Kexin (Coco) SHAO
PhD student at Inria, Cermics, Ceremade
Introduction
My PhD thesis in Applied Mathematics was affiliated to three institutions: Inria Paris MATHRISK, CEREMADE - Université Paris Dauphine, and CERMICS - École nationale des ponts et chaussées, under the supervision of Professor Agnès SULEM and Professor Benjamin JOURDAIN.
Research Interests:
- Martingale Optimal Transport.
- Mean Field Game.
- Mathematical finance.
Curriculum Vitae
- PhD in Applied Mathematics, Université Paris Dauphine - PSL. Paris, France. 2025.
- Master of Science, Mathematics in Finance, New York University - Courant Institute of Mathematical Sciences (NYU Courant). New York, NY, USA. 2021.
- Bachelor of Science, Mathematics. Marietta College, Marietta, OH, USA. 2019
- Bachelor of Arts, Economics. Marietta College, Marietta, OH, USA. 2019
- Bachelor of Arts, Music. Marietta College. Marietta, OH, USA. 2019
- Société Générale CIB, Equity Derivatives Structuring. New York, NY, USA. 2021
- Credit Suisse, Market Risk Summer Associate. New York, NY, USA. 2020
Education:
Experiences:
Publications & Preprints
- PhD Thesis: Martingale Optimal Transport and Graphon Mean Field Games (link)
- Non-decreasing martingale couplings. ESAIM: PS, 29 (2025) 1-44. (link)
- Maximal Martingale Wasserstein Inequality. Electronic Communications in Probability 29 (2024): 1-8. (link)
- The numerical approximation of the weak optimal transport problem. Poster presentation (link)
Conferences and Talks
- CEREMADE winter school 2022, Saint-Pierre-Canivet, France. February 27 - March 04, 2022.
- Journées Scientifiques des Jeunes du Cermics, slides. Provins, France. November 3-5, 2022.
- CEREMADE Young researchers’ days 2023, Paris, France. June 1-2, 2023.
- SIAM Conference on Financial Mathematics and Engineering (FM23), Philadelphia, USA. June 6-9, 2023.
- MathRisk Conference on Numerical Methods in Finance, Udine, Italy. June 14-16, 2023.
- Conference: New Monge Problems and Applications, Champs-sur-Marne, France. September 14-15, 2023.
- Groupe de Travail Méthodes Stochastiques et Finance, Champs-sur-Marne, France. January 16, 2024.
- Séminaire Bachelier Doctorants, IHP, Paris, France. Feburary 2, 2024.
- Bachelier World Congress 2024, Rio de Janeiro, Brazil. July 8-12, 2024.
- Workshop on Mean Field Games, Optimal Transport and Machine Learning, Paris, France. June 23-26, 2025.
Teaching
- Project for 1A, Ecole des Ponts ParisTech. Project description.
- Teaching Assistant, Scientific Computing in Finance, NYU.
Contact
Kexin (Coco) SHAO
48 Rue Barrault
75013 Paris
France
E-mail: coco [DOT] shao [AT] nyu [DOT] edu