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Marie Chazal

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  • Marie Chazal
  • Dept: Operations Research and Information Engineering
  • Title: Lecturer
  • Address: 285 Frank H.T. Rhodes Hall
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Biography

Marie Chazal joined the School of Operations Research and Information Engineering in October 2014. She received her Ph.D. in Applied Mathematics from Paris Dauphine University, France. She got a M.S. in Modeling and Mathematical Methods in Economics and Finance from University Paris 1 Panthéon-Sorbonne, France. During her PhD studies she was a member of the Center for Research in Economics and Statistics (CREST), Paris, France. After receiving her Ph.D., she was a Postdoctoral Researcher with the Financial and Insurance Mathematics group of the Swiss Federal Institute of Technology Zurich, Switzerland. Before coming to Cornell, she was an assistant lecturer and postdoctoral researcher at the department of Mathematics of Université Libre de Bruxelles. Her research interests include mathematical economics, financial mathematics and study of stochastic processes.

Selected Publications

  • Chazal, M., E. Jouini, R. Tahraoui. 2003. "Production planning and inventories optimization with a general storage cost function." Nonlinear Analysis, 54: 1365-1395.
  • Chazal, M., E. Jouini. 2008. "Equilibrium pricing bounds on option prices." Mathematics and Financial Economics, 1: 251-281.
  • Chazal, M., E. Jouini, R. Tahraoui. 2008. "Production planning and inventories optimization: A backward approach in the convex storage cost case." Journal of Mathematical Economics, 44 (9): 997-1023.
  • Chazal, M., A.E. Kyprianou, P. Patie. 2015. "On some new transformations of Laplace exponents of spectrally negative Lévy processes" to appear in Advances in Applied Probability.