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Applied Mathematician
Anchor 1
Academic Experience
Since 2018: Visiting Researcher, The Alan Turing Institute
Since 2011: Lecturer, Senior Lecturer, then Reader in Mathematics, Imperial College London
Sept 2017 - March 2018, Weissman Visiting Professor of Mathematics, Baruch College, CUNY
Sept 2010-Sept 2011, Postdoctoral Researcher, TU Berlin
Industry​
experience​
2019-...: Quantitative Consultant, Lloyds Banking
Volatility modelling, deep learning, interest rate modelling
Sept 2006-Sept 2010, Consultant at Zeliade Systems
Quantitative research on volatility derivatives
June-July 2006, Internship at AXA-IM, Paris (Convertible Arbitrage)
Pricing of dispersion trades via variance swaps and correlation swaps
May-Dec 2005, Internship at Société Générale, New-York (Portfolio Analysis Group)
Early warning systems on credit portfolios, accuracy tests of default probability models
July-Dec 2004, Internship at AXA-IM, Paris (desk of Convertible bond portfolio)
Pricing of convertible bonds using Monte Carlo methods and portfolio optimisation
Education
Nov 2010: PhD in Mathematics, Imperial College, London
Topic: Implied volatility asymptotics in affine stochastic volatility models with jumps
Supervisor : Aleksandar Mijatović
Jan-June 2008: Department of Mathematics, Evry University, France
(6-month Exchange Grant from the European Science Foundation (A.Ma.Me.F))
Topic: Risk measures on Lp spaces
Supervisor: Monique Jeanblanc
2007: MPhil in Mathematics, Birkbeck College, University of London
Topic: Semigroup theory and spectral methods to volatility asymptotics
Supervisors: Raymond Brummelhuis and Álvaro Cartea
2006: Diploma in Actuarial Science, Institute of Statistics (ISUP), Paris 6, France
2005: MSc. in Econometrics and Finance, University of Paris 10, France
Thesis: Pricing and hedging variance and volatility swaps
Supervisor: Jean-Luc Prigent
2005: ESSEC Business School, France
Major in Financial mathematics and Actuarial science
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