This prize is awarded to one or several outstanding master theses on current challenging issues that banks, insurance companies and asset management firms must address. These contributions call for the use of the most sophisticated quantitative finance techniques.

2019 Laureates

Michal Kozyra: "Deep learning approach to hedging"

• 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

• 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