Vincent Vargas
Who am I?
I am currently a CNRS Research fellow at the CEREMADE (mathematics departement of the University Paris-Dauphine). 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 :
- vargas@ceremade.dauphine.fr
- Phone number:
Publications
- R.Rhodes, V.Vargas (2008),
KPZ formula for log-infinitely divisible multifractal random measures,
submitted.
- R.Robert, V.Vargas (2008),
Gaussian Multiplicative Chaos revisited,
submitted.
- J.Duchon, R.Robert, V.Vargas (2008),
Forecasting volatility with the multifractal random walk model,
submitted.
- R.Robert, V.Vargas (2008),
Hydrodynamic
turbulence and intermittent random fields,
to appear in Communications in Mathematical Physics.
- 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). Hopefully, there will be some lecture notes on line before the end of october...
Consulting
I am currently consultant for the Nimbus team (volatility arbitrage) of the French hedge fund Capital Fund Management.
