years, I have taught a wide array of graduate-level courses in applied mathematics, mathematical finance, and computer science. I have also supervised several PhD students who have pursued careers in academia, finance, and tech.

My research spans the three classical pillars of applied mathematics: modeling, analysis, and simulation. I work with a broad set of mathematical tools and methods, including optimization, stochastic optimal control, game theory, probability theory, stochastic calculus, risk measures, filtering techniques, and machine learning.

This website presents my academic work and public lectures. To explore my publications, please visit academic journal websites or consult my profile on Google Scholar and arXiv.

Short Vita

Short Vita

Academic Positions

  • 2016–: Full Professor of Applied Mathematics at Université Paris 1 Panthéon-Sorbonne. Member of the Centre d'Économie de la Sorbonne.
  • 2016–: Adjunct Professor at ENSAE – Institut Polytechnique de Paris.
  • 2015–2016: Professor at ENSAE ParisTech.
  • 2010–2015: Assistant/Associate Professor (Maître de Conférences) at Université Paris-Diderot. Member of the Laboratoire Jacques-Louis Lions.

Engagement with Industry and Innovation

  • Co-founder in 2010 of MFG Labs. The company was acquired by Havas Media in 2013.
  • Involved in the creation, leadership, and research activities of several Chairs and Research Initiatives at the Louis Bachelier Institute.

Awards

  • 2023: Best Young Researcher in Finance and Insurance – IEF / Fondation SCOR pour la Science Award.
  • 2016: EIF-FBF Best Paper Award in Finance — shared with Charles-Albert Lehalle.
  • 2010: Rosemont-Demassieux Prize – Prix de Thèse de la Chancellerie des Universités de Paris, for the best PhD in Sciences.
  • 2007: AAENSAE Prize — shared with David Zerbib.

Postgraduate Academic Background

  • Research Habilitation (HDR) — Title: Some problems in optimization and optimal control: from mean field games to execution models in finance.
    Supervisor: Huyên Pham.
  • PhD in Applied Mathematics — Title: Mean field games and applications to economics. Secondary topic: Discount rates and sustainable development.
    Supervisor: Pierre-Louis Lions (unofficial co-supervisor: Jean-Michel Lasry).

Undergraduate and Graduate Academic Background

  • Special Student at Harvard University.
  • Graduated from ENSAE ParisTech.
  • Agrégation de Mathématiques.
  • École Normale Supérieure (rue d'Ulm), S 2003 — L and M in Mathematics and Economics.
  • Admitted to ENS Ulm, ENS Lyon, ENS Cachan, and École Polytechnique.

Research Output

Research Output

Working Papers

  • Philippe Bergault, Sébastien Bieber, Olivier Guéant, Wenkai Zhang, Cryptocurrencies and interest rates: inferring yield curves in a bondless market.
  • Charles Bertucci, Louis Bertucci, Mathis Gontier Delaunay, Olivier Guéant, Matthieu Lesbre, Agents' behavior and interest rate model optimization in DeFi lending.
  • Philippe Bergault, Louis Bertucci, David Bouba, Olivier Guéant, Julien Guilbert, Automated market making: the case of pegged assets.
  • Philippe Bergault, Hamza Bodor, Olivier Guéant, To hedge or not to hedge: optimal strategies for stochastic trade flow management.
  • Philippe Bergault, Olivier Guéant, Liquidity dynamics in RFQ markets and impact on pricing.

