| Stochastic calculus
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Swap, swap in area, CMS, CAP, Floor, TEC10
Options exotics on share explicit formula
CDO pricing with explicit formula
Calibration and pricing of basket credit option and CDO with Monte Carlo Method
Basket default swap
CDO by method de Monte Carlo
Modeling and Pricing bermuda asiatic Options
Hull and White
Exotic Option with Rebate (cdi, cui, cdo, cuo)
HJM
Bermuda Swaption
Reverse floater, option on reverse floater, option on reverse floater multi devises
TAM / TAG Swap in area by explicit formula and Monte Carlo
Asset swap
Option on pibor and notional contract
Optimization : portfolio contained Bunds and option
2007-2008 Professor of finance
1999-2006 Analyste quantitative
Ile-de-France et Genève (Suisse)
Deloitte, Avendis Capital, CCF, Nexgen, CNCE,
Crédit Lyonnais, Crédit Agricole Indosuez
1996-1997 Gestionnaire actif/passif – Ecureuil Vie Paris |
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