Vincent Vargas
 

Welcome to my Web Page!
 

Research

Teaching

Consulting

 

 

Research

I am currently a CNRS Research fellow at the CEREMADE (mathematics departement of the University Paris-Dauphine). I am interested in applied probability. More specifically, my research topics are: directed polymers, multiplicative chaos, turbulence, modeling and forecasting volatility. If you want more details, you can have a look at (in french but updated): Curriculum Vitae. If you want to contact me, here are my coordinates:

 

My main coauthors are Romain Allez (PHD student), Remi Rhodes, Laurent Chevillard, Remi Rhodes and Raoul Robert (feel free to visit their web page!). I am also coordinator of the ANR project (French research grant) entitled CHAMU. Here is a list of my publications:

    Publications in Turbulence:

  1. L. Chevillard, R.Robert, V.Vargas (2009), A Stochastic Representation of the Local Structure of Turbulence, Europhys. Lett. 89, 54002 (2010).
  2. R.Robert, V.Vargas (2008), Hydrodynamic turbulence and intermittent random fields, Communications in Mathematical Physics.

    Publications in Finance:

  1. J.C. Domenge, R.Rhodes, V.Vargas (2011), Forecasting volatility in the presence of Leverage Effect, preprint.
  2. J.Duchon, R.Robert, V.Vargas (2008), Forecasting volatility with the multifractal random walk model, Mathematical Finance.

    Publications in Gaussian Multiplicative Chaos, Homogenization or Directed Polymers:

  1. R.Allez, R.Rhodes, V.Vargas (2012), Lognormal scale invariant random measures , Probability Theory and Related Fields.
  2. R.Rhodes, V.Vargas (2011), Optimal transport for multifractal random measures. Applications , Annales de l'I.H.P.
  3. R.Rhodes, V.Vargas (2009), Multidimensional Multifractal Random Measures , Electronic Journal of Probability.
  4. R.Rhodes, V.Vargas (2009), Scaling limits for symmetric Ito-Levy processes in random medium, Stochastic Processes and their applications.
  5. R.Rhodes, V.Vargas (2008), KPZ formula for log-infinitely divisible multifractal random measures, to appear in ESAIM P&S.
  6. R.Robert, V.Vargas (2008), Gaussian Multiplicative Chaos revisited, Annals of Probability.
  7. V.Vargas (2008), Strong localization and macroscopic atoms for directed polymers, Probability Theory and Related Fields.
  8. F. Comets, V.Vargas (2007), Majorizing multiplicative cascades for directed polymers in random media, ALEA.
  9. V.Vargas (2006), A local limit theorem for directed polymers in random media: the continuous and the discrete case, Annales de l'I.H.P .

 

Teaching

I give a course (in french) entitled "Modele limite lognormal de Mandelbrot et ses applications en finance" for the master MASEF (financial mathematics) and the master EDPMAD (applied mathematics). This course can be seen as an introduction to econophysics (pioneered by Benoit Mandelbrot, J.P. Bouchaud and M. Potters among others). Here are the slides:

    Slides of "Modele limite lognormal de Mandelbrot et ses applications en finance":

  1. Cours1, an introduction to econophysics.
  2. Cours2, an introduction to Gaussian multiplicative Chaos.
  3. Cours3, an introduction to option pricing theory.
I also give a course (in french) entitled "Phenomenologie des Marches financiers" in the third year of ENSAE, Paris Graduate school of Economics, Statistics and Finance. Here are the slides:

    Slides of "Phenomenologie des Marches financiers":

  1. Cours1, an introduction to econophysics.
  2. Cours2, an introduction to option pricing theory.
  3. Cours3, an introduction to Random matrices.

 

Consulting

Since 2007, I am consultant for the Nimbus team (volatility arbitrage) of the French hedge fund Capital Fund Management. Capital Fund Management is a quantitative hedge fund based in Paris that is specialized in arbitrage strategies. The arbitrage strategies are elaborated by PHD's in physics and mathematics and implemented by IT specialists.