CV
Education
- Master’s degree in Mathematics, Part III - University of Cambridge, 2019-2020
- MSc in Applied Mathematics, CentraleSupélec (Centrale Paris) - Paris-Saclay University, 2016-2019
- CPGE MPSI-MP*, Lycée Louis-le-Grand, 2014-2016
Work experience
- May 2022 - June 2024 : Quantitative Researcher, Fixed Income ML team
- Morgan Stanley Paris
- Duties:
- Developed Deep Learning algorithms for pricing digital options in FX: high-dimensional function approximation with Neural Networks and generation methods for synthetic market conditions
- Developed and maintained NLP algorithms for parsing and pricing textual Financial Request For Quotes (RFQs). Worked on a deterministic approach and then focused on learning approaches: leveraged open-source LLMs (Mistral and Llama models) and In-context learning to improve accuracy and develop new features
- Worked on signals for eFX and eRates: research on ML models and monitoring (MLOps)
- October 2020-April 2021: Graduate Intern.
- ENS Ulm, LSCP, Paris
- Title: Machine learning for detection and evaluation of Huntington’s disease
- Supervisor: Pr Emmanuel Dupoux
- Summer 2020 : Research Assistant
- Department of Medical Genetics, Univeristy of Cambridge
- Title : Application of Polya-Gamma density for highly dimensional count regression models
- Supervisor: Dr Leonardo Bottolo
- 2018-2019 (6 months) : Financial Engineer Intern
- Societe Generale Securties Tokyo
- Duties : Analyzed and priced equity derivatives and hybrid structures (simulation, pricing, evaluation of risk)
- 2016-2018 : Undergraduate Research Assistant
- Ecole Centrale Paris, MICS Laboratory, BNP-Parisbas Research Chair
- Duties : Analyzed and implemented in Python trading strategies linked to autocorrelation and mean-reverting baskets
- Supervisor: Professor Frederic Abergel
Teaching
- 2017-2018 : Mathematics Oral Examiner, Ministère de l’Education nationale.
- Summer 2017 : Teaching Assistant in Mathematics - Summer school 2020, Ecole Centrale Paris
