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Romain DUBAN

Puteaux

En résumé

Ingénieur des Ponts et Chaussées, détenteur d'un MSc Mathematics and Finance à Imperial College à Londres. Spécialités: -Mathématiques financières, calcul stochastique, modèles de taux d'intérêts, modèles de risque de crédit, statistiques, dérivés exotiques, méthodes numériques. -Programmation, C++, VBA, Matlab, R, PHP Langues: -Français (maternel) -Anglais (courant) -Espagnol (bases)

Mes compétences :
Finance de marché
Mathématiques financières
Matlab
Produits exotiques
C++

Entreprises

  • Deloitte - Quantitative Analyst

    Puteaux 2013 - maintenant Within the department Risk Advisory, responsible for:
    - Pricing of interest rate, FX and equity structured products.
    - Implementation of the Multi-Curve environment.
    - CVA/DVA calculations for corporates and financial institutions (with a focus on First to Default and Close-out amount issues, implementation of the "swaption" method for vanilla derivatives).
    - Design and implementation of IPV MIs for a top tier french bank.

  • Royal Bank of Scotland - Quantitative researcher

    PARIS 2012 - 2012 Finding ways to remove arbitrage opportunities from implied volatility surfaces.
    Working on numerical methods as smoothing, interpolation and extrapolation methods.
    Working on two main approaches, a cubic splines under constraints approach coupled with an adapted extrapolation and an adaptation of the SVI parametric form.
    Models implementation in C++, Matlab and R.

  • Morgan Stanley - Sales trader

    Paris 2010 - 2011 Within the Institutional Equity Division, in the Sales Trading team.
    In charge of the basket part of the equity business.
    In charge of the European index swap business for a major Morgan Stanley's client.
    Responsible of various tasks as client's requests and market analyses.

  • ESSEC - Professor assistant

    Cergy-Pontoise 2009 - 2009 Assisted Mr. François LONGIN, professor of finance at ESSEC business school.
    Participated in the development and programming of finance computing tools focused on the analysis of diversified portfolios in private asset management (Markowitz, Black Litterman models) and in the monitoring of the main savings’ indicators.
    Wrote the code to make these tools available on the Professors website for online use by its students and subscribers in the finance industry (www.longin.fr).

Formations

  • Imperial College London Imperial (London)

    London 2011 - 2012 Mention Distinction.

    Core courses:
    - Stochastic Processes
    - Theory of Finance
    - Mathematical Option Pricing
    - Numerical Methods in Finance
    - Computing C++

    Elective Courses:
    - Statistical Distribution Theory
    - Interest Rate Models
    - Credit Risk
    - Exotic Derivatives

  • Ecole Nationale Des Ponts Et Chaussées Ponts et Chaussées

    Paris 2008 - 2012

Réseau

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