tel: + 33 (0) 1 69 33 46 25
fax: + 33 (0) 1 69 33 30 11
http://www.cmap.polytechnique.fr/~bionnada/
email: jocelyne.bion-nadal (at) cmap.polytechnique.fr

Member of the CMAP team "Financial market modeling"
(équipe "Mathématiques Financières")

CMAP Centre de Mathématiques Appliquées UMR 7641 CNRS /Ecole Polytechnique Ecole Polytechnique 91128 Palaiseau Cedex

Ongoing collaborations

Giulia Di Nunno, University of Oslo, Norway
Denis Talay, INRIA, Sophia Antipolis, France
Member of the project CAESARS (Control and simulation of electric systems, interaction and robustnesss) supported by the ANR, PI Emmanuel Gobet.

Former collaborations

Sara Biagini, LUISS, Roma, Italy
Nicole El Karoui, co-supervision of the PhD Thesis of Mohamed Nabil Kazi-Tani on "Analysis of Backward SDEs with Jumps and Risk Management Issues", PhD dissertation on Hal (2012).
Magali Kervarec, Univ. Evry.

Papers

Bion-Nadal Jocelyne and Talay Denis,
"On a Wasserstein-type distance between solutions to stochastic differential equations"
Submitted, preprint Nov. 2017, hal-01636082

Bion-Nadal Jocelyne and Di Nunno Giulia,
"Fully-dynamic risk-indifference pricing and no-good-deal bounds"
Submitted, preprint Nov. 2017, arXiv:1711.05567

Bion-Nadal Jocelyne,
"Dynamic Risk Measures and Path-Dependent Second Order PDEs"
Stochastics of Environmental and Financial Economics, Fred Espen Benth and Giulia Di Nunno Eds, Springer Proceedings in Mathematics & Statistics Volume 138, 2016 (online 24 Oct. 2015, Open Access - paper here).

Bion-Nadal Jocelyne and Di Nunno Giulia,
"Representation of convex operators and their static and dynamic sandwich extensionss"
Preprint 5 Dec. 2014, arXiv:1412.2030
Journal of Convex Analysis 24 (2017), no. 4 (here)

Biagini Sara and Bion-Nadal Jocelyne
"Dynamic quasi-concave performance measures"
Preprint 17 Dec. 2012, arXiv:1212.3958
Journal of Mathematical Economics, Volume 55, December 2014, Pages 143.153 (doi:10.1016/j.jmateco.2014.02.007)

Bion-Nadal Jocelyne
"A new probabilistic approach to non local and fully non linear second order partial differential equations"
Preprint 6 Oct. 2012, arXiv:1210.1955

Bion-Nadal Jocelyne
"Time consistent convex Feller processes and non linear second order partial differential equations"
Preprint 6 July 2012, arXiv:1207.1742

Bion-Nadal Jocelyne and Di Nunno Giulia
"Dynamic no-good-deal pricing measures and extension theorems for linear operators on $L_\infty$"
Preprint 25 February 2011 (with title "Extension theorems for linear operators on $L_\infty$ and application to price systems"), arXiv:1102.5501
Finance and Stochastics, (online 30 August 2012), July 2013, Volume 17, Issue 3, pp 587-613

Bion-Nadal Jocelyne and Kervarec Magali
"Dynamic risk measuring under model uncertainty: taking advantage of the hidden probability measure"
Preprint 28 December 2010, arXiv:1012.5850

Bion-Nadal Jocelyne and Kervarec Magali
" Risk measuring under model uncertainty "
Preprint 30 April 2010, arXiv:1004.5524v1 [q-fin.RM] and ideas.repec.org
Annals of Applied Probability, Volume 22, Number 1 (2012), 213-238

Bion-Nadal Jocelyne
"Dynamic pricing models calibrated on both liquid and illiquid assets"
International Journal of Economic Research, Vol.9 No.1 (2012) Pages: 153-173
Preliminary version " Time Consistent Dynamic Limit Order Books Calibrated on Options ",
preprint 22 Sept. 2008, arXiv:0809.3824 [q-fin.TR] and CMAP preprint #642

