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 vathana.lyvath@ensiie.fr
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. 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. 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). 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. 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. 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. 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. 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. 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. 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. 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 Télécharger