Freelancer profile translated to English.
Back to original languageAbout Eric
Engineer in applied mathematics & numerical optimization | 25+ years of experience in quantitative finance
Graduated from Ecole Polytechnique and Paris Dauphine-PSL University, I transform complex mathematical challenges into high-performance numerical solutions. From mathematical equations to optimized production code, I materialize your most ambitious quantitative models.
French
Native or bilingual
English
Fluent
Can work on-site
Paris (up to 15km)
Experience
- Amundi Technology &Asset ManagementCLIMATE RISK QUANTBANKING AND INSURANCEJanuary 2024 - January 2025 (1 year)Python prototyping for climate VaR, development of optimization algorithms, and mentoring students on Hawkes processes. Modeling of liquidity costs and design of CPPI pricers.
- SFILCREDIT RISK & CLIMATE RISK QUANTJanuary 2023 - January 2024 (1 year)Development of Stress Test models considering default rate dynamics and physical risks (forest fires, floods).
- Natixis assurances et MRMIT & R&DJanuary 2015 - January 2022 (7 years)Validation and redesign of central and counterparty risk models in Python and C#, using distributed computing. Creation of Jupyter notebooks for financial instrument pricing.
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Education
- Executive Master in Financial EngineeringÉcole Polytechnique2019Modélisation, Simulation et Analyse de Données
- Executive Master in Quantitative FinanceParis Dauphine University-ENSAE2015