Publications in Peer-Reviewed Journals

  • Alexander Barzykin, Philippe Bergault, Olivier Guéant, Algorithmic market making in spot precious metals, Risk Magazine (Cutting Edge), 2024.
  • Adil Rengim Cetingöz, Olivier Guéant, Asset and factor risk budgeting: a balanced approach, Quantitative Finance, pp. 1–15, 2024.
  • Philippe Bergault, Louis Bertucci, David Bouba, Olivier Guéant, Automated market makers: mean-variance analysis of LPs payoffs and design of pricing functions, Digital Finance, vol. 6(2), pp. 225–247, 2024.
  • Bastien Baldacci, Philippe Bergault, Olivier Guéant, Pricing and managing complex share buy-back contracts: an alternative to optimal control, Risk Magazine (Cutting Edge), 2024.
  • Adil Rengim Cetingöz, Jean-David Fermanian, Olivier Guéant, Risk Budgeting portfolios: existence and computation, Mathematical Finance, vol. 34(3), pp. 896–924, 2024.
  • Alexander Barzykin, Philippe Bergault, Olivier Guéant, Dealing with multi-currency inventory risk in foreign exchange cash markets, Risk Magazine (Cutting Edge), 2023.
  • Alexander Barzykin, Philippe Bergault, Olivier Guéant, Algorithmic market making in dealer markets with hedging and market impact, Mathematical Finance, vol. 33(1), pp. 41–79, 2023.
  • Philippe Bergault, Fayçal Drissi, Olivier Guéant, Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics, SIAM Journal on Financial Mathematics, vol. 13(1), pp. 353–390, 2022.
  • Alexander Barzykin, Philippe Bergault, Olivier Guéant, Market-making by a foreign exchange dealer, Risk Magazine (Cutting Edge), 2022.
  • Philippe Bergault, Olivier Guéant, Size matters for OTC market makers: general results and dimensionality reduction techniques, Mathematical Finance, vol. 31(1), pp. 279–322, 2021.
  • Bastien Baldacci, Philippe Bergault, Olivier Guéant, Algorithmic market making for options, Quantitative Finance, vol. 21(1), pp. 85–97, 2021.
  • Philippe Bergault, David Evangelista, Olivier Guéant, Douglas Vieira, Closed-form approximations in multi-asset market making, Applied Mathematical Finance, vol. 28(2), pp. 101–142, 2021.
  • Olivier Guéant, Iuliia Manziuk, Optimal control on graphs: existence, uniqueness, and long-term behavior, ESAIM: Control, Optimisation and Calculus of Variations, vol. 26, 2020.
  • Olivier Guéant, Iuliia Manziuk, Jiang Pu, Accelerated share repurchase and other buyback programs: what neural networks can bring, Quantitative Finance, vol. 20(8), pp. 1389–1404, 2020.
  • Olivier Guéant, Iuliia Manziuk, Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality, Applied Mathematical Finance, vol. 26(5), pp. 387–452, 2019.
  • Alexis Bismuth, Olivier Guéant, Jiang Pu, Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty, Mathematics and Financial Economics, vol. 13, pp. 661–719, 2019.
  • Olivier Guéant, Expected Shortfall and optimal hedging payoff, Comptes Rendus Mathématique, vol. 356(4), pp. 433–438, 2018.
  • Olivier Guéant, Jiang Pu, Mid-price estimation for European corporate bonds: a particle filtering approach, Market microstructure and liquidity, vol. 4(01n02), pp. 1950005, 2018.
  • Olivier Guéant, Optimal market making, Applied Mathematical Finance, vol. 24(2), pp. 112–154, 2017.
  • Olivier Guéant, Jiang Pu, Option pricing and hedging with execution costs and market impact, Mathematical Finance, vol. 27(3), pp. 803–831, 2017.
  • Joaquin Fernandez-Tapia, Olivier Guéant, Jean-Michel Lasry, Optimal real-time bidding strategies, Applied Mathematics Research Express, vol. 2017(1), pp. 142–183, 2017.
  • Olivier Guéant, Optimal execution of accelerated share repurchase contracts with fixed notional, Journal of Risk, vol. 19(5), 2017.
  • Jean-David Fermanian, Olivier Guéant, Jiang Pu, The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms, Market Microstructure and Liquidity, vol. 2(03n04), pp. 1750004, 2016.
  • Olivier Guéant, Jiang Pu, Guillaume Royer, Accelerated share repurchase: pricing and execution strategy, International Journal of Theoretical and Applied Finance, vol. 18(03), pp. 1550019, 2015.
  • Olivier Guéant, Jean-Michel Lasry, Jiang Pu, A convex duality method for optimal liquidation with participation constraints, Market Microstructure and Liquidity, vol. 1(01), pp. 1550002, 2015.
  • Olivier Guéant, Optimal execution and block trade pricing: a general framework, Applied Mathematical Finance, vol. 22(4), pp. 336–365, 2015.
  • Olivier Guéant, Charles‐Albert Lehalle, General intensity shapes in optimal liquidation, Mathematical Finance, vol. 25(3), pp. 457–495, 2015.
  • Olivier Guéant, Existence and uniqueness result for mean field games with congestion effect on graphs, Applied Mathematics & Optimization, vol. 72(2), pp. 291–303, 2015.
  • Olivier Guéant, Guillaume Royer, VWAP execution and guaranteed VWAP, SIAM Journal on Financial Mathematics, vol. 5(1), pp. 445–471, 2014.
  • Olivier Guéant, Execution and block trade pricing with optimal constant rate of participation, Journal of Mathematical Finance, vol. 4, pp. 255–264, 2014.
  • Olivier Guéant, Charles-Albert Lehalle, Joaquin Fernandez-Tapia, Dealing with the inventory risk: a solution to the market making problem, Mathematics and Financial Economics, vol. 7(4), pp. 477–507, 2013.
  • Olivier Guéant, Tournament-induced risk-shifting: a mean field games approach, Risk and Decision Analysis, vol. 4(2), pp. 71–80, 2013.
  • Olivier Guéant, Charles-Albert Lehalle, Joaquin Fernandez-Tapia, Optimal portfolio liquidation with limit orders, SIAM Journal on Financial Mathematics, vol. 3(1), pp. 740–764, 2012.
  • Olivier Guéant, Mean field games equations with quadratic Hamiltonian: a specific approach, Mathematical Models and Methods in Applied Sciences (M3AS), vol. 22(09), pp. 1250022, 2012.
  • Olivier Guéant, New numerical methods for mean field games with quadratic costs, Networks and Heterogeneous Media, vol. 7(2), pp. 315–336, 2012.
  • Olivier Guéant, Roger Guesnerie, Jean-Michel Lasry, Ecological intuition versus economic "reason", Journal of Public Economic Theory, vol. 14(2), pp. 245–272, 2012.
  • Olivier Guéant, A reference case for mean field games models, Journal de Mathématiques Pures et Appliquées, vol. 92(3), pp. 276–294, 2009.

