Pricing Quant

• Jul 2021 - Present

Quantitative Analyst

• Aug 2019 - Jul 2021

Model Validation of IR, FX and EQ vanillas and Exotics, XVAs. Model Validation of IR, FX and EQ vanillas and Exotics, XVAs.

Quantitative Analyst, Fixed Income

• Apr 2017 - Jul 2019

Model development, analysis, and support to trading activities in Fixed Income- XVA methodologies and implementation: CVA, FVA, MVA, KVA- Exotic derivatives: CMS, Bermudan callables, PRDCs, etc...- Model research and documentation- Machine Learning prototypes

Deputy Head of Model Validation

• May 2011 - Mar 2017

Model Validation of Fixed Income and Equity derivatives models, curve construction, methodology support in Credit and Market Risk. Implementation of model validation library in C++ and C#.- Model Validation of XVAs in Numerix- Management of model validation team in Murex project- Construction of model register, writing model validation policies- Validation of vanilla swaps, interest rate options, CDSs in Murex and Bloomberg- Validation of curve construction in Bloomberg, major and emerging currencies- Validation of interest rate exotics in Murex- Validation of hybrid FX/IR exotics in in-house and Murex models- Implementation of Operational Risk VaR engine- Calculation of Risk Not In VaR- Methodology support for VaR and Potential Exposure calculations

Quantitative Analyst, Model Validation

• Oct 2007 - Jun 2011

Model Validation of Fixed Income and Equity exotic pricing models. Implementation of model validation library in C++.- Hybrid models FX/IR for Power Reverse Dual Currency swaps with Bermudan callability, barriers, TARN- Hybrid models EQ/IR for Equity Linked Notes, digital coupons, knock-in/out barriers- Calibration methods (Displaced Diffusion, Dupire, Hull-White, CIR, Hybrids)- Numerical methods: Pseudo/Quasi-Monte-Carlo, multi-factor PDEs, analytical solutions

Science teacher

• Sep 2005 - Sep 2007

Teaching Mathematics, Physics, Chemistry, Biology, at Junior and High-School levels. Teaching Mathematics, Physics, Chemistry, Biology, at Junior and High-School levels.

Post-doctoral researcher

• Jul 2003 - Jul 2005

Theoretical Physics, Compactification of String Theory. Theoretical Physics, Compactification of String Theory.