Montrouge
For almost 10 years now, I have been in a front office quantitative research team. I mainly worked on equity derivatives, developing pricing libraries based on Pde and Monte-Carlo solvers written in C++ and/or C#. Before that, I was in charge of the integration of pricing libraries into the portfolio and risk management system (Sophis). Since 2011 I work on high frequency algorithmic trading, using machine learning techniques to improve trading strategies.
Mes compétences :
Applied mathematics
CUDA
Derivatives
Equity Derivatives
Finance
Financial modelling
Mathematics
Modelling
Monte Carlo
Monte Carlo Simulation
OpenCL
Quantitative finance
Simulation
Trading
