Top roles
Back-end
Implemented and calibrated the two-factor Bergomi Stochastic Volatility model on VIX and SPX options to model volatility dynamics, and integrated it into the Equity Library used by the trading desk.
Integrated models (local volatility, stochastic volatility, local stochastic volatility) and their calibration as well as payoffs of exotic options into the validation framework for direct interactions with the Murex model library.
Analyzed the volatility of ESG (Environmental, Social, Governance) ratings.
High Frequency Trading (M. Rosenbaum), Monte Carlo methods (G. Pagès), Interest Rate Models (N. El Karoui), Local Stochastic Volatility calibration (S. De Marco).
Advanced Inferential Statistics (O. Gaudoin), Valuation and Hedging of Derivatives (J. Lelong), Deep Learning (M. Echenim), Time Series and Applications in Finance (O. Taramasco), Stochastic Processes and Applications in Finance (H. Guiol).