PhD candidate · Applied Mathematics & Quantitative Finance

Martín Arnaiz
Iglesias

MBA · Science & Management · Collège des Ingénieurs

I work on stochastic approximation schemes in finance and their applications to portfolio optimization, at the Centre d'Économie de la Sorbonne. Alongside my PhD, I am pursuing an MBA in Science & Management at the Collège des Ingénieurs.

View publications Curriculum vitae Live demo
Portrait of Martín Arnaiz Iglesias
Centre d'Économie de la Sorbonne CNRS Université Paris 1 Panthéon-Sorbonne IRD Collège des Ingénieurs

Research

I am a PhD student at the Centre d'Économie de la Sorbonne — a joint research laboratory of CNRS, Université Paris 1 Panthéon-Sorbonne and IRD. I am part of the Financial Modelling team, and my research focuses on stochastic approximation schemes in finance — particularly their applications to risk budgeting and other financial processes. My thesis is supervised by Noufel Frikha.

Try it live — interactive risk-budgeting demo →

Publications

  1. 2026

    Mirror Descent Algorithms for Risk Budgeting Portfolios

    Mathematics of Operations Research · INFORMS

    Martín Arnaiz Iglesias, Adil Rengim Cetingoz, Noufel Frikha

    Live demo JournalarXivHALCode

Working papers

  1. WP

    Robust Mirror Descent Algorithms for Risk Management

    Martín Arnaiz Iglesias, Noufel Frikha

    In preparation

Talks & posters

  1. Jun 2026 Upcoming

    XIII Bachelier World Congress

    Bachelier Finance Society · University of Bologna, Italy · 29 June – 3 July 2026

  2. Nov 2025

    QuantMinds International

    PhD Poster Session · InterContinental O2, London · November 2025

    Poster (PDF)
  3. Sep 2025

    Stochastics & Computational Finance

    New Trends from Academia to Real-World Applications · Lisbon, Portugal · 2–5 September 2025

  4. Mar 2025

    Financial Risks International Forum

    18th edition · Institut Louis Bachelier · Paris (CCI Paris Île-de-France) · 17–18 March 2025

Teaching

Fondements des mathématiques

L1 MIASHS · Université Paris 1
2024
Cours Livret TD TD6 TD7 TD8 TD9 TD10 Interro 1 Interro 1 — corrigé
2025
TD9

Modèles mathématiques en finance

L3 MIASHS · Université Paris 1
Course
Cours Livret TD TD5

Contact

Let's get in touch

For research, teaching or collaboration, feel free to reach out.

martin.arnaiz.iglesias@gmail.com
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