Welcome to my homepage!
I finished my PhD under the guidance of Peter Carr and Robert Kohn at the Courant Institute of New York University in January 2008.
Since then, I have been working as a quantitative analyst in credit derivatives at BNP Paribas in London.
If you are looking for a position or an internship in my team, please feel free to send me an email at lcousot [ at ] gmail.com.
October 2016: Launch of the risk management platform for SME debt portfolios, creditrisk.io.
May 2016: Launch of the French professional review website, b-reputation.com.
June 2012: "Pricing CDOs with state-dependent stochastic recovery rates" with with S. Amraoui, S. Hitier and J-P. Laurent appeared in the Quantitative Finance.
January 2012: "Explicit constructions of martingales calibrated to given implied volatility smiles" with P. Carr appeared in the SIAM Journal on Financial Mathematics.
March 2011: "A PDE approach to jump-diffusions" with P. Carr appeared in the January 2011 issue of Quantitative Finance.