Mes compétences :
Credit Derivatives
Derivatives
Equity Derivatives
Modelling
Statistics
stochastic calculus
Time series
Trading
Entreprises
HSBC France
- Quantitative Analyst - Structured Equity Derivatives
Paris2010 - maintenantEvolutions of the library dedicated to the prototyping of new financial products and models and to the pricing and booking of HSBC structured products
- New quantitative functionalities: correlation term structure, payoff smoothing, stochastic volalitilty models
- New features: optimised pricing and parameter solving, new standardised payoffs
- Improvement of the release process
Merrill Lynch Japan
- Quantitative Analyst - Equity Derivatives Trading
2009 - 2010Design of automated Volatility Arbitrage strategies
- Design of a realistic intraday back-testing bench
- Various historical studies (volatility smile modelling, mean reversion of parameters, cointegration)
- Design of trading strategies
Montrouge2006 - 2008- Cross Asset scope : Interest Rates, Credit, Equity
- Quantitative analysis, choice of the stochastic model and design of pricers used by the department
- Risk analysis of the impact of new derivatives in the current portfolios
- Management of an intern on a project dealing with a risk measure: the expected shortfall
SAGEM Defense and Security
- Research and Development Engineer
PARIS2004 - 2006- Design of a mass-produced missile (AASM) : guidance design, performance assessment with statistical simulation
- Missile preliminary drafts: technical feasibility studies with a model of missile dynamics, competitive intelligence
