Daphné Giorgi

CNRS research Engineer

Scientific Computing

Laboratoire de Probabilités, Statistique et Modélisation (UMR 8001)

Sorbonne Université Sciences (Paris 6)

Development

Development at LPSM

Web application for didactic and research results of the LPSM at Simulations@LPSM.
Multilevel Monte Carlo Richardson Romberg estimator [ML2R].
R package for clustering in longitudinal networks [ppsbm].
R package for individual based models of populations simulation. [IBMPopSim].

Optimal Control Solver

Development of Bocop, an open-source toolbox for solving optimal control problems, with collaborations with industrial and academic partners. Project realized in the INRIA team COMMANDS.

Proximities

Principal Component Analysis and Seasonal adjustment of curves for proximities for GDF Suez Trading.

Basis spread market

Tools of curves construction and Bermudean options pricer for HSBC.

RESEARCH

Preprint Efficient simulation of individual-based population models: the R Package IBMPopSim, on arXiv (2023).
Article Weak error for nested Multilevel Monte Carlo, published on Methodology and Computing in Applied Probability (2020).
Article Limit theorems for weighted and regular Multilevel estimators, published on MCMA (March 2017).
PhD Thesis, Théorèmes limites pour estimateurs Multilevel avec et sans poids. Comparaisons et applications. June 2017, at Sorbonne Université (old UPMC) at the LPSM (old LPMA) laboratory.

TEACHING

TP Cours MU4MA056, Programmation en C++
TP Cours MU4MA074, Probabilités numériques et Machine Learning
TP L3 Probabilités en Python
TP Cours LU3MAOI1, Orientation et insertion professionelle

CV

Research Engineer since October 2014, at Sorbonne Université at the LPSM laboratory, CNRS.
PhD Applied Mathematics June 2017, at Sorbonne Université at the LPMA laboratory.
Inria Engineer September 2012 - September 2014, at CMAP (Ecole Polytechnique), in the team Commands (Inria Saclay).
GDF Suez Trading Internship, Risk Methodologies, 2011.
HSBC Internship, Quantitative Risk Valuation Group, 2010.
Master 2 IFMA (Ingénierie Financière et Modèles Aléatoires, Université Pierre et Marie Curie, Paris 6), 2010.
Master 2 Fundamental Mathematics (Laurea Specialistica Matematica, Università degli Studi di Firenze), 2009.

FULL CV

Contact

LPSM / UMR 8001
Sorbonne Université
Campus Pierre et Marie Curie
Boite courrier 158
4, place Jussieu
75252 PARIS Cedex 05

Couloir 16-26, 2ème étage
Bureau 215

+33 (0) 1 44 27 40 76

daphne.giorgi at sorbonne-universite.fr