• Prize for best Master’s Thesis in Quantitative Finance

    Student in front of a jury to present her Master thesis

    Each year, Natixis calls for submissions from 30 Tier 1 quantitative finance Masters programs in Europe – France, UK, Belgium, Switzerland, Italy – to select the best theses conducted in their respective courses.

    2020 Laureates

    This year, we received 18 theses from 11 different Masters programs, with topics reflecting recent technological innovation. More than half of the documents submitted covered the application of data science (machine learning) to market finance i.e. derivatives pricing, market risk hedging, cryptocurrencies, forecasting.

     

    The Natixis Foundation's Scientific Committee was impressed by the exceptional quality of the theses it received. Contrary to misconception, the quality of students and teaching in these key programs is not deteriorating but rather is absolutely remarkable.

    Jean Cheval, President of Natixis Foundation for Research & Innovation

     

    Natixis Fondation Prix 2020 du meilleur mémoire en finance quantitative 

     

    From left to right: Jean Cheval, President of the Natixis Foundation for Research & Innovation; Gilles Pagès, Director of the Probabilities and Finance Master's Degree at the Université Pierre et Marie Curie Paris 6 and École Polytechnique; Olivier Pironneau (on screen), Académie des Sciences and member of the scientific committee of the Natixis Foundation; Mathieu Rosenbaum, professor at the École Polytechnique and winner of the 2020 Louis Bachelier Prize; Nicole El Karoui, founder of the Probabilities and Finance Master's Degree at Pierre et Marie Curie University Paris 6 and École Polytechnique; Pierre Gasnier (on the screen at the top right), winner of the 2020 Best Master's Thesis Prize, Université Pierre et Marie Curie Paris 6 and École Polytechnique; Charles-Albert Lehalle (on the screen at the bottom right), Capital Fund Management and member of the scientific committee of the Natixis Foundation; Lukas-Benedikt Fiechtner, winner of the 2020 Best Master's Thesis Prize, University of Oxford; Michel Crouhy, President of the scientific committee of the Natixis Foundation.

     

    • Pierre Gasnier
      Thesis: "Mean Field Game Theory for Gas Storage Valuation", realized at BP London
      Master: M2 “Probabilities and Finance”, Pierre and Marie Curie - Paris VI University and École Polytechnique

      "The subject of my work was to solve an optimal trading problem where the price dynamic depends of the actions, buying or selling, of the market agents. Mean field game theory simplifies the problem considering there is an infinite number of agents, but they have individually an infinitesimal impact. In my thesis, I show that the state of equilibrium of this game is not only the solution of a partial differential equation but also is the limit of a series of games where the market agents adapt naively their strategies to the previous games, giving us therefore two different numerical methods to solve the problem."

     

    • Lukas-Benedikt Fiechtner
      Thesis: "Risk Management with Generative Adversarial Networks"
      Master : MSc in Mathematical and Computational Finance, University of Oxford

      "In my work I apply Generative Adversarial Networks, a novel machine learning technique, to generate artificial stock price trajectories whose statistical properties closely match those of real financial time series. Leveraging this generative power one can greatly enlarge the dataset available to estimate risk measure such as Value-at-Risk. An out-of-sample backtest shows that this methodology is competitive with traditional Value-at-Risk estimation methods such as historical simulation. The work also paves the way for future applications of GANs in financial mathematics. For instance, one could backtest trading strategies using artificially generated data."

    Previous laureates by year

    2019

    Michal Kozyra
    Subject: « Deep learning approach to hedging »
    Master: MSc in Mathematical and Computational Finance, University of Oxford

    Watch his video    READ HIS THESIS 

    Wei Xiong
    Subject: « Machine learning in financial market risk: VaR Exception classification model », realized at J.P. Morgan
    Master: M2MO Random Modelling, Université Paris Diderot

    Watch his video    READ HIS THESIS


    2018 Redwan Bouizi
    Thesis : "Financial time series forecasting using wavelet transform and reservoir computing paradigm", realized at Quant Finance
    Master : MSc in Mathematics and Finance – Imperial College – Londres

    Soufiane Hayou
    Thesis : "Cleaning the correlation matrix", realized at Bloomberg, New York
    Master : Master 2 "Probabilités et Finance" - Université Pierre et Marie Curie Paris 6 and École Polytechnique

    2017
    Aitor Muguraza Gonzalez
    Thesis : "Rough volatility: Characterization of VIX in rBergomi and extension to numerical schemes", realized at Zeliade Systems
    Master : MSc in Mathematics and Finance – Imperial College – Londres

    Jean-Christophe Dietrich
    Thesis : "Initial margin funding cost for rate products", realized at Goldman Sachs
    Master : Master M2MO Random Modelling - Université Paris Diderot

