Julien Vaes

Julien Vaes is a PhD student in the Numerical Analysis Group at the University of Oxford, and is affiliated to Worcester College, Oxford. His research interests are related to optimisation under uncertainty and game theory applied to finance and energy. He obtained a MSc in Mathematical Engineering from UCLouvain and a MSc in Engineering from the Ecole Centrale de Paris.

Articles by Julien Vaes

Original research

Optimal trade execution with uncertain volume target

This paper demonstrates that risk-averse traders can benefit from delaying trades using a model that accounts for volume uncertainty.

10 Aug 2022