Prize for best Master’s Thesis

Prize for best Master’s Thesis in Quantitative Finance

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.

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 Fundation for Research & Innovation

 

2020 Laureates

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 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: « 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

Fondation Natixis Prix meilleur mémoire Pierre Gasnier 1The 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: « Risk Management with Generative Adversarial Networks » / 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.

 

 

2019 Laureates

Michal Kozyra: "Deep learning approach to hedging" - Watch his video

  • MSc in Mathematical and Computational Finance, University of Oxford

Wei Xiong: "Machine learning in financial market risk: VaR Exception classification model", realized at J.P. Morgan - Watch his video

  • Master M2MO Random Modelling, Université Paris Diderot

 

2018 Laureates

Redwan Bouizi: "Financial time series forecasting using wavelet transform and reservoir computing paradigm", realized at Quant Finance

  • MSc in Mathematics and Finance at Imperial College

Soufiane Hayou: "Cleaning the correlation matrix", realized at Bloomberg, New York

  • Master M2 “Probabilities and Finance”, Pierre and Marie Curie - Paris VI University and École Polytechnique

 

2017 Laureates

Aitor Muguraza Gonzalez: "Rough volatility: Characterization of VIX in Bergomi and extension to numerical schemes", realized at Zeliade Systems

  • MSc in Mathematics and Finance at Imperial College

Jean-Christophe Dietrich: "Initial margin funding cost for rate products", realized at Goldman Sachs

  • Master M2MO Random Modelling, Université Paris Diderot

Hayssam Sabra: "Currency management methods for international portfolios"

  • Master of Science in Wealth Management de l'Université de Genève

 

2016 Laureates

Guillaume Ausset : "Sets of Trees: Theory and Application to Scoring Models", realized at Crédit Agricole

  • Master Mathématiques de l'Assurance, de l'Économie et de la Finance (MASEF)

Sébastien Geeraert : "Greeks Calculation by AAD (Adjoint Algorithmic Differentiation), realized at MUREX

  • Master M2 “Probabilities and Finance”, Pierre and Marie Curie - Paris VI University and École Polytechnique

Abdou Kélani : "Optimal Hedging of Guarantees such as Variable Annuities, with Extreme Financial Risks", realized at the SAF Research Lab of ISFA (Institute of Financial and Actuarial Science)

  •  ISFA – Université Lyon 1

 

2015 Laureates

Claire Monin : "Optimisation multiobjectif de l’allocation stratégique par un algorithme génétique", realized at BNP Paribas Cardif

  • Institut de Science Financière et d’Assurances (ISFA), University of Lyon 1

Julien Doumergue : "Optimal Hedging Strategies using Stochastic Space Barriers and its Application to Financial Products", realized at BNP Paribas UK

  • Master M2 “Probabilities and Finance”, Pierre and Marie Curie - Paris VI University and École Polytechnique

Shuren Tan : "Reconstructing the Joint Probability Distribution from Basket Prices"

  • MSc in Mathematics and Finance of Imperial College

 

2014 Laureates

Johannes Heinrich : "Reinforcement Learning for Algorithmic trading"

  • MSc in Mathematics and Finance of Imperial College

Joël Bun : "Out-of-Sample Risk Optimization Using Random Matrix Theory", written as part of an internship at Capital Fund Management

  • Master 2 Modélisation Aléatoire, Université Paris Diderot

Salmane Lahdachi : "Environnement Multi-Courbes et Marges de Basis Stochastiques", written as part of an internship at Crédit Agricole – CIB

  • Master M2 “Probabilities and Finance”, Pierre and Marie Curie - Paris VI University and École Polytechnique

 

2013 Laureates

Jiatu Cai : "Risque de Contrepartie et de Liquidité", realized at CA-CIB

  • Master 2 "Modélisation Aléatoire" – University Paris 7 – Paris Diderot

Jens Olov Michael Ronnqvist : "Default Contagion in Financial Networks"

  • MSc in Mathematics and Finance – Imperial College – London

Olivier Daviet : "Commodity Futures Contagion and Diversification Potential : An Empirical Study in the U.S. Market"

  • Master of Science in Finance - University of Geneva

 

2012 Laureates

Tung-Lam Dao: “Momentum Strategies: From Novel Estimation Techniques to Financial Applications”, realized at LYXOR

  • Master “Modélisation Aléatoire”, University Paris 7 – Paris Diderot

Marouan Iben Taarit: “Market Liquidity and Adverse Permanent Effects in Hedging Equity & Interest Rates Derivatives”, realized at GRO (Crédit Agricole)

  • Master “Mathématiques et Applications”, University Paris-Est Marne-la-Vallée – École des Ponts Paris Tech

Adrien Grangé Cabane: “Étude des Modèles de Corrélation en Finance”, realized at Société Générale

  • Master M2 “Probabilities and Finance”, Pierre and Marie Curie - Paris VI University and École Polytechnique

 

2011 Laureates

Anthony Darné: “Remporter les appels d’offres de retraite supplémentaire grâce au Liability Driven Investment”, realized at BNP Paribas Assurances

  • Master University Claude Bernard Lyon 1 – ISFA

Mauricio Labadie: “Optimal Algorithmic Trading and Market Microstructure”, realized at Chevreux (Crédit Agricole)

  • University Paris Dauphine – Master 104

 

2010 Laureates

Rija Razanatsimba: “Validation de Modèles de Valorisation sur les Marchés Électriques”, realized at EDF Trading”

  • Master University Paris-Est Marne-la-Vallée

Martin Jimenez Sanchez: “Variable Annuities – the GMxB guarantees and the GMWB’s Optimal Surrender Behavior”, realized at Milliman

  • Master University Claude Bernard Lyon 1 – ISFA

 

2009 Laureates

Anas Benabid: “The Wishart stochastic volatility model”

  • Master M2 “Probabilities and Finance”, Pierre and Marie Curie - Paris VI University and École Polytechnique