Bion-Nadal Jocelyne
" Bid-Ask Dynamic Pricing in Financial Markets with Transaction Costs and Liquidity Risk "
Journal of Mathematical Economics Volume 45, Issue 11, 1 December 2009, Pages 738-750
Abstract and full text (ScienceDirect)
(Paper listed by Science Direct as the 2nd most downloaded article of the Journal for the period October-December 2009, and the 5th for the period January-March 2010)
Preprint March 2, 2007: arXiv:math/0703074 [math.PR] and CMAP preprint #613

Bion-Nadal Jocelyne
" Time Consistent Dynamic Risk Processes "
Stochastic Processes and their Applications Volume 119, Issue 2, February 2009, Pages 633-654 [doi:10.1016/j.spa.2008.02.011]
Abstract and full text (ScienceDirect)
(Paper listed by Science Direct as the 10th most downloaded article of the Journal for the period January-March 2009)
Preprint July 7, 2006: arXiv:math/0607212 [math.PR]

Bion-Nadal Jocelyne
" Dynamic Risk Measures: Time Consistency and Risk Measures from BMO Martingales "
Finance and Stochastics, Volume 12, Number 2 (avril 2008), 219-244
Online November 30, 2007 - Preprint March 9, 2006 (pdf)

Bion-Nadal Jocelyne
" Dynamic risk measuring: discrete time in a context of uncertainty, and continuous time on a probability space "
CMAP preprint #596, March 8, 2006

Bion-Nadal Jocelyne
" Pricing functions and risk measures in incomplete markets "
CMAP preprint #577, 2005

Bion-Nadal Jocelyne
" Conditional risk measure and robust representation of convex conditional risk measures "
CMAP preprint # 557, 2004

Bion-Nadal Jocelyne
" A free Girsanov property for free Brownian motion "
Journal of Operator Theory (JOT)Volume 55, Issue 2 (2006) pp. 373-392
Full text from the JOT web site - CMAP preprint # 546 (2004)

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" Characterization of a Wasserstein type distance in terms of a stochastic control problem ",
Advances in Stochastic Analysis for Risk Modeling, CIRM, Marseille, 13-17 November 2017.

" New calibration methodology for diffusion models ",
International Conference on Stochastic Analysis and Applications, Hammamet, Tunisia, October 24-27, 2017.

" Dynamic risk indifference pricing ",
8th General AMaMeF Conference, Amsterdam, June 19-23, 2017

" Feyman-Kac formula for differential operators with Path-dependent coefficients "
Lecture given at the University of Oslo, 21 March 2017.

" Dynamic Risk Measures and Path-Dependent Second Order PDEs ",
contributed talk, 9th World Congress of the Bachelier Finance Society, New-York, 15-19 July 2016.

" Path-dependent parabolic PDEs and Path-dependent Feyman-Kac formula ",
Séminaire Bachelier, Paris, 8 janvier 2016 (slides).

" Path-Dependent Second Order PDEs and Dynamic risk measures ",
Séminaire probabilités et statistiques, Laboratoire Manceau de Mathématiques, Le Mans, 1/12/2015.

" Path-Dependent Second Order PDEs and Path dependent martingale problem ",
International Conference on Stochastic Analysis and Applications, Hammamet, Tunisia, October 19-23, 2015

" Path-Dependent Second Order PDEs and Dynamic Risk Measures ",
7th General AMaMeF and Swissquote Conference, EPFL, Lausanne, Sept. 7-10, 2015

" Incertitude de modèle et mesures de risques ",
Séminaire de probabilités et statistiques, LAGA, Université Paris 13, 6 mai 2015

" Robust evaluation of risks under model uncertaintys ",
Mathematical Finance Nomura seminar, Mathematical Institute, Oxford, 29 Jan 2015