Book

  • Olivier Guéant, The financial mathematics of market liquidity: from optimal execution to market making, CRC Press, 2016.

Chapters in Books

  • Olivier Guéant, Reinforcement learning for algorithmic trading, in Machine Learning and Data Sciences for Financial Markets, vol. 1, pp. 230–250, 2023.
  • Olivier Guéant, Computational methods for market making algorithms, in European Consortium for Mathematics in Industry, pp. 509–515, 2021.
  • Olivier Guéant, Mean field games with a quadratic Hamiltonian: a constructive scheme, in Advances in Dynamic Games: Theory, Applications, and Numerical Methods for Differential and Stochastic Games, pp. 229–241, 2013.
  • Olivier Guéant, Jean-Michel Lasry, Pierre-Louis Lions, Mean field games and applications, in Paris-Princeton Lectures on Mathematical Finance 2010, pp. 205–266, 2011.
  • Charles-Albert Lehalle, Olivier Guéant, Julien Razafinimanana, High-frequency simulations of an order book: a two-scale approach, in Econophysics of Order-driven Markets: Proceedings of Econophys-Kolkata V, pp. 73–92, 2011.
  • Olivier Guéant, Precautionary principle and the evaluation of environmental policies, in The Economics of Sustainable Development, 2010.

Unpublished Papers

  • Philippe Bergault, Louis Bertucci, David Bouba, Olivier Guéant, Julien Guilbert, Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity, arXiv preprint arXiv:2405.03496, 2024.
  • Joaquin Fernandez-Tapia, Olivier Guéant, Recipes for hedging exotics with illiquid vanillas, arXiv preprint arXiv:2005.10064, 2020.
  • Olivier Guéant, Optimal control on finite graphs: asymptotic optimal controls and ergodic constant in the case of entropic costs, arXiv preprint arXiv:2011.02212, 2020.
  • Joaquin Fernandez-Tapia, Olivier Guéant, Jean-Michel Lasry, Real-Time Bidding Strategies with Online Learning, Technical report, 2016.
  • Joaquin Fernandez-Tapia, Olivier Guéant, Jean-Michel Lasry, On the pricing of performance-based programmatic ad buying contracts, Technical report, 2016.

Talks

Talks

Invited Lectures

  • KAUST online course — Optimal control, April 2021 (slides).
  • CFM-Imperial Distinguished Lectures — Optimal execution, London, November 2016 (slides).
  • Summer school on interactions between probabilities and PDEs — Mean field games, LIASFMA, AMSS, Beijing, July 2013.
  • LARSyS Lecture Series in Engineering and Mathematics II — Mean field games, IST, Lisbon, January 2012.
  • Bachelier Course, with Jean-Michel Lasry, Institut Henri Poincaré — Mean field games, Paris, January 2009.

