Germany
Option proprietary trading on European Gas, Power, Carbon and Brent Oil Back up of the Carbon (EUA) option trader Managed and supervised the overhaul of company’s option pricing, P&L production and option-specific risk management systems. Coordinated the project between IT, middle office, quants and risk. Supervised the quant team in the development of a systematic option/implied volatility trading strategy Offered bespoke option solutions to utilities/renewable projects in CEE to managed idiosyncratic risks, hedge PPA breakeven levels, etc. Served as interface to the client and managed the relationship. Developed a network of connections within the industry with brokers and other OTC counterparties
Trade execution for Senior Traders and daily management of option positions and Greeks on the volatility proprietary book for CBOT and MATIF Wheat and CBOT Corn markets Market making / providing quotes for Vanilla and Exotic Options and Structured Products to the sales-traders for our OTC client business. Market Research (Fundamental, Technical and Quantitative) and Macro Analysis Developed new relationships with Brokers in the Agricultural sector
Trade Execution and fundamental research for Senior Traders/PMs in Brent, WTI, Gasoline, Gas Oil, HH Gas, Coal, Base Metals, PGM, Precious Metals, Soft, Grains and Oilseeds Proprietary Trading (Directional, RV and Vol) of Futures and Options on Grain, Soft, Oil and Oil products Monitoring of the Desk's Option Position Management of Greeks and Volatility Risks Conducts Portfolio Stress-tests Position Reporting and Analysis Market Research (Fundamental, Technical and Quantitative) and Macro Analysis Developed new relationships with Brokers in the Agricultural sector Production of Marketing Documents Replacement of the head of operations when away: coordination of trade bookings, productions of daily P&Ls
Created through VBA an automated Black-Scholes and Greeks calculator for metals and oil products taking into account exchange specificities differences in expiries, multiplier, quotation format, implied volatilities, etc...) Implementated the Clewlow and Strickland one-factor model for energy forward curve simulation and a commodity swaption calculator derived from the Black-Scholes model Conducted stress-tests and calculated delta-hedging needs for a portfolio of options and futures on copper Realization of all marketing and investor-related documents for the fund Coordinated with IT the automation of daily P&L production including delta-adjusted positions Produced Daily P&L for the Hedge Fund
Provided MDs with supporting researches and took active part in the realization of the investment memorandum and valuation for a EUR25M capital raise for a cleantech company expending in China Realization of a pitch book for a German plastic automotive component maker with supporting valuation based on comparable acquisitions, trading multiples, DCF and LBO Target search for a buy-side mandate for a Spanish private equity company and a German Staffing Company