FRE Visiting Associate Professor Julien Guyon Named "Quant Of The Year"

Julien Guyon, a Visiting Associate Professor at NYU Tandon's Finance and Risk Engineering (FRE) department, has been named "Quant of the Year" by Risk, the leading financial risk management magazine.

The Risk Awards are the longest-running and most prestigious awards for firms and individuals involved in quantitative finance, risk transfer markets, and financial risk management.

Risk readers and contributors, who include quantitative analysts and financial engineers, voted Guyon to receive the honor, and he was recognized on November 26, 2024, at the 2025 Risk Awards ceremony in London.

Guyon was selected for his overall contributions to modern quantitative finance, in particular volatility modeling, as well as two important technical papers published in Risk in December 2023 (co-authored with Scander Mustapha) and February 2024 (co-authored with Florian Bourgey). Using classical optimization techniques or modern deep learning tools, both articles shed new light on the joint S&P 500/VIX smile calibration problem, a difficult problem sometimes referred to as the Holy Grail of volatility modeling that had eluded quants for many years before Guyon cracked it in 2020.

Volatility is a key metric of the financial market, and Guyon's research on volatility models has brought many impactful results, in particular the particle method for the calibration of local stochastic volatility models, now an industry standard (with Pierre Henry-Labordère); the so-called Bergomi-Guyon expansion, an analytical approximation of the implied volatility in generic stochastic volatility models (with Lorenzo Bergomi); the first exact solution to the joint S&P 500/VIX smile calibration problem; and, more recently, the so-called Guyon-Lekeufack volatility model, a new path-dependent volatility model that has attracted a lot of attention both in the industry and in academia as Guyon and his co-author, Jordan Lekeufack, showed that the model, despite its simplicity, has very large predictive power and captures many important stylized facts about the volatility of financial markets.

Guyon is a researcher at École nationale des ponts et chaussées in Paris, France, where he holds the BNP Paribas Chair Futures of Quantitative Finance, and has been a Visiting Associate Professor in the Department of Finance and Risk Engineering at the NYU Tandon School of Engineering since Spring 2024. He is also an Adjunct Professor in the Department of Mathematics at Columbia University. Before joining Ecole des Ponts, Guyon worked in the financial industry for 16 years, first in the Global Markets Quantitative Research team at Societe Generale in Paris (2006-2012), then as a senior quantitative analyst in the Quantitative Research group at Bloomberg L.P., New York (2012-2022). Guyon was also previously an adjunct professor at NYU’s Courant Institute of Mathematical Sciences; at Baruch College, City University of New York; at Université Paris Diderot; and at École des Ponts. Guyon serves as an Associate Editor of Finance & Stochastics, SIAM Journal on Financial Mathematics, Quantitative Finance, and Journal of Dynamics and Games. He is also a Louis Bachelier Fellow. He received the Ecole des Ponts Best PhD thesis award in 2006.

Guyon co-authored the book Nonlinear Option Pricing (Chapman & Hall, 2014) with Pierre Henry-Labordère. He has published more than 25 articles in peer-reviewed journals and is a regular speaker at international conferences, both academic and professional. His main research interests include volatility and correlation modeling, option pricing, optimal transport, and numerical probabilistic methods. A big soccer fan, Guyon has also published articles on fairness in sports, both in academic journals and in top-tier newspapers including the New York Times, Le Monde, and El País. Some of his suggestions for draws and tournament design have been adopted by FIFA and UEFA.

“The FRE Department is proud to count Julien among our visiting faculty,” said Department Chair Nizar Touzi.  “Our students are lucky to have such an expert teaching one of the most up-to-date courses on volatility modeling.”