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Stéphane Crépey

Stéphane Crépey

Université Paris Cité

Stéphane Crépey is Distinguished professor of mathematics at Université Paris Cité (UPC), Laboratoire de Probabilités, Statistique et Modélisation (LPSM), Head of Team Mathematical Finance and Numerical Probability. His research interests are:

  • counterparty credit risk and XVA analysis, central counterparties, risk analysis;
  • machine learning in finance: supervised learning of prices, sensitivities and risk metrics from simulated payoffs, model calibration by neural nets or Gaussian processes regression, anomaly detection;
  • model risk and uncertainty quantification;
  • backward stochastic differential equations, random times modeling, enlargement of filtration.

He is the author of 80+ research papers published in journals including Annals of Probability, Annals of Applied Probability, Finance and Stochastics, Mathematical Finance, Stochastic Processes and their Applications, Electronic Journal Probability, SIAM Journal on Financial Mathematics, SIAM/ASA Journal on Uncertainty Quantification, SIAM Journal on Mathematical Analysis, Quantitative Finance, and Risk Magazine. He co-authored two books: Financial Modeling, a Backward Stochastic Differential Equations Perspective (S. Crépey, Springer Finance Textbook Series, 2013) and Counterparty Risk and Funding, a Tale of Two Puzzles (S. Crépey, T. Bielecki and D. Brigo, Chapman & Hall/CRC Financial Mathematics Series, 2014).

He graduated from ENSAE ParisTech and holds a PhD in differential games and mathematical finance from Ecole Polytechnique and INRIA Sophia Antipolis.

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