IMC Financial Markets
- Quantitative research and Algorithmic Trading
2011 - maintenant- Developed a meta-algorithm to automate the parameterization of other trading algorithms
- Development of a market maker position management algorithm
- Development of a volatility fitting algorithm
- Conducted several analysis on Euro STOXX and DAX option trading
Societe Generale
- Option Trader
PARIS2010 - 2010- Option trading on desk Eurex
- Basic electronic market making
- Studied liquidity issues on electronic markets
- Conceived and implemented an international option trading automaton, still used at Société Générale
- Theoretical conception of a hitter detection algorithm
Resonances
- Entrepreneur
2010 - 2011- Entrepreneurial creation
- Developed solutions for option pricing problems in the framework of private equity operations
- Pricing de Bons de souscription d'actions
EMPORIKI BANK, ATHENS, GREECE
- Quantitative engineering assistant
2009 - 2009• Set up a credit score in order to analyze client’s default probability
• Studied the correlation between default rate and Greek macro economical factors
CREDIT AGRICOLE, PARIS, FRANCE
- Quantitative engineering assistant
2008 - 2008• Studied bootstrap statistical method and compared it to other empirical estimation methods (jackknife, jackstrap)
• Set up a method to generate multidimensional correlated binary variables and studied copula method
• Investigated the benefit of using bootstrap in the construction of confidence interval of default probability, in the framework of Basel II accords
• Backtested the efficiency of Internal Rating-Based Approach (IRB) using bootstrap
• Produced a didactic booklet about how to use bootstrap
