Antoine Vandendorpe

BNP Paribas

Antoine Vandendorpe is a quantitative researcher at BNP Paribas. He received an engineering degree in Applied Mathematics in 2000 and a PhD in applied Sciences in 2004, both at the University of Louvain, Louvain-la-Neuve, Belgium. During his PhD thesis, his main area of interest was system theory and linear algebra. He joined Fortis bank in 2005 in risk management. In 2006, he moved as a front office equity quantitative researcher. From 2009, he has been a member of BNP Paribas CIB Equity Derivatives research team.

Articles by Antoine Vandendorpe

Original research

An efficient algorithm to compute correlation Greeks

This paper proposes a new algorithm that allows us to compute pairwise-correlation sensitivities in a Monte Carlo framework by modifying only one trajectory at a time

11 Mar 2026

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