Prix 2016 du meilleur mémoire de master de la Fondation d’entreprise Natixis pour la recherche quantitative

Paris, France, 23 septembre 2016

Laurent Mignon, Chief Executive Officer of Natixis, and Michel Crouhy, Chairman of the Natixis Foundation, awarded the Natixis Foundation for Quantitative Research 2016 prize for best Master’s thesis to Guillaume Ausset, Sébastien Geeraert and Abdou Kélani.

Prize for best Master’s thesis

Each year, this prize is awarded to one or several exceptional theses on current challenging issues that banks, insurance companies and management firms must address. These theses require the use of the most sophisticated quantitative finance techniques.

“Like each year, the Scientific Committee of the Foundation was impressed by the quality and variety of the theses competing for the prize. This year's vintage confirms the move of quant research to issues related asset management, insurance, market making, capital markets and numerical techniques applied to the implementation of the new regulatory reforms”, said Michel Crouhy.

The winners

This year, the Scientific Committee of the Natixis Foundation for Quantitative Research selected 3 winners out of the 18 theses submitted for Best Master’s thesis from 11 different Masters courses in France, Switzerland, the United Kingdom and Belgium:

Guillaume Ausset, du Master Mathématiques de l’Assurance, de l’Economie et de la Finance (MASEF): Sets of Trees: Theory and Application to Scoring Models realized at Crédit Agricole.

Sébastien Geeraert, Master M2 Probabilités et Finance, Ecole Polytechnique et Université Pierre & Marie Curie – Paris VI: Greeks Calculation by AAD (Adjoint Algorithmic Differentiation), realized at MUREX

Abdou Kélani, ISFA Université Lyon 1: Optimal Hedging of Guarantees such as Variable Annuities, with Extreme Financial Risks, realized at the SAF Research Lab of ISFA (Institute of Financial and Actuarial Science)



The Natixis Foundation for Quantitative research finances research and events in the field of Quantitative Finance (capital markets, risk management, econometrics, statistical finance, pricing and hedging of financial instruments). More specifically, it finances PhD theses and academic research projects related to current issues faced by financial institutions. The Foundation also organizes conferences jointly with top universities and rewards research projects realized by students in their Master’s thesis.

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