Paris2008 - 2008• Received clients requests and priced structured products on equities and indices
• Created marketing presentations of investments ideas and thematics
• Created a pricer of autocall products in VBA using MonteCarlo methods
• Created a weekly newsletter on structured products and a monthly magazine for clients of the desk
• Prepared and presented to all the team a weekly synthesis of market headlines and structured products news
• Created monthly reportings on traded products
Calyon
- Equity Derivatives Research
Montrouge2007 - 2007• Helped to the publication of research papers and strategies based on options, varswaps or light exotic products
• Developed a reporting on single stocks’ volatility and long/short strategies
• Created tools giving alerts on quantitative volatility arbitrage
• Created tools to monitor the P&L of all the strategies published by the desk
• Created tools to calculate and monitor European indices’ implied correlation in order to build dispersion trade
