BiographyOriginally trained in electrical engineering, then in theoretical physics, I switched early on to quantitative finance, starting in Société Générale's equity derivatives division, then moving on to head quantitative research for all asset classes.
I am mostly known for my contributions to smile modeling. Part of my work has appeared in the Smile Dynamics series of papers, published in Risk Magazine, for which I received the 2009 Quant of the Year award.
In the course of my career, I have been exposed to all sorts of modeling issues, ranging from designing models and algorithms for vanilla and exotics businesses, to assessing product risks, devising pricing methodologies and figuring out hedging schemes.
Late in 2010, I started a book project aimed at providing an account of techniques for modeling the dynamics of the smile - all motivated by real-world trading issues - and conveying the experience and insights gained as a quant in an institution widely acknowledged as the leading equity derivatives house.
I finished it in the summer of 2015, before it finished me.
Areas of Research / Professional Expertise