Nicolas Privault

Nanyang Technological University

Nicolas Privault received the Ph.D. degree from the University of Paris VI, France. He was with the University of Evry, France, the University of La Rochelle, France, and the University of Poitiers, France. He is currently a Professor with the School of Physical and Mathematical Sciences, Nanyang Technological University, Singapore. His research interests are in the areas of stochastic analysis an d its applications.

Articles by Nicolas Privault

Original research

Deep self-consistent learning of local volatility

This paper offers an algorithm for calibrating local volatility from market option prices using deep self-consistent learning, by approximating both market option prices and local volatility using deep neural networks.

16 Oct 2025

Original research

Stratified approximations for the pricing of options on average

The authors propose stratified approximations of option prices using the gamma and lognormal distributions, with an application to bond pricing in the Dothan model.

15 Feb 2016