Mickael (Anas) L.

Curriculum Revision Consultant

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Bezons, France

Experience

Sep 2021 - Present
4 years 4 months
Paris, 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 months
Paris, 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 months
France

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 years
France

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

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
Native
Arabic
Advanced
English
Advanced

Education

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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