个人简介
尼古拉·拉萼尼博士是北京师范大学-香港浸会大学联合国际学院金融数学专业副教授。他于2009年取得了法国格勒诺布尔国家高等计算机与数学应用学校和格勒诺布尔-阿尔卑斯大学（前约瑟夫傅里叶大学）的计算机科学与应用数学硕士学位，2010年获得了法国巴黎大学（前巴黎狄德罗大学，又称巴黎第七大学）金融数学硕士学位，并于2014年获得该校应用数学博士学位。在2022年加入UIC之前，他曾在澳大利亚联邦科学工业与研究组织（澳大利亚国家级研究机构）担任高级研究科学家。他的研究方向包括：量化与计算金融，随机控制与随机优化，机器学习与深度学习，计算统计与数据可视化。
近期论文
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Simultaneous upper and lower bounds of American option prices with hedging via neural networks; I Guo, N Langrené, J Wu (2023)
cubble: an R package for organizing and wrangling multivariate spatio-temporal data; H S Zhang, D Cook, U Laa, N Langrené, P Menéndez (2023)
Designing higher value roads to preserve species at risk by optimally controlling traffic flow; N Davey, N Langrené, W Chen, J Rhodes, S Dunstall, S Halgamuge; Annals of Operations Research 320(2) 663-693 (2023)
Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility; K Das, N Langrené; Stochastics 94(5) 745-788 (2022)
Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications; A Bachouch, C Huré, N Langrené, H Pham; Methodology and Computing in Applied Probability 24(1) 143-178 (2022)
Portfolio optimization with a prescribed terminal wealth distribution; I Guo, N Langrené, G Loeper, W Ning; Quantitative Finance 22(2) 333-347 (2022)
Robust utility maximization under model uncertainty via a penalization approach; I Guo, N Langrené, G Loeper, W Ning; Mathematics and Financial Economics 16(1) 51-88 (2022)
Visual diagnostics for constrained optimisation with application to guided tours; HS Zhang, D Cook, U Laa, N Langrené, P Menéndez; R Journal 13(2) 624-641 (2021)
Using a stochastic economic scenario generator to analyse uncertain superannuation and retirement outcomes; W Chen, B Koo, Y Wang, C O'Hare, N Langrené, P Toscas, Z Zhu; Annals of Actuarial Science 15(3) 549-566 (2021)
Fast multivariate empirical cumulative distribution function with connection to kernel density estimation; N Langrené, X Warin; Computational Statistics and Data Analysis 162 107267 (2021)
Markovian approximation of the rough Bergomi model for Monte Carlo option pricing; Q Zhu, G Loeper, W Chen, N Langrené; Mathematics 9(5) 528 (2021)
Deep neural networks algorithms for stochastic control problems on finite horizon: convergence analysis; C Huré, H Pham, A Bachouch, N Langrené; SIAM Journal on Numerical Analysis 59(1) 525–557 (2021)
Accounting for tailings dam failures in the valuation of mining projects; M Armstrong, N Langrené, R Petter, W Chen, C Petter; Resources Policy 63 101461 (2019)
Dynamic volatility management: from conditional volatility to realized volatility; R Zhang, N Langrené, Y Tian, Z Zhu; Journal of Investment Strategies 8(2) 37-67 (2019)
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Fast and stable multivariate kernel density estimation by fast sum updating; N Langrené, X Warin; Journal of Computational and Graphical Statistics 28(3) 596-608 (2019)
Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method; R Zhang, N Langrené, Y Tian, Z Zhu, F Klebaner, K Hamza; Journal of Computational Finance 23(1) 97-127 (2019)
Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach; R Zhang, N Langrené, Y Tian, Z Zhu, F Klebaner, K Hamza; Quantitative Finance 19(3) 519-532 (2019)
Switching to nonaffine stochastic volatility: a closed-form expansion for the Inverse Gamma model; N Langrené, G Lee, Z Zhu; International Journal of Theoretical and Applied Finance 19(5) 1-37 (2016)
Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps; I Kharroubi, N Langrené, H Pham; Annals of Applied Probability 25(4) 2301-2338 (2015)
A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization; I Kharroubi, N Langrené, H Pham; Monte Carlo Methods and Applications 20(2) 145-165 (2014)
A probabilistic numerical method for optimal multiple switching problems in high dimension; R Aïd, L Campi, N Langrené, H Pham; SIAM Journal on Financial Mathematics 5(1) 191-231 (2014)
A structural risk‐neutral model for pricing and hedging power derivatives; R Aïd, L Campi, N Langrené; Mathematical Finance 23(3) 387-438 (2013)
Dynamic constraints for aggregated units: formulation and application; N Langrené, W Van Ackooij, F Bréant; IEEE Transactions on Power Systems 26(3) 1349-1356 (2011)
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