|Trading and Quantitative Research|
|Assistant to the Global Head of Capital Markets with the framework of his responsabilities all Front-Office activities: Fixed Income, Credit, Foreign Exchange, Treasury and Sales.|
|Within a nine month deadline, three objectives have to be achieved in the following order:|
- to write an exhaustive and detailed assessment of the current situation of the Equity Derivatives Department,
- to develop then submit to the Board a series of recommendations that would re-start the activity of this department making them compatible with the Group strategy,
- to supervise the implementation of the recommendations selected by the Company's Management.
|Assistant to the Head of the newly created Fund Structuring Department. The initial Business Plan forecasted the introduction of three main types of products:|
- Floor Funds, in particular Constant Proportion Portfolio Insurance,
- Traditional Funds Options,
- Hedge Funds Options.
|Equity Derivatives Trader||September 2001 - October 2002|
|In charge of Market Making but also systematic Proprietary Trading strategies on Stock and Index Listed Options with the use of automatons on the following Electronic Markets:|
- EUREX (Germany, Switzerland, EUROSTOXX®)
- EURONEXT (France, Netherlands)
- BORSA ITALIANA (Italy)
|The Electronic Trading Group team develops strategies for the systematic arbitrage based on the Listed Options, exclusively, Electronic Markets. These strategies are implemented with the use of automatons without any direct human intervention. Together with the management of the team of ten people, at the time, I was responsible for the research of arbitrage strategies. Furthermore I have developped the Hedging automaton, both initial (Delta) and dynamic (Gamma), in real time, for a portfolio of multi-underlying Vanilla and/or Exotic derivatives products.|
|Member of the Equity Derivatives Quantitative Research Team. Here is a sample of the numerous projects developped during this period:|
- Collaboration in the implementation of the pricing model used as the benchmark for all dealt Derivatives;
- Development of Options pricing tools, within a diffusion model which generalizes the reference model with addition of jumps;
- Thorough analysis of the correlation at pricing, management and risk assessment level of multi-underlying and/or multi-currency portfolios, followed by the improvement of its bearing;
- Tight collaboration with the Risk Department.
|Graduate Trainee||July 1995 - September 1997|
|Trainee in the Equity Derivatives Quantitative Research team. One of the thesis produced during these training periods and entitled "Asset behaviour modeled through Levy Processes. Application to options pricing" earned the second price of the best reports on Finance given by the Club des Jeunes Financiers, a French association interested in Finance, in october 1998.|