Talks at Conferences and Seminars

  • Goldman Sachs Quant Finance Seminar, Paris, March 2025.
  • 22nd Winter School on Mathematical Finance, Soesterberg, January 2025.
  • LPSM / INRIA joint workshop, Paris, January 2025.
  • Mathematical Statistics Seminar, KTH, Stockholm, December 2024.
  • Global seminar of the "Vega" Institute, Moscow (online), November 2024.
  • FDD-FiME Seminar, IHP, Paris, September 2024.
  • Journées de l'UFR 27 Mathématiques et Informatique, Université Paris 1 Panthéon-Sorbonne, Paris, June 2024.
  • 17th Financial Risks International Forum, Paris, March 2024.
  • London Mathematical Finance Seminar Series, King's College, London, February 2024.
  • Mathematical finance seminar series, Texas Tech University (online), January 2024.
  • LPSM workshop "Mathématiques financières et actuarielles, probabilités numériques", Paris, January 2024.
  • CFM-Imperial Workshop on Market Microstructure, London, December 2023.
  • QRFE workshop, Durham University Business School, October 2023.
  • Beta Sigma Club, online, September 2023.
  • London-Paris Bachelier Workshop on Mathematical Finance, Imperial College London, September 2023.
  • SAMM Seminar, Université Paris 1 Panthéon-Sorbonne, June 2023.
  • Frontiers in Quantitative Finance Seminar, organized by Oxford University in London, April 2023.
  • Séminaire Bachelier, Paris, March 2023.
  • 16th Financial Risks International Forum, Paris, March 2023.
  • 23rd MathFinance Conference, Frankfurt (online), March 2023.
  • Math. Finance Seminar, Bielefeld University, November 2022.
  • SAMM Seminar, Université Paris 1 Panthéon-Sorbonne, June 2022.
  • Una Random Workshop, Bologna (online talk), June 2022.
  • Machine Learning and Mean-Field Games, IMSI Chicago (online talk), May 2022.
  • ML and Quant Finance workshop at Oxford Man Institute, Oxford (online talk), February 2022.
  • King's College London Financial Mathematics Seminar, London (online talk), January 2022.
  • Mean-field reinforcement learning, King's College London and Université de Paris (online talk), October 2021.
  • Advances in Stochastic Analysis for Handling Risks in Finance and Insurance, CIRM, Marseille, September 2021.
  • ECMI 2021 virtual conference, April 2021.
  • Frontiers in Quantitative Finance Seminar (Oxford Seminar), London, February 2020.
  • Market microstructure: confronting many viewpoints, London, December 2019.
  • Dynamics, Equations and Applications, Krakow, September 2019.
  • Bachelier Seminar, IHP, Paris, June 2019.
  • Workshop "Finance Mathematique, Probabilités Numériques et Statistiques des Processus", LPSM, Paris, May 2019.
  • Huawei/FSMP joint seminar, Paris, September 2018.
  • Groupe de Travail: Finance mathématique, probabilités numériques et statistique des processus, INRIA-P7-Ponts, November 2017.
  • Mathematical and Computational Finance Seminar, Oxford, November 2017.
  • Annual Meeting of ASSET 2017, Algiers, October 2017.
  • International Conference on Computational Finance, Lisbon, September 2017.
  • Journée SMAI-MODE : Optimisation, Jeux et Economie, Paris, May 2017.
  • CSEF Seminar, Naples, March 2017.
  • SAMM Seminar, Université Paris 1, March 2017.
  • Labex ReFi seminar, ESCP, Paris, February 2017.
  • Market microstructure: confronting many viewpoints, Paris, December 2016.
  • ​SIAM Conference on Financial Mathematics & Engineering, Austin, November 2016.
  • Bachelier Seminar, IHP, Paris, October 2016​.
  • Summer Workshop in Economic Theory (SWET), Paris 1, June 2016.
  • Applied Mathematics Seminar, Collège de France, Paris, June 2016.
  • CFM Seminar, Paris, May 2016.
  • Workshop "Économie des nouvelles données", Paris-Dauphine, November 2015.
  • Berlin Seminar on Stochastic Analysis and Stochastic Finance, Humboldt University, Berlin, November 2015.
  • Séminaire thématique du LIED, June 2015.
  • Séminaire Economie Théorique, Paris 1, April 2015.
  • Bachelier Seminar, IHP, Paris, January 2015.
  • Market microstructure: confronting many viewpoints, Paris, December 2014.
  • SIAM Financial Mathematics, Chicago, November 2014.
  • New Trends in Optimal Control, Tours, June 2014.
  • Stochastic Analysis in Finance and Insurance, Oberwolfach, May 2014.
