An experienced quantitative analyst with advanced mathematical modeling and implementation skills and strong knowledge of probability theory and stochastic calculus, quantitative finance and data analysis; seeking a position as a Senior Quantitative Analyst or related where these skills will add greater value.
- Work on probabilistic models for the pricing of Vanilla and structured Interest Rates derivatives.
- Study of models related numerical problems.
- Study and improvement of a mortgage pricing model.
- Models’ implementation in C++ and VBA.
- Analysis of financial products risks and models behaviors.
- Support for the trading desk
- Responded to questions related to pricing methodology and models
- Work on stochastic models for the pricing of stocks and indexes derivatives.
- Study of probabilistic models for the pricing of hybrid rate-stock derivatives.
- Models’ implementation in C++ and C#.
- Analysis of products risks and models behaviors.
- Work on Stochastic models and related numerical problems.
- Support for the trading desk
CDO pricing under different copula assumptions.
Iterative numerical procedure to price CDO.
Languages : Arabic: Native French: Native English: fluent
Computing : Python, C++, C#, VBA, Java, Matlab
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