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Grimaud was born in Aix-en-Provence, France. On her mother's side, she is descended from Italian-Sephardi Jews on Corsica; and, on her father's side, from Algerian Jews.[1][2] She has stated that, as a child, she was often "agitated".[3] She discovered the piano at seven. In 1982, she entered the Conservatoire de Paris, where she studied with Jacques Rouvier. In 1985, she won 1st Prize at the Conservatory and the Grand Prix du Disque of the Académie Charles Cros for her recording of the Sergei Rachmaninoff Piano Sonata No. 2. In 1987, she launched her professional career with a solo recital in Paris and a performance with the Orchestre de Paris under Daniel Barenboim.

In 1991, at age 21, Grimaud moved to Tallahassee, Florida, to be near a boyfriend who taught bassoon at Florida State University.[4] In 1997, she settled in Westchester County, north of New York City. After some time spent in Berlin,[5] she currently resides in Switzerland.[6] She has a passion for wolves, which she studies and raises. She now divides her time between her musical career and the Wolf Conservation Center, which she co-founded with her former companion, photographer J. Henry Fair.[7] She also experiences synesthesia, where one physical sense adds to another, in her case seeing music as color.