Amal Omrani

Research interests

My work draws on stochastic analysis, convex analysis and dynamic programming, and is organised around the following themes:

• Mathematical finance: explicit recursive computation of super-hedging prices and strategies in discrete-time markets with proportional transaction costs [1, 3], and dynamic programming for the continuous-time case [6].
• Random sets and ordered structures: conditional random sets in Polish spaces, with applications to the Skorokhod space [4], and concentration inequalities in Riesz spaces [2, 7].
• Climate risk (next directions): stochastic modelling of weather and extreme events, such as heatwaves, droughts and floods, and of their financial and economic impact; the pricing and management of climate-related risks; and green finance.

Publications and preprints

1. [1]
   E. Lepinette, A. Omrani. Explicit recursive construction of super-replication prices under proportional transaction costs. Stochastics, under revision. HAL, arXiv, code.
2. [2]
   M. A. Ben Amor, A. Omrani. Chernoff's inequality in Riesz spaces. Quaestiones Mathematicae 46(9), 1777–1787, 2023. DOI.
3. [3]
   E. Lepinette, A. Omrani. Computation of the super-hedging strategies for vanilla options with transaction costs. Mathematics and Financial Economics, under revision. HAL, code.
4. [4]
   E. Lepinette, A. Omrani. Conditional random sets in Polish spaces with applications to the Skorokhod space. Journal of Mathematical Analysis and Applications, under revision. HAL.
5. [5]
   A. Omrani, A. Fradi, C. Samir. Reduced run-time and memory complexity regression with a Gaussian process prior. Conference paper, 55es Journées de Statistique, Bordeaux, 2024. Paper, code.

In preparation

1. [6]
   E. Lepinette, A. Omrani, W. Yan. Continuous-time markets with transaction costs: superhedging, dynamic programming, and path-dependent HJB–QVI.
2. [7]
   M. A. Ben Amor, A. Omrani. Order-valued Bennett and Hoeffding inequalities in Riesz spaces.

Education

• 2023–26 PhD in Applied Mathematics, Université Paris Dauphine-PSL (CEREMADE). Thesis: Explicit Computation of Super-Hedging Prices and Strategies under Transaction Costs. Supervisor: E. Lepinette.
• 2022–23 Master in Mathematics and Applications, Université de Monastir (ranked 1st). Thesis on Gaussian processes at LIMOS, Université Clermont Auvergne.
• 2019 Agrégation in Mathematics, École Normale Supérieure de Tunis (ranked 3rd).

Teaching

Université Paris Dauphine-PSL

• 2026–27 Monte Carlo Methods (Master 1): two computer-lab groups in R and two tutorial groups. Course materials
• Spring 2027 Statistics (Bachelor L3).
• 2025–26 Introduction to Finance (Bachelor): derivatives and options (30 students, 40 hours).
• 2024–25 Statistics (Bachelor L2): lectures, tutorials and assessment design (30 students, 50 hours).
• 2024–25 AI Projects: supervision of student data-analysis projects in Python (30 students, 15 hours).

Preparatory Institute for Engineering Studies of Monastir

• 2019–23 Algebra I & II: full responsibility for lectures, tutorials and examinations (60 students per year, 18 hours per week); grader for the national engineering-school entrance examinations.

Supervision

• 2026–27 Master's thesis: Monte Carlo methods for PDEs: random walks and the Dirichlet problem.

Talks

• Oct 2026 FiME PhD Seminar, Institut Henri Poincaré, Paris, France.
• Sept 2026 COSA 2026, CIRM, Marseille, France.
• June 2026 13th Bachelier World Congress, Bologna, Italy.
• Mar 2026 CEREMADE Third-Year PhD Day, Paris, France.
• Oct 2025 Stochastics in Mathematical Finance and Physics (SMFP 2025), Hammamet, Tunisia.
• Sept 2025 Stochastics & Computational Finance (SCF 2025), Lisbon, Portugal.
• June 2025 Young Researchers' Days, CEREMADE, Paris, France.
• Apr 2025 XXVI Workshop on Quantitative Finance, Palermo, Italy.
• Jan 2025 17th Bachelier Colloquium, Métabief, France.
• May 2024 55es Journées de Statistique, Bordeaux, France.
• Oct 2022 Functional Analysis and Operator Theory South Africa Workshop, Kruger National Park, South Africa.

Schools and seminars attended

• Jan 2026 23rd Winter School on Mathematical Finance, Soesterberg, Netherlands.
• July 2025 5th Barcelona Summer School of Stochastic Analysis and Quantitative Finance, Barcelona, Spain.
• June 2024 CIMPA School: Ordered Structures in Finance and Machine Learning, Sousse, Tunisia.
• May 2022 Workshop on Banach Spaces and Banach Lattices II, ICMAT, Madrid, Spain.
• Regular Bachelier Seminar, Paris, France.

Academic service

• 2026 Co-organizer, COSA 2026, International Conference on Ordered Structures and Applications, CIRM, Marseille.
• 2024–25 Co-organizer, Young Researchers' Days, CEREMADE.
• 2023 Co-organizer, COSA 2023 workshop, Tozeur, Tunisia.