Simon Sananes

Phd Candidate in Mathematics @Université Paris Cité

Paris, FR

Numerical methods for options valuation in uncertain volatility models.Option valuation in the Uncertain Volatility Model (Avellaneda et al, 1995) requires solving a stochastic control problem. This PhD thesis focuses on developing and expanding numerical methods to solve the latter. A strong emphasis is put on higher dimensions and machine learning methods.PhD directors: Jean-François Chassagneux, Lokmane Abbas-Turki.