New York University The Courant Institute of Mathematical Sciences Candidate for a MSc in Mathematics in Finance.
- 1st semester: Stochastic Calculus, Derivative Securities, Computing in Finance (including a large C++ project), Capital Markets and Portfolio Theory
- 2nd semester: Continuous time finance, PDE for Finance, Interest Rate & Credit models, Risk Management
- 3rd semester: Financial Econometrics and Statistical Arbitrage, Computational Methods in Finance, Project and Presentation (certainly related to optimal execution with Simon), Case Studies & Financial Modeling
• In addition to its main subjects, this coursework covers : arbitrage theory, discrete pricing models, Black-Scholes formulas,
one and multi-factor models, interest rate models, volatility models, CAPM, APT, Monte Carlo, Optimization, trading strategies (trend-following and
high frequency statistical arbitrage).
• Main Professors: Steve Allen, Marco Avellaneda, Peter Carr, Bruno Dupire, Jim Gatheral, Robert Kohn, Lee Maclin, Nassim Taleb.
Sep 02 Jun 04
ENSAE, National School of Statistics and Economics (France) BS in Applied Mathematics
and Economics • Research paper on linear models and non-parametric methods for time series inversion forecast.
• Research paper on the market organization of the French cinema industry, in cooperation with the National Center for Cinematography.
• Development of a graphical representation module for time series analysis, production of basic statistics.
Sep 99 Jun 02
Lycee Montaigne (France) Mathematiques Superieures
and Mathematiques Speciales • Undergraduate university-level
preparatory classes for the nationwide highly competitive examination
to the French Grandes Ecoles for scientific studies. Major: Mathematics,
Minor: Physics.
BANKING
EXPERIENCE
Jan 07 Present
UBS
- London Associate - Equity derivatives trading (CPPI...).
• CPPI trading: book and products management. Project management to improve algorithm monitoring.
• Options on CPPI valuation and hedging improvement.
• Backtesting of trade ideas, with both a financial and a statistical approach
• Fund underlyings statistical benchmarking to improve risk monitoring to improve hedging frequency.
• FSA approved person.
May 06 Dec 06
BNP Paribas
- New York Intern (Associate) in Equity Derivatives Proprietary Trading.
• Developped and tested several high frequency trading strategies. Index arbitrage with long/short characteristics,
• Iterated static mean variance basket optimizations (incl. transaction costs) for high frequency rebalancing,
• Study of cointegrated series, and factor analysis - risk-return trade-off.
Feb 05 Jul 05
UBS
- London Intern (Analyst) in Equity Derivatives Trading.
• Management of the book on CPPI (Constant Proportion Portfolio Insurance) on Mutual Funds and Hedge Funds, options on CPPIs.
• Designed VBA tools for daily managing/hedging of the books � Helped with secondary market making.
• Creation of client information packs on mutual funds products � Connections with Trade Support on daily issues.
Aug 04 Jan 05
Caisse nationale des Caisses d'Epargne
- Paris Intern (Analyst) in Fixed-Income Analysis.
• Validation of rate derivatives models with a "Front to Back" approach.
• Designed Java tools to produce independant valuation of FI products.
• Basic stochastic calculus methods on rate models � Front (Summit) vs Back (Arpson) softwares.
• Adequacy tests depending on market hypothesis (B&S, Vasicek, CIR).
Jun 04 Jul 04
BNP Paribas
- Paris Intern in Equity Derivatives.
• Development of a "Strategic Account Management" Procedure.
• Designed VBA/Access tools aggregate book positions by counterparts.
• Systematic production of reports on information from desks, products, geographical zone, marketer, etc.
Summer 2003
Robert Picqu� Military Hospital - Bordeaux Intern in Project Financing division. • Study of the impact of the new European open markets regulations on the project financing policy of the hospital.
• Legal Formation to the regulatory decision making processes on financing plans - Designed and studied a questionnaire for managers.
• Captain of the ENSAE Tennis team during two French university league
championships (2002-2004).
• Vice President of ENSAE Junior ETUDES – participated in table of negotiations with clients and nationwide audits, $300,000 annual turnover (2003).
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