    Hayssam Sabra
    Thesis : « Currency management methods for international portfolios »
    Master : Master of Science in Wealth Management - University of Geneva

    2016
    Guillaume Ausset
    Thesis : « Ensembles d'Arbres – Théorie et application au scoring », realized at Crédit Agricole
    Master : Master "Mathématiques de l'Assurance, de l'Économie et de la Finance" (MASEF)

    Sébastien Geeraert
    Thesis : « Calcul de sensibilités par AAD » (Adjoint Algorithmic Differentiation), realized at MUREX
    Master 2 "Probabilités et Finance" - Université Pierre et Marie Curie Paris 6 and École Polytechnique

    Abdou Kélani
    Thesis : « Couverture Optimale des Garanties de type Variable Annuities en présence de Risques Financiers Extrêmes », realized at Laboratoire SAF de l'ISFA
    Master : ISFA – Université Lyon 1

    2015
    Claire Monin
    Thesis : « Optimisation multiobjectif de l’allocation stratégique par un algorithme génétique », realized at BNP Paribas Cardif
    Master : Institut de Science Financière et d’Assurances (ISFA) - Université de Lyon 1

    Julien Doumergue
    Thesis : "Optimal Hedging Strategies using Stochastic Space Barriers and its Application to Financial Products", realized at BNP Paribas UK
    Master : Master 2 "Probabilités et Finance" - Université Pierre et Marie Curie Paris 6 and École Polytechnique

    Shuren Tan
    Thesis : "Reconstructing the Joint Probability Distribution from Basket Prices"
    Master : MSc in Mathematics and Finance – Imperial College – Londres

    2014

     


    Johannes Heinrich
    Thesis : "Reinforcement Learning for Algorithmic trading"
    Master : MSc in Mathematics and Finance – Imperial College – Londres

    Joël Bun
    Thesis : "Out-of-Sample Risk Optimization Using Random Matrix Theory", realized at Capital Fund Management
    Master : Master 2 "Modélisation Aléatoire" - Université Paris Diderot

    Salmane Lahdachi
    Thesis : « Environnement Multi-Courbes et Marges de Basis Stochastiques », realized at Crédit Agricole – CIB
    Master : Master 2 "Probabilités et Finance" - Université Pierre et Marie Curie Paris 6 and École Polytechnique

    2013
    Jiatu Cai
    Thesis : « Risque de Contrepartie et de Liquidité », realized at Crédit Agricole - CIB
    Master : Master 2 "Modélisation Aléatoire" – Université Paris 7 – Paris Diderot

    Jens Olov Michael Ronnqvist
    Thesis : "Default Contagion in Financial Networks"
    Master : MSc in Mathematics and Finance – Imperial College – Londres

    Olivier Daviet
    Thesis : "Commodity Futures Contagion and Diversification Potential : An Empirical Study in the U.S. Market"
    Master : Master of Science in Finance - University of Geneva

    2012
    Tung-Lam Dao
    Thesis : "Momentum Strategies : From Novel Estimation Techniques to Financial Applications", realized at LYXOR
    Master : Master "Modélisation Aléatoire" – Université Paris 7 – Paris Diderot

    Marouan Iben Taarit
    Thesis : "Market Liquidity and Adverse Permanent Effects in Hedging Equity & Interest Rates Derivatives", realized at GRO (Crédit Agricole)
    Master : Master "Mathématiques et Applications" – Parcours Finance – Université Paris-Est Marne-la-Vallée – École des Ponts Paris Tech

    Adrien Grangé Cabane
    Thesis : « Étude des Modèles de Corrélation en Finance », realized at Société Générale
    Master : Master 2 "Probabilités et Finance" - Université Pierre et Marie Curie Paris 6 and École Polytechnique

    2011
    Anthony Darné
    Thesis : « Remporter les appels d’offres de retraite supplémentaire grâce au Liability Driven Investment », realized at BNP Paribas Assurances
    Master : Master Université Claude Bernard Lyon 1 – ISFA

    Mauricio Labadie
    Thesis : "Optimal Algorithmic Trading and Market Microstructure", realized at Chevreux – Crédit Agricole
    Master : Université Paris Dauphine – Master 104

    2010
    Rija Razanatsimba
    Thesis : « Validation de Modèles de Valorisation sur les Marchés Électriques », realized at EDF Trading
    Master : Master Université Paris-Est Marne-la-Vallée

    Martin Jimenez Sanchez
    Thesis : "Variable Annuities – the GMxB guarantees and the GMWB’s Optimal Surrender Behavior", realized at Milliman
    Master : Master Université Claude Bernard Lyon 1 – ISFA

    2009
    Anas Benabid
    Thesis : « Modèle à volatilité stochastique de Wishart »
    Master : Master 2 "Probabilités et Finance" - Université Pierre et Marie Curie Paris 6 and École Polytechnique

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