SCIENTIFIC COMMITTEE

Jean-Philippe Bouchaud

Jean-Philippe Bouchaud is Co-Director of the CFM-Imperial Institute of Quantitative Finance, President and Head of Research at CFM and Professor at Ecole Polytechnique.

Jean-Philippe was born in France in 1962. After studying at the French Lycée of London, he graduated from the Ecole Normale Supérieure in Paris, where he also obtained his PhD in physics. He was then appointed by the CNRS until 1992. After a year spent in the Cavendish Laboratory (Cambridge), he joined the Service de Physique de l’Etat Condensé (CEA-Saclay), where he worked on the dynamics of glassy systems and on granular media. He became interested in economics and theoretical finance in 1991.

His work in finance includes extreme risk models, agent based simulations, market microstructure and price formation. In 1994, he founded the company Science & Finance, which later merged with Capital Fund Management (CFM) in 2000. He was awarded the IBM young scientist prize in 1990 and the CNRS Silver Medal in 1996. He has published over 250 scientific papers and several books in physics and in finance.

Rama Cont

Rama CONT is Professor of Mathematics and Chair in Mathematical Finance at Imperial College London, Director of the CFM-Imperial Institute of Quantitative Finance. and co-Director of the EPSRC Centre for Doctoral Training in Financial Analytics and Computing.

He joined Imperial College in 2012 after holding  teaching and research positions at Ecole Polytechnique (France), Columbia University (New York) and Université Pierre & Marie Curie (Paris VI).

Rama Cont’s research focuses on stochastic analysis, stochastic processes and mathematical modeling in finance, in particular the modeling of extreme market risks: discontinuities in market behavior, extreme risks, endogenous risk and systemic risk. He has participated in numerous consulting projects for financial institutions and regulators in the UK, Europe, US and Asia. He has co-authored more than 60 research publications, including the widely cited monograph Financial Modelling with Jump Processes (2003), and is the Editor-in-Chief of a major reference work, the Encyclopedia of Quantitative Finance (Wiley 2010). He served as Chair of the SIAM Activity Group on Financial Mathematics and Financial Engineering (2010-2012).

Prof. Cont was awarded the Louis Bachelier Prize  by the French Academy of Sciences in 2010 for his research on mathematical modeling in finance.

He holds a Doctorat from Université de  Paris Sud (Orsay), a Masters degree in Theoretical Physics from  Ecole Normale Supérieure (Paris) and a BSc from Ecole Polytechnique (France).

Charles-Albert Lehalle

Charles-Albert Lehalle is Senior Research Advisor at Capital Fund Management (CFM) and a member of the CFM-Imperial Institute of Quantitative Finance. He was formerly Global Head of Quantitative Research at Crédit Agricole Cheuvreux, and Head of Quantitative Research on Market Microstructure in the Equity Brokerage and Derivative Department of Crédit Agricole Corporate Investment Bank.

With a Ph.D. in applied mathematics on stochastic processes, information theory and nonlinear control, Charles- Lehalle lectures at “Paris 6 (El Karoui) Master of Finance” (Ecole Polytechnique, ESSEC, Ecole Normale Supérieure) and MASEF/ENSAE one.

Since the financial crisis, Charles-Albert has studied market microstructure evolution and regulatory changes in Europe and the US, and has provided research and expertise on these topics to investors, intermediaries and policy-makers such as the European Commission, the French Senate and the UK Foresight Committee. He belongs to the Consultative Workgroup on Financial Innovation of the ESMA and to the Scientific Committee of the French regulator (AMF).

He has published many academic papers about the use of stochastic control and stochastic algorithms to optimize trading flows with respect to flexible constraints. He has also authored papers on post-trade analysis, market impact estimation and modelling the dynamics of limit order books. He also authored the book “Market Microstructure in Practice” and co-edited the book “Market Microstructure: Confronting Many Viewpoints”.

Eyal Neuman

Eyal Neuman is a  Research Associate at the Department of Mathematics at Imperial College London. His research interests are in the area of probability and stochastic processes. He is mainly working on stochastic partial differential equations and mathematical finance. Previously he was a Visiting Assistant Professor at the University of Rochester. Eyal received his PhD in stochastic processes from the Technion in 2014.