Olivier Guéant is a French

mathematician A mathematician is someone who uses an extensive knowledge of mathematics in their work, typically to solve mathematical problems. Mathematicians are concerned with numbers, data, quantity, mathematical structure, structure, space, Mathematica ...

, focusing on

mean field game theory Mean-field game theory is the study of strategic decision making by small interacting agent (economics), agents in very large populations. It lies at the intersection of game theory with stochastic analysis and control theory. The use of the term " ...

and

financial mathematics Mathematical finance, also known as quantitative finance and financial mathematics, is a field of applied mathematics, concerned with mathematical modeling in the Finance#Quantitative_finance, financial field. In general, there exist two separate ...

. He is currently a Full Professor of

applied mathematics Applied mathematics is the application of mathematics, mathematical methods by different fields such as physics, engineering, medicine, biology, finance, business, computer science, and Industrial sector, industry. Thus, applied mathematics is a ...

at the Université Paris 1 Panthéon Sorbonne.

Background

Guéant studied mathematics and economics at Ecole Normale Supérieure and also studied at

Harvard Harvard University is a private Ivy League research university in Cambridge, Massachusetts, United States. Founded in 1636 and named for its first benefactor, the Puritan clergyman John Harvard, it is the oldest institution of higher lear ...

. He defended the first PhD thesis on mean field games under the supervision of

Pierre-Louis Lions Pierre-Louis Lions (; born 11 August 1956) is a French mathematician. He is known for a number of contributions to the fields of partial differential equations and the calculus of variations. He was a recipient of the 1994 Fields Medal and the 19 ...

. Guéant's PhD was awarded the Rosemont Demassieux prize. In 2010, along with Jean-Michel Lasry,

, and Henri Verdier, Guéant founded a start-up called MFG-Labs, pioneering

Big Data Big data primarily refers to data sets that are too large or complex to be dealt with by traditional data processing, data-processing application software, software. Data with many entries (rows) offer greater statistical power, while data with ...

. The company was acquired by

Havas Media Havas Media Group is the media division of the global marketing and communications group Havas. It incorporates the media assets of Havas, which includes predominantly entities which were formerly known as Media Planning Group (MPG). MPG was crea ...

in 2013. From 2010 to 2015, Guéant served as Associate professor in applied mathematics at

Paris Diderot University Paris Diderot University, also known as Paris 7 (), was a French university located in Paris, France. It was one of the inheritors of the historic University of Paris, which was split into 13 universities in 1970. Paris Diderot merged with Pari ...

. He then briefly served as Professor of Quantitative finance at ENSAE, and then accepted a Full Professorship of applied mathematics at the Sorbonne where he now serves. His research on financial mathematics focuses on optimal execution and market making. He also worked with Roger Guesnerie, Jean-Michel Lasry and Olivier David Zerbib on environmental interest rates. Between 2014 and 2017, Guéant was sitting on the Scientific Advisory Board of Havas Media.

Mathematical modelling in finance

As an expert of financial mathematics and stochastic control, Guéant has published several books and articles on liquidity management, optimal orders execution and multi-asset market making. He is also an expert on pricing and asset management. Along with Charles-Albert Lehalle and Joaquin Fernandez-Tapia, he notably solved the Avellaneda-Stoikov equations, which are key to dealing with

inventory Inventory (British English) or stock (American English) is a quantity of the goods and materials that a business holds for the ultimate goal of resale, production or utilisation. Inventory management is a discipline primarily about specifying ...

risk in market making.

Books

*''Paris-Princeton Lectures on Mathematical Finance 2010'', 2011 *''The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making'', 2016

Awards

*AAENSAE Prize for his research on environmental interest rates, 2008 (with Olivier David Zerbib) *Rosemont-Demassieux Prize for his PhD on mean field game theory, 2010 *IEF-FBF Prize of the best paper in Finance, 2016 (with Charles-Albert Lehalle) *Best Young Researcher in Finance and Insurance 2023 (IEF/Scor Foundation for Science)

References

{{DEFAULTSORT:Gueant, Olivier Year of birth missing (living people) Living people 21st-century French mathematicians