Numerical problems in financial mathematics and trading strategies.

Summary The goal of this CIFRE thesis is to build a portfolio of intraday algorithmic trading strategies. Instead of considering prices as a function of time and randomness generally modeled by a Brownian motion, our approach consists in identifying the main signals to which order givers are sensitive in their decision making and then proposing a price model in order to build dynamic portfolio allocation strategies. In a second, more academic part, we present pricing work on European and Asian options.