  • Global Derivatives, Amsterdam, May 2014.
  • Workshop "Finance Mathematique, Probabilités Numériques et Statistiques des Processus", LPMA, Paris, May 2014.
  • Bachelier Seminar, IHP, Paris, March 2014.
  • Workshop Trading and Microstructure, Collège de France, January 2014.
  • Imperial College London Finance & Stochastics seminar, October 2013.
  • Les Nouveaux Outils du Développement Durable, Université Paris Dauphine, October 2013.
  • Global Derivatives 2013, Amsterdam, April 2013.
  • Advances in Algo and HF trading, University College London, April 2013.
  • 6th Financial Risks International Forum, March 2013.
  • Bachelier Seminar, IHP, March 2013.
  • 5th Hedge Fund Research Conference (Discussant), January 2013.
  • Friday Seminar in Economics (organized by Roger Guesnerie), Collège de France, November 2012.
  • Workshop on Stochastic and PDE Methods in Financial Mathematics, Yerevan State University / American University of Armenia, September 2012.
  • SIAM Conference on Financial Mathematics and Engineering, Minneapolis, July 2012.
  • Groupe de Travail "Mathématiques de la décision", GREMAQ, Toulouse, April 2012.
  • Seminar "Equazioni Differenziali e Applicazioni", Padova, February 2012.
  • Groupe de Travail "Modèles stochastiques en finance", Ecole Polytechnique, February 2012.
  • Seminar "Évaluation d'actifs financiers et arbitrage", ENSAE, December 2011.
  • Workshop Mathfi, CERMICS, Ecole Nationale des Ponts et Chaussées, November 2011.
  • Workshop "Calcul des Variations", Ceremade, Université Paris-Dauphine, November 2011.
  • Séminaire Parisien d'optimisation, October 2011.
  • European Conference on Complex Systems, Satellite workshop on Current trends in game theory, Vienna, September 2011.
  • Workshop "Trading and Microstructure", Collège de France, September 2011.
  • Informs Applied Probability Society Conference, Stockholm, July 2011.
  • Finance Seminar, Ecole Centrale Paris, June 2011.
  • Workshop on Mean Field Games, Rome, May 2011.
  • Bachelier Seminar, Paris, April 2011.
  • Workshop "Probabilités Numériques et Finance", Paris, March 2011.
  • Financial Risks international Forum on Long Term Risks, Paris, March 2011.
  • International Research Forum, The Hong Kong Polytechnic University, Hong Kong, December 2010.
  • Workshop "Horizon Maths", EADS, November 2010.
  • Workshop "Modélisation", Université Paris-Diderot, November 2010.
  • Workshop "Analyse non linéaire et EDP", ENS/Paris 6/Paris 7, November 2010​.
  • Seminar of the Laboratoire Jacques-Louis Lions, Paris 6, October 2010.
  • Minisymposium "Emerging Topics in Dynamical Systems and Partial Differential Equations" - DSPDE 2010, Barcelona, June 2010.
  • Colloquium "Le financement du long terme : acteurs publics et investisseurs privés face aux nouveaux besoins d'investissement", Sciences-Po Aix-en-Provence, May 2010.
  • Printemps de la Chaire Finance et Développement Durable et du laboratoire FIME, April 2010.
  • X-HEC seminar in Economic Theory, Ecole Polytechnique, February 2010.
  • Workshop "Economie du changement climatique", Collège de France, February 2010.
  • Workshop "Weather Derivatives and Risk", Humboldt University, January 2010.
  • Workshop on new mathematical directions in economic modelling, University of Chicago, January 2010.
  • Workshop "Economie du changement climatique", Collège de France, November 2009.
  • Workshop "Défis actuels de la finance", Université Paris XIII, November 2009.
  • Workshop "Calcul des Variations", Ceremade, Université Paris-Dauphine, November 2009.
  • Workshop "Trading and Microstructure", Collège de France, October 2009.
  • Workshop "Kinetic and mean-field models in Socio-Economic Sciences", Edinburgh, July 2009.
  • Workshop "Optimization, Transport and Equilibrium in Economic”, Ecoles des Mines, July 2009.
  • Printemps de la Chaire Finance et Développement Durable, Palais Brongniart, May 2009.
  • CEPN/LAGA Seminar, Université Paris XIII, March 2009.
  • Applied Mathematics Seminar, Collège de France, December 2008.
  • Workshop "Trading and Microstructure", Collège de France, December 2008.
  • Printemps de la Chaire Finance et Développement Durable, Université Paris-Dauphine, March 2008.

