Paris, Île-de-France, France
Analyser, modéliser, implémenter, généraliser, partager
Statistical arbitrage: data analysis, clustering, alpha generation Mid-frequency strategies (carry, momentum, alternative risk premia)
• Developed and maintained the computational library for pricing and risk analysis for vanilla options, convertible bonds, volatility and exotic derivatives, credit and forex derivatives • Established a framework for real-time volatility data collection, calibration and analysis • Performed intraday volatility forecasting for arbitrage and optimal market-making • Produced research and backtest of hedging strategies for options and convertible bonds books • Developed advanced scripting language • Managed a quant team.