Education
D., Applied Mathematics in Finance, Pierre and Marie Curie University (UPMC), Paris,
2017
Sc., Statistical Processing of Information, Dauphine University, Paris, 2011
Master of Financial Engineering and M.Sc. in Quantitative Finance, ENSIMAG, Grenoble,
2010
About Saad
Saad Mouti is an Assistant Professor in the Department of Mathematics and Physics at the University of New Haven, where he coordinates the B.S. in Actuarial and Mathematical Sciences. He works on volatility modeling, statistical inference for asset pricing models, and risk in insurance and energy markets. His recent papers test the rough volatility hypothesis across asset classes and derive standard errors for the cross-sectional fit used to compare factor models.
He holds a Ph.D. in applied mathematics in finance from Pierre and Marie Curie University (Paris), advised by Nicole El Karoui and Mathieu Rosenbaum, and completed part of his doctoral work at AXA Group Risk Management, where he spent five years as a quantitative engineer. Before joining New Haven in 2025, he held postdoctoral and visiting positions at UC Berkeley, UC Santa Barbara, and Worcester Polytechnic Institute. In January 2026, he received the Whitley Professorship in Mathematics and Physics, awarded by the College for teaching. As program coordinator, he led the actuarial program's recognition applications to the Society of Actuaries (UCAP-IC) and the Casualty Actuarial Society (Bronze), both granted.
Personal Websites
Research Interests
- Volatility modeling and derivatives pricing, including rough volatility
- Empirical asset pricing and factor model inference
- Causal inference, machine learning, and generative models for market and insurance risk
- Computational and energy finance
- Actuarial science
Courses Taught
- MATH 1117 Calculus I
- MATH 3371 Probability and Statistics I
- MATH 4472 Probability and Statistics II
Selected Publications
- Mouti. Rough Volatility Across Assets. Working paper, arXiv:2608.16749, 2026.
- Horenstein, P. Maio, S. Mouti, F. Wang. Inference on Cross-Sectional Fit in Linear Factor Models. Working paper, SSRN 6460038, 2026.
- Ludkovski, S. Mouti, G. Swindle. Least-cost structuring of 24/7 carbon-free electricity procurements. IEEE Power & Energy Society General Meeting, 2024.
- Kalife, L. Goudenege, X. Tan, S. Mouti, M. Bellmane. Sustainable Life Insurance: Managing Risk Appetite for Insurance Savings and Retirement Products. Chapman & Hall/CRC Financial Mathematics Series, 2023.
- Dai, S. Mouti, M. Lima do Vale, S. Ray, J. Bohn, L. Goldberg. A resampling approach for causal inference on novel two-point time-series with application to identify risk factors for type-2 diabetes and cardiovascular disease. Statistics in Biosciences, 2023.
- Goldberg, S. Mouti. Sustainable investing and the cross-section of returns and maximum drawdown. The Journal of Finance and Data Science, Vol. 8, 2022.
- Livieri, S. Mouti, A. Pallavicini, M. Rosenbaum. Rough volatility: evidence from option prices. IISE Transactions, Vol. 50, No. 9, 767-776, 2018.
- Kalife, S. Mouti. On optimal options book execution strategies with market impact. Market Microstructure and Liquidity, Vol. 6, Issue 3, 2016.
Recent Talks
- 39th New England Statistics Symposium, Storrs, CT, 2026
- Cambridge Forum: The Vision 2026, Cambridge, UK, September 2026. The Life Not Lived: Generative AI for Health and the Years a Treatment Buys
- AMS Joint Mathematics Meetings, Washington DC, January 2026. Rough volatility across asset classes
- 38th New England Statistics Symposium, New Haven, CT, 2025
- Cambridge Forum on Tech For Good, Cambridge, UK, 2025. Finance for good: a causal inference framework for ESG investing
Honors and Service
- Whitley Professorship in Mathematics and Physics, University of New Haven, January 2026
- Led the SOA UCAP-IC and CAS Bronze recognition applications for the actuarial program, 2025-26, both granted
- Organizer, Special Session on Financial Mathematics: Theory and Practice, AMS Joint Mathematics Meetings, Washington DC, January 2026
- Member, Corporate Partnership Council; liaison to regional insurance employers