I'm a PhD student in Applied mathematics at LPSM (Laboratoire de Probabilité, Statistiques et Modélisation), at Université Paris Cité in Paris, France, from 2019 to 2022. My advisor is Jean-François Chassagneux.
My email address: myang at lpsm.paris.
You can download my CV here.
My research interests are: Numerical probabilities, Financial mathematics, Deep Learning, Machine Learning.
Approximate computation for PnL hedging
Joint work with Jean-Francois Chassagneux, Cyril Benezet.
Particle and tree-based schemes for singular Forward-Backward SDEs
Joint work with Jean-Francois Chassagneux.
Numerical approximation for singular Forward-Backward SDEs
Joint work with Jean-Francois Chassagneux, submitted to Journal of Computational Physics (arxiv).