myayou

Quant Researcher Developer Trading

I have developed significant expertise in Quantitative Finance within financial markets through the last few years.

Indeed, I have held several positions, in many different contexts, whether as a Quantitative Volatility Model Researcher or as a Quantitative Modeling Stream Lead, to
name a few ; which has allowed me not only to acquire strong programming knowledge, especially in C++ through various engines and applications, significant
Data Analysis, Team & Project Management capabilities, but also gain and perfect relevant skill set across all aspects of Quantitative Research & Trading /Risks/
Hedging, especially on trading volatility models topics.

Furthermore, I do have a deep knowledge & interest in Blockchain, Cryptocurrency Markets & DeFi.



----------------------------------------------------------


Experience: 11 years

Yearly salary: $200,000

Hourly rate: $10

Nationality: 🇫🇷 France

Residency: 🇫🇷 France


Experience

Quantitative Stream Lead
SG CIB
2022 - 2024
In charge of -PVaR /SPVaR, Expected Shortfall- Models implementation and certification, approach and explain some of Stress Tests as part of FRTB (Bâle IV). ● Lead quantitative team to implement risk assessment models, including, Value at Risk, Stress-Tests. ● Take stock of the existing situation and define the target process. Frame and define the needs of VaR implementation & certification. ● Design, program & improve VaR Engine and Stress Tests, and various limit frameworks for portfolios of diverse products. ● Monitor the computation & production of multiple VaR/CoVaR correlation matrix’, Sensis, PVaR & Stressed PVaR. ● Manage, visualize, and control Risk Factors of BDOTC (Referential app for Interest Rates, Inflation, Forex, Volatility, Credit, Equity & Commodities RF / and for each Scenario, Shock of Stress Test & deformation values / store the correlation matrix’) + Review the implementation of XVAs pricing framework. ● Inform (IT Risk/DEV) of our quality & security requirements for the service and data (Availability, Integrity, Confidentiality, Traceability). ● Supervise and coordinate different team members (Quants, Business Analysts, Developers, Designers, Scrum Masters…). Plan and track budget actuals and projections. ● Evaluate and validate the models to ensure the soundness and correct application of them. ● Show and lead ad hoc workshops with many stakeholders. Organize and chair Steering Committees. Technologies: C++, Microsoft .Net Framework (C#, ASP.NET…), Azure DevOps, Git/Bitbucket, SQL Server, Webservice, Mosaics, Agile/ Scrum.
Quantitative Volatility Model Researcher
ECOLE POLYTECHNIQUE
2020 - 2022
Research Worker: Quantitative Volatility Model Researcher Application of Rough Stochastic Volatility Models in the HFT Digital-Assets Markets ● Estimate the smoothness / (Hölder Regularity) of the volatility processes based on empirical results (Distribution of the log-volatility increments). ● Specify a Rough Fractional Stochastic Volatility Model compatible with the empirical scaling of the volatility/ Show that it reproduces the empirical facts. ● Show how rough volatility emerges as the scaling limit of a Hawkes Process / based description of the order flow in the context of high frequency trading and metaorder splitting (Reproduce the stylized facts of modern markets microstructure). ● Explain how to forecast volatility / predict variance at various timescales as an application of the RFSV Model. ● Demonstrate that the RFSV vol forecast outperforms conventional AR/HAR vol forecasts. Technologies: Python (Jupyter Notebook, NumPy, SciPy, Pandas, JSON, SSL…), BitMex, Bitstamp API.
Quant Researcher & Developer
AMUNDI ASSET MANAGEMENT
2016 - 2021
● Produce daily Volatility Surfaces on main Options Markets (US, EU, ASIA EX JAPAN, JAPAN). ● Validate Volatility Surfaces on following equity market indices (SPX, NKY, HSI, …, FTSE, DAX, CAC40). Optimize validation process of vol surfaces. ● Calibrate five parameters of-Jim Gatheral’s SVI Model-(Term Structure of Volatility Parameters). Test and validate the output calibrated parameters. ● Work on portfolio construction & optimization and the enhancement of existing trading models. ● Research, design and implement Alpha Signals Trading Strategies. Back testing of Volatility Trading Strategies. ● Identify new trading opportunities by using statistical models and analyzing large data sets. Check over the implemented strategies & track their behavior. ● Conduct research to develop innovative risk management approaches/tools/analytics to improve performance. ● Provide support to Portfolio Managers. Quantitative Developer – Equities ● Build Low-Latency/ High Frequency Market Making Strategies. ● Build LL Exchange Connectivity (CME, Eurex, ICE), Order Routing/Execution, Realtime & Historical Data solutions to support HFT/MFT Strategies. Technologies: C++ /UNIX Systems, Multithreading/ Boost/ Sockets/ TCP, Network APIs, GNU Make, Valgrind, API Bloomberg, Datastream, Python, SQL Server, Sophis.
Quant Analyst- Structured Funds Portfolio Management
BARCLAYS INVESTMENT MANAGERS
2014 - 2016
Quant Analyst- Structured Funds Portfolio Management Sub-Portfolio Manager – Exotic Products Analysis: ● Day to day monitoring of structured funds management (Booking of transactions, Performance Validation…). ● Set up tools to analyze Fixed Income, Diversified and Money Market funds.. Dev & Analysis: ● Review/correction of pricers (Cholesky Decomposition Correlation, distinction of many legs). ● Pricing of Exotic Options (Asian, look back, knock in/out,..,cliquet, basket) and TRS. ● Backtesting of OTC Valorization Models in compliance with the governing bodies requirements (CPPI, C&S). ● Explain the Total Return Swaps gaps with counterparties. Show the results to the committee for final validation. Technologies: C++/ Visual Studio, SQL Server, VBA, Bloomberg, Tracker Application, Reuters.
Quant Algorithm Researcher
Family office
2002 - 2022
● Set-up tools to visualize & analyze on-chain market data for a better liquidity management within the protocols (Uniswap V3, …) and costs estimation. ● Conceptualize, implement & deploy in-house trading algorithms for the pairs ETH/USDT, BTC/USDT & ETH/BTC (Hedging against the Impermanent Loss) ● Improve the algorithms under highly volatile market conditions. (By providing a dynamic version and given the flexibility to modify the parameters). ● Draft and share the functional and technical documentations with the company. Technologies: VS Code, Visual Studio, Python, Jupyter Notebook, Bitstamp API, Binance API, websockets.

Skills

java
python
sql
c-plus-plus
english
french