Noufel Frikha |
Teaching Assistant |
| CMAP UMR 7641 |
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| École Polytechnique CNRS |
| Route de Saclay |
| 91128 Palaiseau Cedex France |
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| phone: (+33)(0) 1 69 33 46 27 |
| e-mail: Noufel Frikha |
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Research Interests
I defended my PhD Thesis entitled Contribution à la modélisation et à la gestion dynamique du risque des marchés de l'énergie in December 2010, under the direction of Gilles Pagès. You can download the manuscript here.
- Stochastic Approximation
- Variance reduction methods
- Deterministic and Stochastic Control problems
- Risk measures
- Risk Hedging
- Energy markets
Teaching
(2009-2010) and (2010-2011). At the Université Pierre & Marie Curie :
- LM 121: Calcul Vectoriel et Matriciel
(2010-2011). At the Université d'Evry Val d'Essonne :
- LM 21: Algèbre Linéaire et Espace Vectoriel
(2010-2011). At the Ecole Nationale de la Statistique et de l'Administration :
- Introduction aux mathématiques financières
(2011-2012). At the Ecole Polytechnique :
Publications & Preprints
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with O. Bardou and G. Pagès (2008): Recursive Computation of Value-at-Risk and Conditional Value-at-Risk using MC and QMC , Monte Carlo and Quasi-Monte Carlo Methods 2008, Part 3, 193-208 (Link).
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with O. Bardou and G. Pagès (2009): Computing VaR and CVaR using Stochastic Approximation and Adaptive Unconstrained Importance Sampling , Monte Carlo Methods and Applications, 15(3):173-210, (HAL).
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with V. Lemaire (2010): Joint modelling of Gas and Electricity spot prices , Preprint (HAL), forthcoming in Applied Mathematical Finance.
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with O. Bardou and G. Pagès (2010): CVaR hedging using quantization based stochastic approximation algorithm , Preprint (HAL), in revision.
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with A. Sagna (2011): Quantization based Recursive Importance Sampling , Preprint (HAL), in revision.
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(2012): Shortfall risk minimization in discrete time financial market models , Preprint (HAL), in revision.
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with S. Menozzi (2012): Concentration Bounds for Stochastic Approximations, Preprint (HAL), submitted.
Recent Talks
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December 12, 2011 : Some considerations about rare events (plenary talk), (Horizon Maths), Fondation sciences Mathématiques de Paris, AREVA.
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November 23, 2011 : ENSTA workgroup, CVaR hedging using quantization based stochastic approximation algorithm.
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October 21, 2011 : (FIME seminar), Laboratoire de Finance des Marchés de l'Energies, CVaR hedging using quantization based stochastic approximation algorithm.
Miscellaneous
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I'm in charge of organizing the weekly workgroup "Stochastic models in Finance" of the CMAP. If you want to present some of your research, please contact me.
