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Here is my resume, I set links to institutions and firms I attended. You can also download the pdf version.  To have a more detailed presentation of the projects I led or of the papers I published click here.

 

EDUCATION

NEW YORK UNIVERSITY

New York, USA (2005-2007)

The Courant Institute of Mathematical Sciences

MS in Mathematics in Finance (expected – January 2007)

• Courses covering a wide range of mathematical tools and methods used in finance industry, such as stochastic calculus, PDE, binomial trees, arbitrage-free pricing, Monte Carlo simulations, computational methods applied to finance.

• Practical applications covering credit risk modeling, currency and interest rate derivatives, risk management, and portfolio theory.
• Team Project : implementation of a quant library in C++
• Main Professors: Peter Carr, Bruno Dupire, Marco Avellaneda, Nassim Taleb, Steve Allen.

ECOLE POLYTECHNIQUE

Palaiseau, France (2002-2005)

Majors in economics and applied mathematics.

France’s leading university-level scientific institution. Courses in economics, mathematics, computer science, applied mathematics (Stochastic Calculus with Pr Nicole El Karoui).

• Research Work in Finance : Asian Options (pricing and hedging)

• Scientific Team Project : Transmission of Information and Herd Behavior in Finance (Supervisor Pr Rama Cont)

 

EXPERIENCE

BARCLAYS CAPITAL

New York, USA (Jan 2007 - )

Quant Associate in Fixed Income Exotic

 

 

BARCLAYS CAPITAL

New York, USA (june - dec 2006)

Summer Intern during 3 months as Quant Associate in Commodities

• Studied and implemented Levy Process : NIG, VG, CGMY, Meixner
  
• Pricing of option on underlying driven by exponential Levy Process through integration method and with Monte Carlo
  
• Calibrated models on data market to benchmark them in terms of speed of computation and efficiency
• Worked also with the Credit Derivatives desk to test the efficiency of delta hedging for option on CDS Index 

 

BARCLAYS CAPITAL

London, England (summer 2005)

Summer intern during 4 months as Quant Analyst in Equity Derivatives

• Studied and implemented affine and quadratic models of diffusion with jumps for option pricing
• Implemented numerical integration methods, using C++, for ODE (including Runge-Kutta algorithm with adaptive stepsize and the Bulirsch-Stoer method)
• Calibrated models on data market to benchmark them in terms of speed of computation and efficiency

Click here for the abstract of my report. 

AIR FRANCE

Charles De Gaulle Airport, France (summer 2004)

Summer intern

• Designed new process to improve on-time flight arrivals and departure
  

DEPARTEMENTAL POLICE FORCE

Amiens, France (2002-2003)

• Officer in intelligence service

  

COMPUTER SKILLS

• Programming languages: C++, Java, VBA, Matlab, Scilab
• Other Software: Microsoft Office, Latex

 

OTHER INFORMATION

• Fencing (participated in university challenges), squash

• 2003 - President of the AJGE (Association of Jewish students from Business and Engineering schools)

• Languages : English, French (mother tongue), Hebrew (notions)