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UL LUSENN

UL LUSENN

UL LUSENN

UL LUSENN

UL LUSENN

UL LUSENN

The increase of available data is a challenge for classical mathematical models. Biology, physics, finance, economics and other social sciences are each affected in their own way. Lusenn promotes the formulation and the use of probabilities which have , over time, shown their effectiveness in all these areas.
In finance, stochastic models or local volatility models, have been developed since the mid-1990s. They help improve market analysis, capturing the effects of implied volatility, but they come up against the multi-scale properties of the data they process. Time series, for example, experience scale variations, and these variations make it more difficult to develop a model capable of reproducing multiple scale phenomena. One of the goals of Lusenn is to address these challenges by creating models that capture such complicated processes and make them applicable to pricing and hedging derivatives.

Lusenn is a subsidiary of Sivienn.

Calibration

Models, developed by Lusenn's mathematicians, become operational as soon as they are calibrated from the available data. The observable parameters are thus taken into account to create and refine the models. Lusenn has developed specific estimation methods based on wavelets and multi-scale techniques.

Simulation

Practical applications require Monte-Carlo simulation models. Lusenn has built and implemented specific algorithms that meet these requirements.

Pricing

The pricing of products and derivative contracts is a major application of the models developed by Lusenn. The modeling framework makes it possible to capture the effects of multiple scales for pricing.

Hedging

A price calculation formula is not enough. It must be supplemented by a portfolio risk quantification procedure. Lusenn develops the right procedure, which creates an effective hedging strategy.
Jean-Philippe TOUFFUT

Jean-Philippe TOUFFUT

Chairman

JEAN-PHILIPPE
Josselin GARNIER

Josselin GARNIER

Researcher

JOSSELIN
Anne GRUZ

Anne GRUZ

Researcher

Anne
Knut SOLNA

Knut SOLNA

Researcher

KNUT
Address
73 Rue Léon Bourgeois
91120 Palaiseau, France
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