|
|
|
 |
|
Welcome to my web page
!
Update on April 2007 : I am working since the end of the program in Paris on electronic FX markets and am not looking for a job anymore. I was a student in the MSc of Financial Mathematics at
NYU. I am French, 24 and decided to come here after being at the ENSAE
in Paris. I live in Soho where I can enjoy the great pubs and
restaurants, without being too far from NYU !
I am willing to become a quantitative trader, probably a
statistical arbitrage trader. I have some experience in exotics trading
as you can see on my resume, and I
recently started writing some financial articles, the first one being
on Monte Carlo and the next one on known closed formulas with their
proofs. There will probably be one article very soon related to
statistical arbitrage (stat arb) as this is very important to me.
This master is particularly well designed for quantitative trading,
since we have interesting courses given by famous professors such as :
Peter Carr (who is also head of this master), Bruno Dupire, Marco
Avellaneda, Nassim Taleb, Jim Gatheral, Bob Kohn, Steve Allen, Lee Maclin...
The courses I had at the ENSAE were very deep into the maths part, here
is a non exhausting list : Stochastic Calculus, Statistics,
Econometrics, Measure Theory, Time Series, Markov Chains,
Differential Calculus, Dynamic Optimization, Numerical Optimization,
Tests Theory, Game Theory, Micro and Macro Economics, Data Analysis...
We learned also how to program in C++, C, SAS, VBA, R.
The courses for the first semester were :
- Stochastic Calculus
- Derivative Securities
- Computing in Finance (with a big project - quant lib interface
- that you can find under the articles section)
- Capital Markets & Portfolio Theory
For the second semester, we have :
- Continuous time finance
- PDE for Finance
- Interest Rate & Credit models
- Risk Management
Finally, for the third semester :
- Financial Econometrics & Statistical Arbitrage
- Computational Methods in Finance
- Project and Presentation (dynamic portfolio management)
- Case Studies & Financial Modeling
|
|
 |
In
this site you can find :
- My resume if you want to hire me ;)
- Some articles from me and some good ones !
- Other links to financial websites
- Links to my friend's pages (on the left)
|
|
