The Department of Finance and Risk Engineering welcomes new faculty member, Nathan Sauldubois

Growing up in Bordeaux, Nathan Sauldubois developed an early love of mathematics and physics. (The son of a medical doctor and a computer scientist, his interest in STEM topics seemed natural.) At the École normale supérieure de Lyon, one of France’s quartet of prestigious “grande écoles,” he earned degrees in Fundamental and Advanced Mathematics and realized he wanted to push himself further — into the realm of the applied.

While studying in Lyon, Sauldubois, excited at the prospect of applying his mathematics background to real-world problems, served as a Research Intern at École Polytechnique, where he developed a mathematical model for healthcare optimization using entropic optimal transport under cost-dependent reimbursements. (Optimal transport is a framework that helps find the most efficient way to "move" resources or patients from their source to a target distribution, while minimizing cost.) He also worked for a time as a Quantitative Finance Intern on the Fixed Income Team at Natixis, a multinational investment bank and wealth-management firm.

With those experiences under his belt, in 2022 he embarked on a doctoral program at École Polytechnique under the supervision of Nizar Touzi, whom he had met while a Research Intern at the school.

“He has been a true mentor to me,” Saulbubois says of Touzi. “He was responsible for teaching me to conduct research. He also showed me that while it’s gratifying to tackle hard problems, even when you don’t solve them, there is satisfaction in the process itself.”

This year, Sauldubois earned his Ph.D. in Applied Mathematics, and he’ll be arriving soon in Brooklyn to work as a Research Scholar and reunite with his mentor: in recent years, Touzi, a former president of the Bachelier Finance Society and winner of the French Academy of Science’s Bachelier Prize, has served as the Chair of NYU Tandon’s Department of Finance and Risk Engineering.

Sauldubois’s current area of focus is Martingale model risk and semi-static hedging, a topic that he and Touzi recently addressed in a paper — and one that he acknowledges can be difficult for laypeople to comprehend. “Think of it this way,” he says. “It’s pretty common for financial institutions to negotiate contracts based on a future projected price of a commodity — sugar or oil, for example. But it’s easy for them to make mistaken assumptions and bad predictions. How do you modelize that type of thing? How can you get insight into the future? My job is to help them reduce their risks by developing hedging strategies or newer, better models.”