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

• Stochastic Modelling and applications
• Stochastic control and optimisation
• Liquidity risk
• Corporate finance and real options

• 2017 - : 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

• 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

• Tractable bank capital structure: optimal control under Basel III constraints (2026), with E. Bayraktar, E. Chevalier and Y. Wang, https://arxiv.org/abs/2603.14557.

• Quantile Hedging in a Self-Exciting Jump Diffusion Model (2026), with A. Houssard and S. Scotti, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5962514.

• Optimal dividend and capital injection under self-exciting claims (2025), with P. Aubert and E. Chevalier, https://arxiv.org/abs/2511.19701.

• Optimal Investment and Consumption with Transaction Costs in a Hawkes Jump-Diffusion Model (2025), with A. Houssard and S. Scotti, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5354235.

• Optimal Execution under Liquidity Uncertainty (2025), with E. Chevalier, Y. Hafsi, and S. Pulido, to appear in Siam Journal in Financial Mathematics, https://arxiv.org/abs/2506.11813.

• Option market making with hedging-induced market impact (2025), with P. Aubert and E. Chevalier, https://arxiv.org/abs/2511.02518.

• Optimal harvesting under uncertain environment with clusters of catastrophes (2025), M. Gaigi, V. Ly Vath, and S. Scotti, Journal of Economic Dynamics and Control, Volume 179, October 2025, 105165, https://doi.org/10.1016/j.jedc.2025.105165.

• Optimal Execution under Incomplete Information (2024), with E. Chevalier and Y. Hafsi, https://arxiv.org/abs/2411.04616.

• Uncovering Market Disorder and Liquidity Trends Detection (2023), with E. Chevalier and Y. Hafsi, https://arxiv.org/abs/2310.09273.

• Optimal harvesting under marine reserves and uncertain environment (2022), M. Gaigi, V. Ly Vath, and S. Scotti, European Journal in Operational Research, Volume 301, Issue 3, 16 September 2022, 1181-1194.

• Optimal dividend and capital structure with debt covenants (2020), with E. Chevalier and A. Roch, 2020, Journal of Optimization Theory and Applications, 187(2), 535- 565.

• 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.

• Quelques Contributions en Finance Mathématique Risque de Liquidité et Finance d'Entreprise Télécharger