Futures of quantitative finance: a BNP Paribas chair

BNP Paribas partners with École des Ponts ParisTech and Université Paris Cité to create a new academic Chair called ‘Futures of Quantitative Finance’.

This three-way collaboration brings together two globally renowned academic research institutions famed for their excellence in mathematics worldwide, and BNP Paribas, with its 200 years of banking expertise and industry recognition in financial markets. The academic Chair contributes to the French reputation of Excellency in Financial Mathematics which is universally renowned.

The academic Chair will promote, develop and foster innovation in quantitative finance worldwide. The core purpose of the Chair is to address contemporary issues in market risk modelling. It will enable academic researchers from École des Ponts ParisTech and Université Paris Cité to gain access to real financial markets to improve their models, while quantitative researchers at BNP Paribas will have a seat at the table to benefit from cutting-edge research.

Driven by the same passion for innovation and the shared ambition to be global leaders in this field, members of the ‘Futures of Quantitative Finance’ Chair, will investigate – among other topics – on the following:

  • Machine learning for finance
  • Deep learning methods for high dimensional problems
  • Generation of market simulators
  • Volatility and dependence modelling
  • Risk modelling: future hedging costs computation and X-valuation adjustment (XVA) analysis

As this is a long-term collaboration, the academic Chair will add more topics to the research agenda as the market changes.

Beyond academic research, the Chair will also contribute to spreading its knowledge in the domain of quantitative finance by supporting education and hosting workshops and seminars. The Chair will also be represented at renowned international conferences.

The creation of the ‘Futures of Quantitative Finance’ Chair is a way for BNP Paribas, École des Ponts ParisTech and Université Paris Cité to promote together innovation, excellence and education, while achieving their ambition to be global leaders in quantitative finance research. The Chair will not only help shape and evolve financial markets but also inspire the next generation of experts.

Yann Le Cam, Global Head of Trading Risk and Resource Strategy and Engineering,
Global Markets, BNP Paribas

By partnering with BNP Paribas and Université Paris-Cité on this new Chair, École des Ponts ParisTech will strengthen its expertise in quantitative finance, building on a rich history of teaching and research in financial mathematics and risk modelling and management (dating back to the end of the 1980s). Our goal is to help meet today’s challenges in quantitative finance, advance scientific understanding of financial markets, and strengthen our dialogue with the banking sector.

Anthony Briant, Director of École des Ponts Paritech
At the signature, from left to right:
Stéphanie Allassonnière Vice-President of Valorisation and Industrial Partnerships, Université Paris Cité
Yann Le Cam, BNP Paribas
Anthony Briant, Director of École des Ponts ParisTech

“This new partnership with BNP Paribas and École des Ponts ParisTech is an opportunity for UPCité to reinforce its collaboration with the socio-economic actors by relying on its research strengths on quantitative finance which include a wide range of mathematical skills from numerical methods to deep learning approaches. This chair is in line with the future University Innovation Pole and is a perfect example of our approach, combining public and private research partners for the benefit of both, and offering students a quality training path to professional integration.”

Stéphanie Allassonnière Vice-Président of Valorisation and Industrial Partnerships,
Université Paris Cité

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