===== Vathana Ly Vath ===== Professor \\ // ENSIIE, Laboratoire de Mathématiques et Modélisation d'Évry\\ Université Paris-Saclay, CNRS UMR 8071, UEVE\\ I.B.G.B.I., 23 Bd. de France, 91037 Évry Cedex \\ Bureau 412 \\ // ☎ // +33 (0)1 69 36 73 68 \\ // \\ ==== Research themes ==== * Stochastic Modelling and applications * Stochastic control and optimisation * Liquidity risk * Corporate finance and real options ==== Professionnal Experiences ==== * 2017 - pres : ENSIIE, Professor in Applied Mathematics/Financial mathematics * Co-Head of Master in Quantitative Finance (Université Paris Saclay) * Head of Master programmes (ENSIIE) * 2007 - 2017 : ENSIIE, Associate Professor * 2003 - 2017 : Université Paris diderot, Research and Teaching assistant * 2000 - 2002 : Bear Stears International (London), Equity Research Analyst * 1998 - 2000 : Morgan Stanley (London), Equity Research Analyst ==== Education ==== * 2015 : HDR, Université d'Evry * 2006 : Ph.D. in Mathematical Finance, Université Paris Diderot * 2003 : Master (DEA) in Mathematical Finance, Université Paris Diderot * CFA Charterholder ==== Publications ==== * Optimal dividend and capital structure with debt covenants (2020), with E. Chevalier and A. Roch, to appear in J. Optimization Theory and Applications. * Path-dependent American options (2019), with E. Chevalier and M. Mnif, Journal of Computational Finance 23(1), pp 61-95. * Optimal exploitation of a resource with stochastic population dynamics and delayed renewal (2019), with I. Kharroubi et T. Lim, Journal of Mathematical Analysis and Applications 477(1). * Optimal market making strategies under inventory constraints (2017), with E. Chevalier, M. Gaigi, and M. Mnif, J. Optimization Theory and Applications 173(1), pp 313-335. {{market_making_CGLM_20150625.pdf|Télécharger}} * Liquidity risk and optimal dividend/investment strategies (2017), with E. Chevalier and M. Gaigi, Mathematics and Financial Economics, Vol.11(1), pp 111–135. {{CGL20150504.pdf|Télécharger}} * Optimal execution cost for liquidation through a limit order market (2016), with E. Chevalier, A. Roch and S. Scotti, International Journal of Theoretical and Applied Finance, Vol. 19 (1). {{CLVRS_slippage_201507.pdf|Télécharger}} * Numerical approximation for a portfolio optimization problem under liquidity risk and costs (2016), with M. Gaigi, M. Mnif, and S. Toumi, Applied Math and Optim, Vol. 74(1), pp 163–195. {{Impact_price_GLMT.pdf|Télécharger}} * Exit Optimal exit strategies for investment projects (2015), with E. Chevalier, A. Roch and S. Scotti, Journal of Mathematical Analysis and Applications, Vol.425(2), pp.666-694. {{Optimal_exit_strategy_CLVRS.pdf|Télécharger}} * An Optimal Dividend and Investment Control Problem under Debt Constraints (2013), with E. Chevalier and S. Scotti, SIAM J. Finan. Math., 4(1), 297 - 326. {{Div_Debt_CLS_SIAM.pdf|Télécharger}} * Bid-Ask Spread modelling, a perturbation approach (2011), with T. Lim, JM. Sahut, and S. Scotti, Seminar on Stochastic Analysis, Random Fields and Applications VII. * Optimal switching over multiple regimes (2009), with H. Pham and X.Y. Zhou, Siam Journal on Control and Optim., 48, pp. 2217-2253. {{multiswitchrev-PVZ.pdf|Télécharger}} * A mixed singular/switching control problem for a dividend policy with reversible technology investment (2008), with H. Pham and S. Villeneuve, Annals of Applied Probability, 18, pp. 1164-1200. {{switch-singu-LPV.pdf|Télécharger}} * A Model of Optimal Portfolio Selection under Liquidity Risk and Price Impact (2007), with M. Mnif and H. Pham, Finance and Stochastics, 11, pp. 51-90. {{liquidityriskrevFS.pdf|Télécharger}} * Explicit solution to an optimal switching problem in the two regime case (2007), with H. Pham, Siam Journal on Control and Optim., 46, pp. 395-426. {{optswitchrev0606.pdf|Télécharger}} * Competitive market equilibrium under asymmetric information (2007), Decisions in Economics and Finance, 30, pp. 79-94. ==== Mémoire d'HDR ==== * Quelques Contributions en Finance Mathématique Risque de Liquidité et Finance d'Entreprise {{HDR_Rapport20151123.pdf|Télécharger}}