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Amal Omrani

Amal Omrani

PhD candidate in Applied Mathematics
CEREMADE, Université Paris Dauphine–PSL, France
Research Group on Ordered Structures with Applications (RGOSA)

Email · Personal website · CV · GitHub · arXiv · LinkedIn

About me

I am a PhD candidate in applied mathematics at CEREMADE, Université Paris Dauphine–PSL, under the supervision of Emmanuel Lepinette.

My research concerns stochastic modelling for quantitative finance, with a particular focus on the explicit computation of super-hedging prices and strategies in markets with transaction costs. My work draws on stochastic analysis, convex analysis and dynamic programming.

I also work on conditional random sets and concentration inequalities in Riesz spaces. These topics connect my research in mathematical finance with the ordered structures studied within RGOSA. My future research interests include climate risk modelling and green finance.

Research interests

  • Mathematical finance: explicit recursive computation of super-hedging prices and strategies in discrete-time markets with proportional transaction costs, and dynamic programming for continuous-time markets.
  • Random sets: conditional random sets in Polish spaces, with applications to the Skorokhod space.
  • Ordered structures and probability: concentration inequalities in Riesz spaces, including Chernoff, Bennett and Hoeffding inequalities.
  • Climate risk and green finance: future directions involving stochastic modelling of weather and extreme events, their financial and economic impact, and the pricing and management of climate-related risks.

Publications and preprints

Journal article

  • M. A. Ben Amor and A. Omrani.
    Chernoff’s inequality in Riesz spaces.
    Quaestiones Mathematicae, 46(9), 1777–1787, 2023.
    DOI

Preprints under revision

  • E. Lepinette and A. Omrani.
    Explicit recursive construction of super-replication prices under proportional transaction costs.
    Under revision at Stochastics.
    HAL · arXiv · Code
  • E. Lepinette and A. Omrani.
    Computation of the super-hedging strategies for vanilla options with transaction costs.
    Under revision at Mathematics and Financial Economics.
    HAL · Code
  • E. Lepinette and A. Omrani.
    Conditional random sets in Polish spaces with applications to the Skorokhod space.
    Under revision at Journal of Mathematical Analysis and Applications.
    HAL

Conference contribution

  • A. Omrani, A. Fradi and C. Samir.
    Reduced run-time and memory complexity regression with a Gaussian processes prior.
    55es Journées de Statistique, Bordeaux, 2024.
    Contribution · Code

In preparation

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

Manuscript statuses follow my personal website, updated in October 2026.

RGOSA and academic service

I am a member of the Research Group on Ordered Structures with Applications (RGOSA). My involvement includes the organization of scientific meetings bringing together researchers in ordered structures and their applications.

  • 2026: Co-organizer of COSA 2026, International Conference on Ordered Structures and Applications, CIRM, Marseille, France.
  • 2024–2025: Co-organizer of the Young Researchers’ Days, CEREMADE, Paris.
  • 2023: Co-organizer of the COSA 2023 workshop, Tozeur, Tunisia.

Education

  • 2023–2026 — Doctoral studies in Applied Mathematics
    Université Paris Dauphine–PSL, CEREMADE.
    Thesis: Explicit Computation of Super-Hedging Prices and Strategies under Transaction Costs.
    Supervisor: Emmanuel Lepinette.
  • 2022–2023 — Master in Mathematics and Applications
    Université de Monastir, ranked first.
    Master’s thesis on Gaussian processes at LIMOS, Université Clermont Auvergne.
  • 2019 — Agrégation in Mathematics
    École Normale Supérieure de Tunis, ranked third.

Teaching and supervision

Université Paris Dauphine–PSL

  • 2026–2027 — Monte Carlo Methods, Master 1
    Two computer-lab groups in R and two tutorial groups.
    Course materials
  • Spring 2027 — Statistics, Bachelor L3
    Scheduled teaching.
  • 2025–2026 — Introduction to Finance, Bachelor
    Derivatives and options; 30 students, 40 hours.
  • 2024–2025 — Statistics, Bachelor L2
    Lectures, tutorials and assessment design; 30 students, 50 hours.
  • 2024–2025 — AI Projects
    Supervision of student data-analysis projects in Python; 30 students, 15 hours.

Preparatory Institute for Engineering Studies of Monastir

  • 2019–2023 — Algebra I and II
    Full responsibility for lectures, tutorials and examinations; 60 students per year, 18 teaching hours per week. Grader for the national engineering-school entrance examinations.

Supervision

  • 2026–2027 — Master’s thesis
    Monte Carlo methods for PDEs: random walks and the Dirichlet problem.

Talks and scientific meetings

Schools and seminars attended

Contact

Amal Omrani
CEREMADE, Université Paris Dauphine–PSL
Paris, France

Email: omrani@ceremade.dauphine.fr
Personal website: amal-omrani.github.io