GwenaŽl CHAZAL, 33 years old.
PARIS - FRANCE
e-mail : gwenael.chazal@polytechnique.org
Single
French.
GwenaŽl CHAZAL
Trading and Quantitative Research
Equity Derivatives

PROFESSIONAL EXPERIENCE
From october 2002Natexis Banques Populaires
Advisor to the Global Head of Capital MarketsFrom july 2004
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.
Equity Derivatives Reorganisation ManagerOctober 2003 - July 2004
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.
Fund Structuring TraderOctober 2002 - October 2003
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.

From july 1995
to october 2002 (7 years)
BNP Paribas
Equity Derivatives TraderSeptember 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)
Co-head of Electronic Trading GroupJuly 1999 - September 2001
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.

Equity Derivatives
Quantitative Research Engineer
September 1997 - July 1999
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 TraineeJuly 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.

EDUCATION
2001EUREX Trading Examination.
1995 - 1997Ecole Nationale de la Statistique et de l'Administration Economique : High School of Statistics, Economy and Finance.
Actuary.
1996 - 1997Master in Stochastic Calculus and Statistics, Paris.
1992 - 1995Ecole Polytechnique : one among the highest engineer schools in France.

LANGUAGES
EnglishFluent.
GermanSchool level.
FrenchMother tongue.

IT SKILLS
ProgrammingC++, UML, Ada, C, Microsoft® Visual Basic®, LaTeX.
SoftwaresMicrosoft® Word®, Microsoft® Excel®, Rational® Rose®.

HOBBIES
Mathematical Finance teacher in two French universities in 2000-2001 and 2004-2005.
Roller, chess, snooker.
Webmaster of the personal website : http://perso.wanadoo.fr/famille-chazal/gwenaelindexenglish.htm.