Frank SOUSSAN
5 West 101st Street Apt #8C
New York NY 10025
917-721-8232
frank.soussan@nyu.edu
EDUCATION
Expected Dec 05
New York, USA
NEW YORK UNIVERSITY
The Courant Institute of Mathematical Sciences
MS in Mathematics in Finance. GPA: 3.95/4.0
Coursework includes:
• Stochastic Calculus, PDE in Finance, Statistics and Econometrics.
• Derivative securities, Arbitrage Theory, discret pricing models, Black-Scholes formulas, continuous time finance, multi-factor models, interest rates models, volatility models.
• Capital Markets, CAPM and Portfolio Theory, Risk Management for equity, interest rates and currency derivatives.
• Scientific computing in Finance, Monte Carlo, Optimization, implementation of pricers and trading strategies (trend-following and high-frequency statistical arbitrage).
Sept 02-June 04
Paris, France
ENSAE, National School of Statistics and Economics
MS in Applied Mathematics, Statistics and Econometrics
• Mathematical statistics, econometrics, duration models, time series modeling
• Stochastic processes, futures and options
• Microeconomics, macroeconomics, game theory, applied economics, managerial accounting, business law
Sept 99-June 02
Paris, France
Lycée CHARLEMAGNE
Mathématiques Supérieures and Mathématiques Spéciales.
Undergraduate university-level preparatory classes for the nationwide highly competitive examination to the French Grandes Ecoles for scientific studies. Major: Mathematics, Minor: Physics.
WORK EXPERIENCE
May 05-Dec 05
New York, NY
Societe Generale
Summer Associate then Part-Time position on the Exotic Credit Derivatives Trading Desk
• Dealt with a broad range of structured products: CDO, CDO2, First-to-Default, Leverage Super Senior, etc.
• Focused on pricing models (Beta for CDO, Random Factor Loading for CDO2) as well as methodologies (Equivalent Strikes Method).
• Priced a lot of different structured products: CDO Forward, Combo Notes, Steepener, etc.
Summer 2004
London, UK
Deutsche Bank
Summer Analyst in Global Equity Derivatives Trading, Correlation Desk
• Conceived models of component stock selection for the Dispersion Trading Strategy
• Developed forecasting volatility models
• Optimized computation methods of pairs correlation in single stocks baskets
Dec 03-June 04
Paris, France
Société Générale Asset Management
Analyst in the Equity & Index Derivatives Structuring Research team (Apprenticeship)
• Performed a methodology for calibration of stochastic volatility models
• Conducted the implementation as well as a simulation of a Nelson stochastic volatility model for Fund derivatives
COMPUTER SKILLS
General programming skills: VBA, C/C++, Java, SAS, Matlab
Financial software: Bloomberg, Reuters Kobra
0ther software: Word, Excel, PowerPoint, Access, LaTeX
Operating Systems: Windows 95/98/NT/XP, Unix
LANGUAGES
French (Mother tongue)
Fluent in English, Spanish and Arabic
Notions of Hebrew
LEADERSHIP
• Vice-President of Forum ENSAE (on-campus recruiting event, 19 people team, $150,000 annual turnover): representative of ENSAE in numerous official meetings with companies and/or other universities.
• Volley Ball team captain during 2 French national league championships (2001-2003).