Freelancer profile translated to English.

Description

I am a quantitative analyst, graduated from Master2 Probabilities Finance, from Pierre and Marie Curie University Jussieu Paris 6, co-certified with l'X, in 2015. I also hold two other master's degrees:

- Master II "Signal Processing and Space Telecommunications", at SUPAERO (currently ISAE) Toulouse in 2005 and

- Engineering Degree (Computer Science and Applied Mathematics), from ENSEEIHT Toulouse. in 2004.

Languages

Arabic
Native or bilingual
English
Fluent
French
Native or bilingual

Workplace preferences

Can work on-site

Paris (up to 50km)

Tesselate group
Quantitative Analysis Consultant, Interest Rate Derivatives
BANKING AND INSURANCE
November 2016 - September 2021 (4 years and 10 months)
Paris, France
PROJECT2 DEC 2017 – JUNE 2019
- Development of an application for pricing Bermuda swaptions using the LMM CEV model, as well as calibration of the LMM CEV model. Steps:
---Development of a module for calibrating the LMM CEV model, using Black volatilities (for European swaptions) and the approximate Rebonato formula (from Brigo's book: interest rate models-theory and practice). The module uses the Levenberg-Marquardt optimization algorithm and;
---Development of a module for pricing a Bermuda swaption, using the model parameters obtained during the calibration step; with, as sub-steps:
+Development of a module for discretizing Libor forwards, using the Euler method and
+Development of a module for calculating the value of the Bermuda swaption, using the Monte Carlo method (Longstaff and Schwartz algorithm).
- Technical Environment: Fusion Fabric Cloud Valuation, Visual Studio Enterprise Edition 2015, C++, QuantLib.
- Functional Environment: Libor Market Model, LMM CEV, Bermudan swaption, LongStaff and Schwartz method, Levenberg-Marquardt algorithm

PROJECT1 NOV 2016 – NOV 2017
- Corrective and evolutionary maintenance of an application for pricing the following instruments: (swap, swaption, cap, and floor), using the following models (Black, Hull White, and LMM), with the C++/QuantLib library.
----Addition of a module for processing an XML file to retrieve information about the instruments to be priced, and
----Feasibility study for migrating the pricing code from C++/Quantlib to C++/Numerix.
- Technical Environment: Visual Studio Enterprise Edition 2015, C++, QuantLib, Numerix.
- Functional Environment: Interest rate derivatives: swap, swaption, cap, floor.