Julien Guyon, researcher at CERMICS, the applied mathematics lab at École nationale des ponts et chaussées 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 and financial risk management.
Risk readers and contributors, which include quantitative analysts and financial engineers, voted Julien Guyon to receive the honor. Guyon was recognized on November 26 at the Risk Awards 2025 ceremony in London.
I am truly honored to have been voted Quant of the Year 2025 by Risk. It is a great feeling to see my work on path-dependent volatility and on the joint calibration of S&P 500 and VIX smiles recognized by such a major award. This achievement would not have been possible without my co-authors and collaborators, whom I warmly thank, with a special thank you to Scander Mustapha and Florian Bourgey, my co-authors on the awarded papers, and to my longtime friend and co-author Pierre Henry-Labordère. And I am also very grateful to Société Générale, Bloomberg, Ecole nationale des ponts et chaussées, and BNP Paribas, and in particular to Lorenzo Bergomi and Bruno Dupire, for their support throughout my career and for offering great research environments. I look forward to contributing to understanding financial markets even better in the years to come!
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 financial markets. Julien 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 a very large predictive power and captures many important stylized facts about the volatility of financial markets.
Julien Guyon is a researcher at CERMICS, where he holds the BNP Paribas Chair Futures of Quantitative Finance, and a visiting associate professor in the Department of Finance and Risk Engineering at the NYU Tandon School of Engineering. He is also an adjunct professor in the Department of Mathematics at Columbia University (New York). 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 the Courant Institute of Mathematical Sciences, NYU; 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 football fan, Guyon has also published articles on fairness in sports both in academic journals and in top-tier newspapers including The New York Times, The Times, Le Monde, and El País, and some of his suggestions for draws and tournament design have been adopted by FIFA and UEFA.