France
Between 2017 and 2020, I served as the Product Owner for ENGIE's GEMS asset optimization suite, while pioneering the development of an internal data warehousing solution. Notably, I spearheaded the inner sourcing of the optimization library, written in python, marking a significant milestone within ENGIE. In 2020, I transitioned to the role of Product Co-owner for the official pricing library of GEMS (written in dotnet, 15+ monthly contributors). During this period, I led efforts to elevate the project's quality standards by implementing best practices inspired by open-source methodologies. Additionally, I developed novel pricing models tailored for diverse power assets, including Virtual Pump Storages, Balancing for Power Purchase Agreements (PPA), and Batteries, further enhancing the suite's capabilities and market relevance.
I am in charge of the Python library used by the team of quants to price structured products, analyse and visualise financial data. In particular, I take care of 3 projects successively: - Transforming raw Trayport data (trades and orders) into meaningful data that can be exploited by other teams (quants, analysts, traders) including calculation of multi commodity spreads, volatility and correlation across numerous frequencies - Backtesting of options on multi commodity spreads and associated hedging strategies - Full rewrite of the retail simulation engine : improved seasonal normal calibration, added intraday granularity & stochastic temperature influencing both demand and price, better overall performance
I am responsible for supporting the development and management of the continental Retail Trading activities. The key task of this role is to enable the expansion of the business in continental Europe by supporting the execution of the retail trading and portfolio management strategy. Main responsibilities - Develop the Retail Trading strategy in line with overall commercial strategy - Manage the retail trading desk priorities to achieve planned targets in line with the business plan - Front office commercial lead on continental retail business development. Analysis of new markets, creation of new products together with continental sales teams. - Manage the gas position (inc. intra-day balancing strategy) of the trading desk through prompt and curve trading to manage and hedge risk exposure; understand and optimize any optionality in contracts
Front office lead with regards to continental gas retail activity. Main responsibilities: - Management of retail portfolio across full deal life cycle - Pricing and optimizing portfolio shaping and balancing (cost to serve), hedging, forecasting, daily P&L verification, book risk management - Develop and manage hedging strategies of retail exposures. Responsible for commercial validation of quantitative retail work - Enhance lines of communication with sales team to improve efficiency of sales process and develop sales team recognition of opportunities
Developing internal models and pricing a large range of assets for the trading desk : - Storage pricing - Transportation assets (spread option pricing) - Power plant optimisation (linear programming) - Valuation of oil index contracts - Forward curve building (daily/hourly granularity) - Hourly power options - Retail portfolio pricing (joint simulations of price/demand, customer SNDs, TOP modelling, portfolio effect, floating strikes)
- Design and implementation of suitable models and tools (pricing, hedging, risk reporting) - Quoting and managing cross-commodities structured products (hourly options, clean spreads options, VPPs, etc) - Active role in quantitative support to other desks (Middle-Office, Research & Development, Sales, Trading)
- Day-Ahead & Week-Ahead scheduling of Electrabel’s production fleet in Belgium and The Netherlands (18,000 MW)
- Gas portfolio optimization (Storages, Long Term & Short Term flexibilities, Transmission Capacities); Scheduling (24h Shifts) - Participation to various auctions & Gas Release Programs
- Reducing Triethylene glycol gas dehydration operating costs on underground gas storage facilities - Testing solutions on 4 different sites operated by Gaz de France