Freelancer profile translated to English.
Back to original languageAbout Mohamed-Mehdi
Quantitative Analysis Specialist, I have worked for over 10 years in the design of pricing and machine learning models in the financial sector in front office at banks (Société Générale, BNP, Natixis/BPCE) and also in investment funds (Citadel).
I mainly use Python, C# and C++ as programming languages.
Graduated from Ecole Télécom Bretagne (IMT Atlantique) in quantitative finance and Master Probability and Finance (formerly DEA ElKaroui) from Ecole Polytechnique, I am passionate about modeling and solving complex problems by providing precise technical solutions.
I am willing to relocate to Paris and its surroundings (or any other region of France).
Do not hesitate to contact me, I would be delighted to discuss your projects with you!
French
Native or bilingual
English
Native or bilingual
Arabic
Native or bilingual
Can work on-site
Paris (up to 50km), Toulouse (up to 50km), Lyon (up to 50km), Nantes (up to 50km), Bordeaux (up to 50km)
Experience
- BPCELeader Manager Quantitative Analyst – Equity Derivatives – Front OfficeBANKING AND INSURANCESeptember 2021 - June 2023 (1 year and 10 months)Paris, France• Valuation model validation focused on Equity derivatives, with various topics covered:o Pricing and Hedging and Model risk assessment of Exotic products valuation as of▪ Autocall Yeti Phoenix Lookback▪ Volatility Targetso Review of data models and parameters’ marking methodologies▪ LSV Inspired Smiler▪ Entropic Desarbitrager▪ Fund Volatility markingo Review of Independent Pricing Verification (IPV) methodologies▪ LSV Calibrationo Production of internal research reports
- BNP Paribas Corporate and Investment BankingSenior Quantitative Analyst – Equity Derivatives – R&D Front OfficeBANKING AND INSURANCESeptember 2020 - September 2021 (1 year)Paris, France• Implementing different risk indicators in the pricer• Modelling Fx Delta computation, mainly for delta-one products• Dividends generation modelling• Production of different internal quantitative reports• Handling the integration of new payoffs into the pricing Library Gprime• Support the trading in a daily basis
- CITADEL SECURITIESQuant TraderBANKING AND INSURANCEJanuary 2019 - June 2020 (1 year and 5 months)London, UKI worked on volatility strategies as well as on the construction of a generic backtester from start to finish for all equity derivatives products. I also did data consolidation, cross-validation, and model selection using time series.
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Education
- MSc Probability and Finance ("DEA El Karoui"), Quantitative FinanceÉcole Polytechnique2015MSc Probability and Finance ("DEA El Karoui"), Quantitative Finance
- MSc - Graduate School of Engineering, Econometrics and Quantitative Finance, Signal Processing, Network, Electronics and PhysicsTélécom Bretagne (ex- Enst de Bretagne, école nationale supérieure des télécommunications de Bretagne)2014MSc - Graduate School of Engineering, Econometrics and Quantitative Finance, Signal Processing, Network, Electronics and Physics