Saad Mouti

Assistant Professor, Department of Mathematics and Physics
Coordinator, B.S. in Actuarial and Mathematical Sciences
University of New Haven

I work on volatility measurement across asset classes, statistical inference for asset pricing models, and simulation methods for insurance and energy risk. The questions I keep returning to are about measurement: what a finite sample of market data actually licenses us to say, and where a method that works in equities quietly stops working somewhere else.

Before New Haven I held positions at Worcester Polytechnic Institute, UC Santa Barbara, and UC Berkeley, and spent five years at AXA Group Risk Management in Paris as a quantitative engineer. I am a co-founder and Chief Actuarial Scientist at Crosure. My Ph.D. is in applied mathematics in finance from Pierre and Marie Curie University, advised by Nicole El Karoui and Mathieu Rosenbaum.

Much of this work started from a problem someone had in practice, an insurer's hedging constraint or a buyer's round-the-clock carbon-free target. I am always glad to hear from people working on problems like those, in academia or in industry.

smouti@newhaven.edu Google Scholar LinkedIn CV (PDF)

News

Sep 2026 Spoke at the Cambridge Forum: The Vision 2026 in Cambridge, UK, on generative AI for health: The Life Not Lived: Generative AI for Health and the Years a Treatment Buys, on counterfactual survival, tested against a randomized trial and applied to a national health survey.
Aug 2026 New working paper: Rough Volatility Across Assets, testing the rough volatility hypothesis on 3,926 equities, 34 futures roots, and options on 44 underlyings, and mapping where the standard estimators fail.
Mar 2026 New working paper with Alex Horenstein, Paulo Maio, and Fangfang Wang: Inference on Cross-Sectional Fit in Linear Factor Models, on standard errors for the cross-sectional R² used to rank factor models.
Jan 2026 Awarded the Whitley Professorship in Mathematics and Physics at the University of New Haven, for teaching.
Jan 2026 Organized the Special Session on Financial Mathematics: Theory and Practice at the AMS Joint Mathematics Meetings in Washington DC.
2026 The New Haven actuarial program earned recognition from the Society of Actuaries (UCAP-IC) and the Casualty Actuarial Society (Bronze). I led both applications.