Vincent Vargas
Welcome to my Web Page!
Who am I?
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 and not updated): Curriculum Vitae. If you want to contact me, here are my coordinates:
- Postal address :
- CEREMADE
- CNRS, UMR 7534
- Université Paris-Dauphine
- F-75016 PARIS (FRANCE)
- E-mail :
- vargasATceremade.dauphine.fr
- Phone number:
Publications
Here is a list of my publications:
Publications in Turbulence:
- L. Chevillard, R.Robert, V.Vargas (2009),
A Stochastic Representation of the Local Structure of Turbulence,
Europhys. Lett. 89, 54002 (2010).
- R.Robert, V.Vargas (2008),
Hydrodynamic
turbulence and intermittent random fields,
Communications in Mathematical Physics.
Publications in Finance:
- 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:
- R.Rhodes, V.Vargas (2009),
Multidimensional Multifractal Random Measures ,
Electronic Journal of Probability.
- R.Rhodes, V.Vargas (2009),
Scaling limits for symmetric Ito-Levy processes in random medium,
Stochastic Processes and their applications.
- R.Rhodes, V.Vargas (2008),
KPZ formula for log-infinitely divisible multifractal random measures,
to appear in ESAIM P&S.
- R.Robert, V.Vargas (2008),
Gaussian Multiplicative Chaos revisited,
Annals of Probability.
- V.Vargas (2008),
Strong localization and
macroscopic atoms for directed polymers,
Probability Theory and Related Fields.
- F. Comets, V.Vargas (2007),
Majorizing multiplicative
cascades for directed polymers in random media,
ALEA.
- 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).
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.
