Teaching (full courses, Msc Mathematics and Finance, Imperial College London)
Advanced Methods in Derivatives Pricing, 2015-2017
Volatility modelling, 2014-2015
Numerical methods in finance, 2011-2013
Exotic Derivatives, 2013
Work Experience
Sept 2017 - March 2018,
Weissman Visiting Professor of Mathematics,
Baruch College, CUNY
Since Sept 2011,
Lecturer (then Senior Lecturer) in Mathematics,
Imperial College London
Sept 2010-Sept 2011,
Postdoctoral Researcher in the
AG Stochastik und Finanzmathematik, TU Berlin
Sept 2006-Sept 2010, Zeliade
Systems, Paris, Consultant
Quantitative research on volatility derivatives
June-July 2006, AXA-IM, Paris (Convertible Arbitrage), Internship
Pricing of dispersion trades via variance swaps and correlation swaps
May-Dec 2005, Société Générale, New-York
(Portfolio Analysis Group), Internship
Implementation of early warning systems on credit portfolios, accuracy tests of default probability models
July-Dec 2004, AXA-IM, Paris
(desk of Convertible bond portfolio), Internship
Pricing of convertible bonds using Monte Carlo methods, Portfolio optimisation under convexity constraints