Julien Guyon

WORK HISTORY

EDUCATION

SKILLS

ABOUT JULIEN GUYON

I am a Professor of Applied Mathematics at École nationale des ponts et chaussées, one of the oldest and one of the most prestigious French Grandes Écoles, where I hold the BNP Paribas Chair Futures of Quantitative Finance, and a Visiting Associate Professor in the Department of Finance and Risk Engineering at NYU Tandon School of Engineering. I am also an adjunct professor in the Department of Mathematics at Columbia University (New York). Before joining Ecole des Ponts, I worked in the financial industry for 16 years, first in the Global Markets Quantitative Research team at Societe Generale in Paris (2006-12), then as a senior quantitative analyst in the Quantitative Research group at Bloomberg L.P, New York (2012-22). I was also previously an adjunct professor at the Courant Institute of Mathematical Sciences, NYU; at Baruch College, City University of New York; at Université Paris Diderot; and at École des Ponts.I received the 2025 Quant of the Year award by Risk. I am also a Louis Bachelier Fellow. I serve as an Associate Editor of Finance & Stochastics, SIAM Journal on Financial Mathematics, Quantitative Finance, and Journal of Dynamics and Games.I co-authored the book Nonlinear Option Pricing (Chapman & Hall, 2014) with Pierre Henry-Labordere. I have published 25+ articles in peer-reviewed journals and am a regular speaker at international conferences, both academic and professional. I am best known for designing the particle method for smile calibration (with P-H. Labordere), the so-called Bergomi-Guyon expansion (an expansion of the smile in general stochastic volatility models at order 2 in vol-of-vol), my works on path-dependent volatility (in particular devising the so-called Guyon-Lekeufack model), and my works on the joint calibration of S&P 500 and VIX smiles.A big soccer fan, I have also published articles on fairness in sports both in academic journals and in top-tier newspapers including The New York Times, The Times, Le Monde, and El País. Some of my suggestions for draws and tournament design have been adopted by FIFA and UEFA, including a new, fairer draw method for the FIFA World Cup (since 2018); a fairer format for the 2026 FIFA World Cup (adopted March 2023); a new knockout bracket for the UEFA Euro (since 2020); the draw method of the league phase of the UEFA Champions League (UCL, since 2024); and an optimized schedule of the UCL. My paper \"Risk of collusion: Will groups of 3 ruin the FIFA World Cup?\", won the 2nd prize at the 2021 MIT Sloan Sports Analytics Conference, the biggest sports analytics event in the world.