Recommended expert
Mickael (Anas) Laaouini
Curriculum Revision Consultant
Experience
Sep 2021 - Present
4 years 6 monthsParis, France
Curriculum Revision Consultant
CNAM & UPMC Jussieu Paris VI
- Creation of a module in C++11 that prices an American put with lognormal underlying using the method from L. C. G. Rogers, Monte Carlo valuation of American options
- Creation of a module in C# that prices a European call with Heston model underlying using the method from Steven L. Heston, A Closed-Form Solution for Options with Stochastic Volatility
- Creation of a VBA/Excel application that calculates the Value at Risk of a portfolio of European calls, European puts and futures using the Monte Carlo method
Nov 2016 - Sep 2021
4 years 11 monthsParis, France
Interest Rate Quantitative Analyst
Tesselate Group
- Created an application to price Bermudan swaptions using the LMM CEV model and to calibrate the model with Black volatilities and Rebonato’s formula, implementing Levenberg–Marquardt optimization
- Developed modules to discretize Libor forward rates using the Euler method and to calculate Bermudan swaption values via Monte Carlo (Longstaff–Schwartz)
- Developed an application to price swaps, swaptions, caps and floors with Black, Hull–White and LMM models using C++/QuantLib
- Implemented an XML parsing module to retrieve instrument data and studied feasibility of migrating pricing code from C++/QuantLib to C++/Numerix
- Technical environment: Fusion Fabric Cloud Valuation, Visual Studio Enterprise Edition 2015, C++, QuantLib
- Functional environment: Libor Market Model, LMM CEV, Bermudan Swaption, Longstaff–Schwartz method, Levenberg–Marquardt algorithm, interest rate derivatives (swap, swaption, cap, floor)
Sep 2014 - Feb 2015
6 monthsFrance
Market Risk Quantitative Analyst (Intern)
SFIL
- Presented a general framework for pricing collateralized products and products subject to interest rate risk
- Approximated the CVA of an asymmetrically collateralized contract using Gateaux derivatives
- Calculated the CVA of a swap and using PDE methods
- Studied pricing methods for various types of swaps
- Keywords: Credit risk, default probability (PD), loss given default (LGD), exposure at default (EAD), risk neutral probability, collateral, Feynman–Kac theorem, change of measure theorem, Radon–Nikodym derivative, Gateaux derivative, Brownian motion, Poisson processes, Monte Carlo method
Jan 2004 - Dec 2012
9 yearsFrance
Software Developer
Software Developer
- Over 6 years of professional experience as a software development engineer
- Over 4.5 years of development experience with Java
- Over 1.5 years of development experience with C++ and GPU NVIDIA CUDA
Industries Experience
See where this freelancer has spent most of their professional time. Longer bars indicate deeper hands-on experience, while shorter ones reflect targeted or project-based work.
Experienced in Banking and Finance (9.5 years), Information Technology (9 years), and Education (4.5 years).
Banking and Finance
Information Technology
Education
Business Areas Experience
The graph below provides a cumulative view of the freelancer's experience across multiple business areas, calculated from completed and active engagements. It highlights the areas where the freelancer has most frequently contributed to planning, execution, and delivery of business outcomes.
Experienced in Information Technology (14 years), Finance (9.5 years), and Research and Development (9.5 years).
Information Technology
Finance
Research and Development
Skills
Ir & Equity Derivatives Pricing Models
C++
C#
Python
Monte Carlo Method
Stochastic Calculus
Machine Learning/deep Learning
C++
C#
Python
Gpu Nvidia Cuda
Latex
Java
Matlab
R
Excel
Languages
French
NativeArabic
AdvancedEnglish
AdvancedEducation
Oct 2014 - Jun 2015
Université Paris VI and École Polytechnique
Master II, Probability and Finance · Probability and Finance · Paris, France
Oct 2012 - Jun 2013
CNAM
Master 2, statistics applied to finance · statistics applied to finance · Paris, France
Oct 2004 - Jun 2005
Supaéro (ISAE)
Master 2, Telecommunications & Signal processing · Telecommunications & Signal processing · Toulouse, France
...and 2 more
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Frequently asked questions
Do you have questions? Here you can find further information.
Where is Mickael based?
Mickael is based in Bezons, France.
What languages does Mickael speak?
Mickael speaks the following languages: French (Native), Arabic (Advanced), English (Advanced).
How many years of experience does Mickael have?
Mickael has at least 19 years of experience. During this time, Mickael has worked in at least 4 different roles and for 4 different companies. The average length of individual experience is 5 years and 8 months. Note that Mickael may not have shared all experience and actually has more experience.
What roles would Mickael be best suited for?
Based on recent experience, Mickael would be well-suited for roles such as: Curriculum Revision Consultant, Interest Rate Quantitative Analyst, Market Risk Quantitative Analyst (Intern).
What is Mickael's latest experience?
Mickael's most recent position is Curriculum Revision Consultant at CNAM & UPMC Jussieu Paris VI.
What companies has Mickael worked for in recent years?
In recent years, Mickael has worked for CNAM & UPMC Jussieu Paris VI and Tesselate Group.
Which industries is Mickael most experienced in?
Mickael is most experienced in industries like Banking and Finance, Information Technology (IT), and Education.
Which business areas is Mickael most experienced in?
Mickael is most experienced in business areas like Information Technology (IT), Finance, and Research and Development (R&D).
Which industries has Mickael worked in recently?
Mickael has recently worked in industries like Banking and Finance and Education.
Which business areas has Mickael worked in recently?
Mickael has recently worked in business areas like Finance, Research and Development (R&D), and Information Technology (IT).
What is Mickael's education?
Mickael holds a Master in Probability and Finance from Université Paris VI and École Polytechnique, a Master in statistics applied to finance from CNAM, a Master in Telecommunications & Signal processing from Supaéro (ISAE) and a Bachelor in Computer sciences & Applied mathematics from ENSEEIHT.
What is the availability of Mickael?
Mickael is immediately available full-time for suitable projects.
What is the rate of Mickael?
Mickael's rate depends on the specific project requirements. Please use the Meet button on the profile to schedule a meeting and discuss the details.
How to hire Mickael?
To hire Mickael, click the Meet button on the profile to request a meeting and discuss your project needs.
Average rates for similar positions
Rates are based on recent contracts and do not include FRATCH margin.
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Market avg: 700-860 €
Market avg: 700-860 €
The rates shown represent the typical market range for freelancers in this position based on recent contracts on our platform.
Actual rates may vary depending on seniority level, experience, skill specialization, project complexity, and engagement length.
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