Dr. Sylvain Corlay Laboratoire de Probabilités et Modèles Aléatoires Université Paris VI 4, Place Jussieu Case courrier 188 75252 PARIS Cedex 05 phone: (+33)(0) 1 44 27 54 75 fax: (+33)(0) 1 44 27 72 23 e-mail: Sylvain Corlay

Research Interests

• Variance reduction methods
• Optimal quantization
• Mathematical finance
• Fast nearest neighbour search
• Computation in arbitrary precision

Teaching

At the École nationale de la statistique et de l'administration économique (ENSAE ParisTech):

• Stochastic calculus and applications to finance (tutorial).

At the École Normale Supérieure de Cachan, department of mathematics:

• Introduction to measure theory, integration and probability (tutorial)
• Numerical probability (tutorial)
• Introduction to the C++ programming language (lecture and tutorial)
• Examiner for mock oral exams of the agregation of mathematics.

Preprints & Publications

1. With Gilles Pagès: Functional quantization-based stratified sampling methods, 2010, Submitted for publication (HAL).
2. The Nyström method for functional quantization with an application to the fractional Brownian motion, 2011, Preprint (HAL).
3. Partial functional quantization and generalized bridges, 2011, Submitted for publication (HAL).
4. A fast nearest neighbor search algorithm based on vector quantization, 2011, Preprint (HAL).
5. PhD thesis under the supervision of Gilles Pagès: Some aspects of optimal quantization and applications to finance, 2011, (TEL).
6. With Joachim Lebovits and Jacques Lévy Véhel: Multifractional stochastic volatility models, 2012, Submitted for publication (HAL).

Talks

1. June 19-24, 2011. Contributed talk at the 35^th Conference on Stochastic Processes and their Applications, in Oaxaca, Mexico.
2. May 19, 2011. Talk at the regular workshop of the LPMA on mathematical finance and numerical probability, in Paris.
3. December 2, 2010. Talk at the regular workshop of the LPMA on mathematical finance and numerical probability, in Paris.
4. January 6, 2010. Talk at the “Chair of Quantitative Finance” of École Centrale Paris, in Chatenay Malabry, France.
5. September 2-3, 2008. Talk at the first “Symposium on Optimal Quantization and Applications to Mathematical Finance” in Paris.

Miscellaneous

• Take a look at the optimal quantization website, of which I am the webmaster.