Dylan POSSAMAI

CMAP
Ecole Polytechnique
91128 Palaiseau Cedex
France

Phone: +33 1 69 33 46 17
Email: dylan.possamai_at_polytechnique.edu

I have obtained my PhD at CMAP, Ecole Polytechnique. under the supervision of Nizar Touzi

CV

CV.

Research Interests

Stochastic analysis, Second-order BSDEs and financial applications, Volatility uncertainty, Pincipal/Agent problems.

Working Papers

• Possamaï, D. (2011), Second-order backward stochastic differential equations with continuous coefficient, preprint.

• Possamaï, D., Zhou, C. (2011), Second-order backward stochastic differential equations with quadratic growth, preprint.

• Matoussi, A., Possamaï, D., Zhou, C. (2011), Second-order reflected backward stochastic differential equations, preprint.

Accepted Papers

• Pagès, H., Possamaï, D. (2012), A mathematical treatment of bank monitoring incentives, Finance and Stochastics (accepted with minor revisions).

• Matoussi, A., Possamaï, D., Zhou, C. (2012), Robust utility maximization in non-dominated models with 2BSDEs, Mathematical Finance (accepted with minor revisions).

• Possamaï, D., Soner, H.M., Touzi, N. (2012), Large liquidity expansions of superhedging costs, Asymptotic Analysis, to appear.

Other Papers

• Gauthier, P., Possamaï, D. (2009), Efficient simulation of the double Heston model.

• Gauthier, P., Possamaï, D. (2009), Efficient simulation of the Wishart model.

• Gauthier, P., Possamaï, D. (2009), Prices expansions in the Wishart model.

Thesis

• Possamaï, D. (2011), A journey through second-order BSDEs and other contemporary issues in mathematical finance, PhD thesis.