SHORT BIO

Many thanks to Université de Bordeaux I for keeping this webpage for me.

Peng Hu 胡鹏

Ph.D, past member of ALEA team

Centre INRIA Bordeaux Sud-Ouest

Institut de Mathématiques de Bordeaux

Université de Bordeaux I

Publications

Conferences, Workshops & Seminars

Other Activities

    I am currently a research fellow at Oxford-Man Institue - University of Oxford. I obtained my PhD in June 2012 under supervision of Prof. Pierre Del Moral in team ALEA at research center INRIA Bordeaux Sud-Ouest and University of Bordeaux 1, with a thesis: Particle methods with applications in Finance.

    I obtained my master degree in Financial Mathematics (known as DEA El Karoui) at University of Paris 6 - Ecole Polytechnique, in October 2009.

Ph.D Dissertation

1. •P. Hu, Particle methods with applications in finance (Méthodes particulaires et applications en finance). STAR : dépot national des thèses électroniques francaises. Identiant : 2012BOR14530, 2012.
   

2. 
   

Books

1. •R. Carmona, P. Del Moral, P. Hu and N. Oudjane (eds.), Numerical Methods in Finance , Springer Proceedings in Mathematics. vol. 12, Springer-Verlag, 2012.
   

2. •P. Del Moral, P. Hu and L. Wu. "On the concentration properties of Interacting particle processes"[PDF 164p], Foundations and Trends in Machine Learning, vol. 3, nos. 3–4, pp. 225–389, 2012. 
   

Articles

1. •R. Carmona, P. Del Moral, P. Hu and N. Oudjane, "An introduction to particle methods in finance", Numerical Methods in Finance,Springer Proceedings in Mathematics. vol. 12, pp. 3-50 Springer-Verlag, 2012.
   

2. •P. Del Moral, P. HU and N. Oudjane, "Snell envelope with small probability criteria"[22p], Applied Mathematics & Optimization, Vol. 66, Issue 3, pp. 309-330, 2012
   

3. •P. Del Moral, P. HU, N. Oudjane and B. Rémillard, "On the Robustness of the Snell Envelope"[PDF 40p], SIAM J. Finan. Math., Vol. 2, pp. 587-626 , 2011.
   

Industrial Technical Reports

1. •P. Hu and N. Oudjane. "Variance reduction techniques for thermal asset pricing", report for consulting EDF R&D, 2012.
   

2. •P. Del Moral, P. Hu and D. Weng. "Méthodes de Monte Carlo pour le pricing d'options américaines". Lot 1. Comparaisons d'algorithmes. Contrat EDF OSIRIS-INRIA, 2010.
   

3. •P. Del Moral and P. Hu. "Méthodes de Monte Carlo pour le pricing d'options américaines". Lot 2. Confection et analyse de nouveaux algorithmes de Monte Carlo avancés. Contrat EDF OSIRIS-INRIA, 2010.
   

4. •P. Del Moral and P. Hu. "Méthodes de Monte Carlo pour le pricing d'options américaines". Lot 3. Confection et analyse de nouveaux algorithmes de Monte Carlo avancés. Contrat EDF OSIRIS-INRIA, 2010.
   

3. •Workshop Sequential Monte Carlo methods and Efficient simulation in Finance(organizer & keynote speaker),  Paris, France, October 10-12, 2012

4. •Oxford Man Institue Seminar, Oxford, UK, March 2, 2012 [slides]

5. •Fourth SMAI European Summer School in Financial Mathematics, Zürich, Switzerland, September 5-9, 2011
   

6. •Sino-French Summer Institute in Stochastic Modeling and Applications, Beijing, China, June 13-July 1, 2011
   

7. •The 6th international symposium on BSDE/ The 4th western con on mathematical finance, Los Angeles, USA, June 6-10, 2011
   

8. •Modeling and managing financial risks, Paris, France, January 10-13, 2011[slides]
   

9. •24th Conference on Stochastic processes and their applications, Osaka, Japan, September 4-10, 2010
   

10. •Third SMAI european summer school in financial mathematics, Paris, France, August 23-27, 2010
    

11. •Workshop on Numerical Methods in Finance (organizer), Bordeaux, France, June 1-2, 2010 [slides]
    

1. •Chinese Government Award for Outstanding Ph.D. Students Abroad, 2012.

2. •Consulting at EDF R&D on variance reduction methods for Swing Option Pricing, 2011-2012.

3. •Collaboration with EDF R&D on Pricing of American options, 2010-2012.

4. •Responsible of working group of research team ALEA, 2010-2012.
   

5. •Teaching Statistics and Linear dynamical system at University Bordeaux 1, 2010-2011.
   

6. •Vice-president of 波尔多学联 UCECF Bordeaux (a chinese student & researcher association in France), 2010-2012.