Mickael L. - Revision of master's programs

Bezons, France

Experience

Sep 2021 - Present

4 years 3 months

Created a module in C++11 to price an American put with lognormal underlying using the Monte Carlo valuation method by L. C. G. Rogers
Developed a module in C# to price a European call under the Heston stochastic volatility model using the closed-form solution by Steven L. Heston
Built a VBA/Excel application to calculate 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

Developed an application to price swaps, swaptions, caps, and floors using Black, Hull White, and Libor Market Models with C++ and QuantLib, including XML parsing for instrument data and a feasibility study for migrating pricing code to C++/Numerix (Nov 2016 – Nov 2017)
Created an application for pricing and calibrating Bermudan swaptions under the LMM CEV model, implementing calibration with Black volatilities and Rebonato’s approximation via Levenberg–Marquardt, discretisation of Libor forward rates using Euler’s method, and pricing with Monte Carlo and Longstaff–Schwartz algorithm (Dec 2017 – Jun 2019)
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

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 both via direct computation and 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