
Prior to joining ESCP Business School, Nabil Kahalé held research positions in theoretical computer science and worked in the fields of financial derivatives and risk management.
His current research focuses on financial derivatives, Monte Carlo methods, optimization, and machine learning.
Professor Kahalé has published scientific articles in international journals such as the European Journal of Operational Research, Mathematics of Operations Research, Management Science, Mathematical Finance, Annals of Applied Probability, Mathematical Programming, and the SIAM Journal on Computing, among others. He has also worked as a consultant for banks and served as a referee for the French Ministry of Economy and Finance.
Nabil Kahalé graduated in 1987 from École Polytechnique with a Bachelor of Science in Engineering, received his PhD in theoretical computer science from MIT in 1993, and earned his HDR – the French diploma allowing supervision of PhD students – from Université Paris 1 Panthéon-Sorbonne in 2020.
Academic Articles
2024
Unbiased time-average estimators for Markov chains
MATHEMATICS OF OPERATIONS RESEARCH, 49 (4), 2049-2802
Academic Articles
2022
On the effective dimension and multilevel Monte Carlo
OPERATIONS RESEARCH LETTERS, 50 (4), pp. 415-421
Academic Articles
2020
Randomized Dimension Reduction for Monte Carlo Simulations
MANAGEMENT SCIENCE, Volume 66, Issue 3
Academic Articles
2020
General multilevel Monte Carlo methods for pricing discretely monitored Asian options
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, Volume 287 Issue 2, 739-748
Conference Presentations
2020
Least-squares regressions via randomized Hessians
Neurips
PhD / HDR Dissertation
2020
Contributions à l’ évaluation robuste des dérivés financiers et à la simulation Monte-Carlo
Université Paris 1 - Panthéon-Sorbonne
Academic Articles
2019
Efficient simulation of high dimensional Gaussian vectors
MATHEMATICS OF OPERATIONS RESEARCH, 44(1), 58-73
Conference Presentations
2019
Randomized Dimension Reduction for Monte Carlo Simulations
Mathematical finance academicians
Conference Presentations
2018
Randomized Dimension Reduction for Monte Carlo Simulations
Mathematical Optimization Society
Academic Articles
2017
Super-Replication of Financial Derivatives Via Convex Programming
MANAGEMENT SCIENCE, 63(7), 2323-2339