The Louis Bachelier Natixis – London Mathematical Society Prize is awarded every two years, jointly with Société de Mathématiques Appliquées et Industrielles (SMAI – equivalent of the Royal Society for Applied and Industrial Mathematics). The prize rewards a researcher aged under 45 with international academic and professional recognition for her/his contribution in financial mathematics and applications to financial modeling, insurance, risk management, and scientific computing applied to finance and insurance.
This year, the winner of the 2020 Louis Bachelier Prize is Mathieu Rosenbaum professor of financial mathematics at École Polytechnique (France). The award was given in recognition of his contributions in statistical finance and stochastic modeling for finance. His research covers a wide range of topics from probability to statistics, with a focus on real financial issues. His work includes market microstructure, high-frequency and algorithmic trading, volatility modeling, derivatives risk management and quantitative financial regulation. Mathieu enjoys high international visibility and his scientific achievements are unanimously recognized by the academic and financial communities.
I am very honored to receive this prize from the LMF, SMAI and Natixis foundation, especially given the previous laureates whom I admire a lot. I am particularly happy to see that our research, which is at the interplay between statistics, practical financial issues and probabilistic modelling was considered of interest by the jury.
Previous laureates by year
Professor in statistics at the LSE (London School of Economics and Political Science), is the Head of the Department of Statistics and co-director of the Centre for the Analysis of Time Series (CATS).
As a statistician and actuary, she has addressed many problems that command the attention of the world today: climate science, flood insurance, catastrophe risk, longevity risk, and many aspects of financial risk. Her work often focuses on how we address model risk, uncertainty – and risk sharing under uncertainty.
Research Director at CNRS in the department of probabilities and stochastic modeling of University Pierre & Marie Curie (Paris VI), which he joined in 2009 after spending four years at Colombia University (New York).
His research concerns modeling extreme risks –discontinuity, systemic risk, endogenous risk- in financial markets.
Rama Cont a effectué des travaux en théorie des probabilités sur les processus à sauts appliqués aux produits dérivés.
"The mathematical and economic modeling of financial risks is a major challenge for research and concerns several areas of mathematical sciences. I am honored to receive this prize and grateful to the Académie des Sciences, the Natixis foundation and SMAI to recognize this evolving branch of research with this prize" declared Rama Cont.
In consultation with the French Academy of Sciences, the 2009 edition of the Grand prix, originally scheduled in 2009, was postponed one year due to the world financial crisis.
Professor at University Paris VII in the Probabilities and Stochastic Modeling research laboratory and junior member of the Institut Universitaire de France since 2006.
His major contributions concern the use and development of stochastic control methods to determine investment or risk hedging optimal strategies in the areas of finance and insurance.