Biography
I obtained my PhD in mathematics (theoretical statistics) & computer science (reinforcement learning) at Inria Lille (team Scool, formerly SequeL) & CRIStAL (CNRS) in 2024, under the supervision of Philippe Preux and Odalric-Ambrym Maillard.
My research focused on reinforcement learning and stochastic bandits in risky, nonparametric environments. I also collaborated with François Pattou (PU-PH at CHU Lille and Inserm) and his team to design personalised, data-driven follow-up programmes after bariatric surgery for patients living with obesity.
- Stochastic Processes
- Reinforcement Learning
- Stochastic Bandits
- Nonasymptotic statistics
- AI for Health
- Obesity and Bariatric Surgery
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PhD in Mathematics/Computer Science, 2024
Inria Scool.
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MSc in Machine Learning (MVA), 2020
École Normale Supérieure Paris-Saclay
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MSc in Probability and Finance (El Karoui), 2016
École Polytechnique and Sorbonne Université (Paris VI)
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Bs in Mathematics (M1), 2015
École Normale Supérieure Paris-Saclay
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École Préparatoire MPSI/MP*, 2013
Lycée Privé Sainte-Geneviève
Talks
Experience
Interest rates volatility, flow credit.
- Modelling credit defaults and rates volatility using stochastic processes and Monte Carlo simulation.
- Implementation using Slang and SecDb proprietary tools, monitoring of real-time, distributed systems.
- Bond trading strategies (corporate, illiquids, structured notes, callables).
Oxford-Man Institute is a research lab focused on mathematics, machine learning and quantitative finance, jointly led by Oxford University and Man AHL. My research was supervised by Terry Lyons.
- Rough paths theory, an abstract analytical and algebraic framework to study complex and noisy signals.
- Application of path signature to data analysis.
- Prediction of seismic events on real-world mining data.
Academic duties
AISTATS 2022 (top reviewer)
EWRL 2022
AISTATS 2023 (top reviewer)
ALT 2024
AISTATS 2024 (top reviewer)
Projects
Bariatric Weight Trajectory Prediction
An online prediction tool for weight loss trajectory after bariatric surgery.
Stochastic
All sorts of stochastic simulations.
ito-diffusions
Libraries for stochastic processes simulation and visualization.
Bond pricer
Interactive bond pricer, yield calculation and Monte Carlo pricing for callable.
Expander graphs
Implementation of several expanders and empirical evidence of spectral and connectivity properties. Contribution to the networkx library.
Random matrices
Web app on spectral properties of large random matrices.
Markov Epidemic
Markov stochastic models (SIS, SIR, SEIR…) to describe the evolution of epidemics on a network of connected individuals.
Neural exploration
Analysis and implementation of neural approximator for contextual bandits and episodic MDP.
Continuity of Graph Embeddings
Theoretical and practical continuity of various graph embeddings (eigenmap, deep walk, graph kernels, random walk factorisation…)
Optimal Transport Correlation
Geometric study of correlation matrix via Frechet mean.
Connectivity Loss
Train robust autoencoder with topological loss.
Fractal
Fractal generation in Python using Just-In-Time (JIT) compilation and Numba.
rlberry
A Reinforcement Learning Library for Research and Education.
![Gambler's ruin in Astro and the accuracy of Gaussian approximation [3]](/post/astro_3/featured_huf3ab832a520cd33fdf9f12b27fb42cfc_1592137_150x0_resize_lanczos_3.png)
![Gambler's ruin in Astro and the accuracy of Gaussian approximation [2]](/post/astro_2/featured_hu1bba7ef1f5491ff3f417e6b0f61eb271_39682_150x0_resize_q75_lanczos.jpg)
![Gambler's ruin in Astro and the accuracy of Gaussian approximation [1]](/post/astro_1/featured_hu0f1381df591e1d1a8430628e1d30a292_452058_150x0_resize_lanczos_3.png)
Contact
- firstname[dot]jr[dot]surname[at]gmail[dot]com