" Correspondance between Dynamic quasi-concave Performance Measures and parametric families of Dynamic Risk Measures ",
mini-symposium "Dynamic Risk and Performance Measures and related fields" during the 2014 SIAM Conference on Financial Mathematics (FM14), Chicago, USA, November 13-15, 2014

" Model uncertainty and martingale problem ",
Stochastics of Environmental and Financial Economics, The Norwegian Academy of Sciences and Letters, Oslo, Norway, Sept 15-19, 2014

" Martingale problem for path dependent diffusion processes with jumps ",
Conference Stochastic Calculus, Martingales and Financial Modeling, National research university 'Higher school of economics', Saint Petersburg, Russia, June, 29-July, 6, 2014

" Martingale problem for integro-differential operators with path dependent coefficients ",
Seminar, Center of Mathematics for Applications (CMA), University of Oslo, Oslo, 18 June 2014

" Martingale problem for path dependent diusion processes application to robust pricing ",
London Mathematical Finance Seminar, London Graduate School in Mathematical Finance (Birkbeck College, Brunel University, Cass Business School, Imperial College, King's College, LSE and UCL), London, 31 Oct. 2013

" Path dependent diffusion processes with jumps " ,
Stochastic analysis and applications (LSAA 2013): Mean field modeling, systemic risk and risk management, Linnaeus University, Vaxjo, Sweden, 22-24 May 2013

" Time consistent risk measures and second order partial differential equations ",
Colloquium Talk, ORFE, Princeton University, 9 April 2013

" Dynamic Risk Measures under model uncertainty ",
Séminaire probabilités et statistiques, Université du Maine, Le Mans, 14 février 2013.

" Time consistent dynamic pricing in financial markets with volatility uncertainty or more generally model uncertainty ",
contributed talk, The Seventh Bachelier Colloquium on Mathematical Finance and Stochastic Calculus, January 13-20, 2013, Métabief, France.

" Dynamic risk measures and Non linear second order partial differential equations ",
Southern African Mathematical Sciences Association International Conference, Lilongwee, Malawi, 26-29 novembre 2012

" Dynamic Risk Measures and PDE Application to a Stochastic Volatility Model ",
contributed talk, Workshop on Stochastic and PDE Methods in Financial Mathematics, September 7-12, 2012, Yerevan, Armenia
[slides]

" Construction de processus dynamiques. Application à la résolution d'équations aux dérivées partielles du second ordre ",
Journées de probabilités 2012, 18-22 juin 2012, station biologique de Roscoff

" Dynamic no good deal pricing measures ",
Seminari di Probabilità, Analisi Stocastica e Statistica, Dipartimento di Matematica, Università di Pisa, April 19, 2012.

" Time consistent dynamic processes and second order partial differential equations ",
International Conference on Stochastic Analysis and Applications, Hammamet, October 10 -15, 2011, Tunisia

" Dynamic Risk Measuring under Model Uncertainty: a Hidden Probability Measure ",
Stochastic Analysis Seminar, Centre of Mathematics for Applications (CMA), University of Oslo, February 15, 2011.

" Dynamic risk measures under model uncertainty: the hidden probability measure ",
Groupe de travail "Probabilités Numériques et Finance", LPMA, UPMC et Paris-Diderot, December 16, 2010.

" Convex risk measures under model uncertainty ",
New advances in Backward SDEs for financial engineering applications, October 25-28, 2010, Tamerza, Tunisie

" Model uncertainty: revealing the hidden probability measure. Application to risk measuring ",
Séminaire Bachelier, Paris, 22 October, 2010

" Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk ",
contributed talk, 6th World Congress of the Bachelier Finance Society, June 17-19, 2010, Toronto

" Dynamic pricing models calibrated on both liquid and illiquid assets ",
contributed talk, 1st World Finance Conference 2010, 26th-28th May, 2010, Viana do Castelo, Portugal.