Q&A

Q&A

Are you currently accepting new PhD students?

I expect to begin supervising new PhD students again in 2026. You are welcome to contact me by email with your CV and a brief statement of interest.

I am unsure about applying for a PhD. What is your advice?

That depends on your objectives and motivation. Pursuing a PhD can be a highly rewarding experience. Speak with current or former doctoral students to gain a clearer understanding of what it entails.

In which fields will you be supervising students in the near future?

Topics include market making, market impact, decentralized finance (DeFi), applications of stochastic optimal control, point processes, decision theory, and convex ordering, among others.

What are the typical prerequisites for a PhD under your supervision?

Excellent training in applied mathematics, an independent and analytical mindset, and strong programming skills are essential.

Are you currently offering research internships?

No, not for the summer of 2025.

Can you supervise my research project?

I only supervise students who are officially enrolled at institutions where I teach.

Can I meet with you to ask questions?

Consider first sending me an email with your questions. I generally respond to messages I receive.

I have emailed you but have not received a reply. Should I follow up?

Yes, but only once. I generally respond to messages I receive.

Do you collaborate with industry?

Yes. Although I am primarily an academic, I regularly collaborate with financial institutions — mainly sell-side firms and intermediaries — as well as startups on research-driven projects.

Do you still work on mean field game theory?

No. I ceased conducting research in that field around 2014. I no longer review papers on the subject, although I remain interested in its applications.

What if I cannot find one of your articles online?

My published articles are generally available on the websites of journals or on arXiv, occasionally under slightly different titles. I only respond to requests for PDF copies if the paper is genuinely difficult to access.

Are you leaving Université Paris 1 Panthéon-Sorbonne in September 2025?

Yes. As of the next academic year, I will join Université Paris Cité, be a member of the LPSM, and co-lead the M2MO programme.