About Me

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.

Curriculum Vitae

You can download my CV here.

Research Interests

My research interests are: Numerical probabilities, Financial mathematics, Deep Learning, Machine Learning.

Publications and preprints

1. Approximate computation for PnL hedging
   Joint work with Jean-Francois Chassagneux, Cyril Benezet.

2. Particle and tree-based schemes for singular Forward-Backward SDEs
   Joint work with Jean-Francois Chassagneux.

3. Numerical approximation for singular Forward-Backward SDEs
   Joint work with Jean-Francois Chassagneux, submitted to Journal of Computational Physics (arxiv).