" Marché financier avec risque de liquidité: Mesures de risques et dynamique des prix "
Séminaire du CMAP, Tuesday Oct. 23rd, 2007.

" Bid Ask Dynamic Pricing under Transaction Costs and Liquidity Risk "
Innovations in Mathematical Finance, Loen, Norway, June 25 - July 1, 2007.

" Fonctions de prix dynamiques dans les marchés financiers avec coûts de transaction et risque de liquidité "
Séminaire Bachelier, Paris, May 11, 2007.

" Mesures de Risque Dynamiques " (Dynamic Risk Measures, pdf presentation).
Seminar, Laboratoire de Statistique et Processus, Université du Maine, Le Mans, 1er mars 2007

" Dynamic Risk Measures and Bid-Ask Dynamic Pricing " (abstract)
Seminar, Talks in Financial and Insurance Mathematics, ETH Zurich, Nov. 16, 2006

" Dynamic pricing in incomplete markets "
Fourth World Congress of the Bachelier Finance Society, Tokyo, Japan, August 17 - 20, 2006
(extended abstract for registered participants).

" Dynamic risk measuring and pricing in incomplete markets ",
Conference on Risk measures, July 6 and 7, 2006, University of Evry-Val d'Essonne.

" Pricing and risk measuring in incomplete markets and in context of uncertainty " (abstract),
First Conference of Advanced Mathematical Methods for Finance (AMaMeF), April 26-29, 2006, Side, Antalya, Turkey.

" Fonctions de prix et mesures de risque en marché incomplet " (abstract)
Séminaire Bachelier, Paris, April 22, 2005

" Conditional risk measure and robust representation of convex conditional risk measures "
Special session on Risk Measure, 21th International Conference of the French Finance Association
(AFFI 2004), University of Cergy-Pontoise, June 24-26, 2004

" A free Girsanov property for free Brownian motion "
contributed talk, 24th Annual Great Plains Operator Theory Symposium (GPOTS 2004), Texas A & M University, May 26-30, 2004.

" Une proprieté de Girsanov en probabilités libres "
Séminaire de modèles stochastiques, Ecole Polytechnique, 26 mai 2003.

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Diplomas
1977 Admitted at Ecole Normale Supérieure de Jeunes Filles (ENSJF), rank 3.
  [Today's Ecole normale supérieure (ENS) results from the union of the ENS (rue d'Ulm) and the ENSJF.]
1979 Agrégation de Mathématiques [highest degree of teaching certification in France] - admitted with rank 10.
1980 DEA de Mathématiques pures (Diploma of Advanced Studies in pure mathematics), Université Pierre et Marie Curie (UPMC)
1982 PhD Thesis, University Pierre et Marie Curie (UPMC, Paris). Thesis advisor: Alain Connes.
  Subject: "Espace des états normaux d'un facteur de type III_λ 0< λ< 1 et d'un facteur de type III₀".
  Main results published as: Canadian Journal of Mathematics, Vol 36 (1984), pp 830-882 (53 pages -- full text online)

Positions
1977-1980 Student of Ecole Normale Supérieure
1980-1984 Junior faculty member ("Agrégé répétiteur") at ENSJF
1984-1985 Research fellow at the Mathematical Sciences Research Institute (MSRI), Berkeley
    (program "K-Theory, Index Theory, and Operator Algebras")
1985-present: Research position at CNRS. Currently "Chargé de Recherche de 1ère classe"

Host laboratories:
1985 - 2003: Institut de Mathématiques de Jussieu (now Fédération de Recherche en Mathématiques de Paris Centre)
2003 - present: CMAP, Ecole Polytechnique

Feb 1-17 and May 11-June 30, 2015, Invited Fellow, program "Stochastics in Environmental and Financial Economics" (SEFE, 2014/2015), Center for Advanced Study (CAS) at the Norwegian Academy of Science and Letters, Oslo, Norway

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