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LACOSTE Vincent

Doctorat, Applied Mathematics

Vincent Lacoste is a former student of the Ecole Normale Supérieure. He defended his doctoral thesis in Applied Mathematics to Finance at Paris IX Dauphine. He has been teaching at Neoma-BS since 2009, after spending 14 years as a professor at ESSEC. His main teachings fields are Financial Markets, Derivative Products and Investment Choice. Having a second career in Performing Arts, he also teaches in the Neoma MSc Creative and Cultural Industries. His publications are mainly oriented towards quantitative finance (with main papers in Mathematical Finance, Journal of Economic Dynamics and Control, International Journal of Theoretical and Applied Finance). His most recent publications focus on the Performing Arts sector for Presses Universitaires de Franche-Compté, Toulouse and Strasbourg. He is responsible for a course within the new Neoma MSc GARP/FRM Financial Markets and Products. He has been the artistic director of a theater and dance venue in Seine Maritime since 2001.

Areas of research

  • Quantitative Finance
  • Financial Markets and Derivative Products
  • Investment Choice
  • Performing Arts

Recent academic contributions

  • LACOSTE, V., "En quête de design Social" in « En quête de design Social », récits et cartographies de projets, Plateforme Social Design., Ed., Ministère de la Culture et de la Communication, 2020

Academic Journals

  • ATTAOUI, S., V.LACOSTE, P.SIX, "A Partial Equilibrium Model of the Convenience Yield Risk Premium of Storable Commodities", Bankers, Markets & Investors (ex-Banque & Marchés), May 2014, vol. 130, pp. 24-40
  • LACOSTE, V., S.ATTAOUI, "A scenario-based description of optimal American capital guaranteed strategies", Finance, June 2013, vol. 34, no. 2, pp. 65-119
  • LACOSTE, V., N.EL KAROUI, M.JEANBLANC, "Optimal portfolio management with american capital guarantee", Journal of Economic Dynamics and Control, March 2005, no. 3, pp. 449-468
  • LACOSTE, V., "Choix de la moins chère à livrer: un raccourci utile", Finance, November 2002, no. Hors-Série, pp. 77-92
  • LACOSTE, V., T.ANÉ, "Understanding Bid-Ask Spreads of Derivatives under Uncertain Volatility and Transaction Costs", International Journal of Theoretical and Applied Finance, June 2001, no. 3, pp. 467-489
  • LACOSTE, V., K.EL, N., "On the role of state variables in interest rates models", Applied Stochastic Models in Business & Industry, September 2000, no. 16, pp. 197-217
  • LACOSTE, V., "Wiener Chaos: a new approach to option hedging", Mathematical Finance, February 1996, vol. 6, no. 2, pp. 197-213
  • LACOSTE, V., "Properties of the integrated square error of kernel estimates of the variance of a diffusion", Compte-Rendu à l'Académie des Sciences, April 1991, vol. 313, no. 1, pp. 317-320

Book chapter

  • LACOSTE, V., "En quête de design Social" in « En quête de design Social », récits et cartographies de projets, Plateforme Social Design., Ed., Ministère de la Culture et de la Communication, 2020
  • LACOSTE, V., "Les corps mous" in La dynamique du mou., C. Cadaureille et E. Viguier Ed., L’Art en œuvre, pp. 201-211, 2017

Dissemination activity

  • LACOSTE, V., S.LARGER, "Senior Mobile" in Séminaire Art et Santé, Lab-ah, GHU Parus Psychiatrie et Neurosciences, 2021, Online, France
  • LACOSTE, V., S.LARGER, "Senior Mobile" in Normandie Design Week, Ecole de Design et d’Innovation Responsible, 2020, Deauville, France
  • LACOSTE, V., "Les Corps Mous" in Journées d’études Matières Molles et Formes Flasques, 2015, Saint-Etienne, France
  • LACOSTE, V., S.ATTAOUI, "The Pricing of Perpetual Callable Debt with Loss-Absorbing Mechanisms," in FMA European Conference, 2015, Venise, Italy Coauthorspresented
  • LACOSTE, V., "A scenario-based comparison of optimal American capital guaranteed strategies" in 50th annual meeting of the SouthWestern Finance Association (SWFA), 2011, United States
  • LACOSTE, V., S.ATTAOUI, P.SIX, "A partial equilibrium for the convenience yield risk premium" in ESE Energy & Finance conference, 2011, Rotterdam, Netherlands Coauthorspresented
  • LACOSTE, V., S.ATTAOUI, "A scenario-based comparison of optimal American capital guaranteed strategies" in Second Inter Business Schools Seminar , 2010, Lyon, France
  • LACOSTE, V., T.ANÉ, "Understanding Bid-Ask Spreads of Derivatives under Uncertain Volatility and Transaction Costs" in 1st World Congress of the Bachelier Finance Society, 2000, France
  • LACOSTE, V., T.ANÉ, "Understanding Bid-Ask Spreads of Derivatives under Uncertain Volatility and Transaction Costs" in EFMA, Annual Meeting (European Financial Management Association), 2000, Greece

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