Rudy Morel

Rudy Morel

Research Fellow

Flatiron Institute

I’m a Research Fellow in the Center for Computational Mathematics in New York. I’m working in AI for Science, building AI models – such as Transformers – for solving problems across Physics and Mathematics. I’m also working on application of AI to domains with limited data, such as Finance.

In 2023, I completed my PhD from École Normale Supérieure on compact models of multi-scale processes. I’m deeply grateful to my PhD advisor, Prof. Stéphane Mallat for this incredible journey, as well as Prof. Jean-Philippe Bouchaud for his exceptional guidance.

From 2019 to 2023, I had the privilege of being a member of the EconophysiX chair hosted by CFM and Polytechnique. In 2022, I was delighted to be a visiting PhD student at Rice University in Prof. Maarten de Hoop’s team.

Email: rmorel [at] flatironinstitute [dot] org

Interests

  • pretrained models
  • multi-scale data
  • transformer models
  • path shadowing

Education

  • PhD in Mathematics, 2020-2023

    École Normale Supérieure

  • MS in Probability and Finance, 2018-2019

    Sorbonne Université

  • BSc in Mathematics, 2015-2018

    École Normale Supérieure of Rennes

News

October 2024. Our paper Path Shadowing Monte Carlo has been published in the Quantitative Finance journal.

October 2024. I gave a lightning talk at the BBQ seminar organized by Bruno Dupire at Bloomberg New York.

October 2024. Version 2 of the scatspectra and shadowing packages are out!

September 2024. I gave a talk at the Center for Computational Astrophysics, thank you Sebastian Wagner-Carena.