Julien GuyonProfessor of Applied Mathematics at École des Ponts ParisTech
Julien Guyon is a senior quantitative analyst in the Quantitative Research group at Bloomberg L.P., New York. He is also an adjunct professor in the Department of Mathematics at Columbia University and at the Courant Institute of Mathematical Sciences, NYU, and a Louis Bachelier Fellow. Julien serves as an Associate Editor of Finance & Stochastics, SIAM Journal on Financial Mathematics, and Journal of Dynamics and Games, as well as a Managing Editor of Quantitative Finance. Before joining Bloomberg, Julien worked in the Global Markets Quantitative Research team at Societe Generale in Paris for six years, and was an adjunct professor at Universite Paris Diderot and Ecole des Ponts ParisTech.
Julien co-authored the book Nonlinear Option Pricing (Chapman & Hall, 2014) with Pierre Henry-Labordere. He has published more than 20 articles in peer-reviewed journals (including Finance and Stochastics, SIAM Journal on Financial Mathematics, Quantitative Finance, Risk, Journal of Computational Finance, Annals of Applied Probability, Stochastic Processes and their Applications) and is a regular speaker at international conferences, both academic and professional. His main research interests include nonlinear option pricing, volatility and correlation modeling, (nonlinear) optimal transport, and numerical probabilistic methods.
A big soccer fan, Julien has also developed a strong interest in sports analytics, and has published several articles on the FIFA World Cup, the UEFA Champions League, and the UEFA Euro both in academic journals and in top-tier newspapers such as The New York Times, The Times, Le Monde, and El Pais, including a new, fairer draw method for the FIFA World Cup. Some of his suggestions for draws and competition formats have already been adopted by FIFA and UEFA. His paper "Risk of collusion: Will groups of 3 ruin the FIFA World Cup?" won the 2nd prize at the 2021 MIT Sloan Sports Analytics Conference, the biggest sports analytics event in the world.