Quantitative Investment Solution
Development of quantitative indices and strategies dedicated to the structured investment product offer.
Developing backtests of systematic strategies (Python)
Writing investment rules for strategies
Assisting in the development of product marketing and service documentation
Responsible for pricing and product development matching business requirements in a worldwide perspective, Paris, London, New-York and Hong Kong:
Working closely with Trading and Quant desks regarding product\model pricing achievements to develop\update our pricing tools within the structuring desk
Designed a user friendly cross asset structured products pricing tool (VB.NET, SQL)
Asset classes: Interest Rates, Equity, CLNs, FX
Features: Pricing Policy, Terms Sheet, Daily indicative pricing grid, Risk indicator (PRIIPS)
Structured Equity Platform Deployment:
Worldwide equity business requirement collected and implemented
Designed an Excel Addin to price all the products coming the platform using our internal equity libraries (XSD, XML, C#)
Executed structured products pricings and developed innovative strategies across the Rates, FX, Credit, Equity
and Hybrid asset classes for Private Banks and Institutional investors based in EMEA
MIFID II and PRIIPS:
I designed a tool which allows the sales to do his pre-trade check and automate the KID generation on the most traded structured products.
Equity Investment Solutions - Equity Structuring - Quantitative
Regime Switching framework implementation
Smart portfolio diversification across regimes, optimal asset allocation across market regimes
Trading strategies under Regime Switching
C++, Matlab (Mex)
Contribution on the below publication
********-of-alternative-beta-strategies-across-markov-regimes.pdf