Mickael Anas Laaouini

Module Developer at CNAM Paris / UPMC Jussieu Paris VI

Created a C++11 module to price an American put with lognormal underlying using Rogers Monte Carlo valuation; created a C# module to price a European call under the Heston model using the closed-form solution.

Interest Rate Quantitative Analyst at TESSELATE GROUP

Project: Developed application pricing swaps, swaptions, caps and floors with Black, Hull-White and LMM; added XML parsing to retrieve instrument data; explored migration to Numerix.

Quantitative Developer (Project 1 - Bermudan Swaptions) at Tesselate Group

Calibration of the LMM-CEV model using European Black volatilities and Rebonato approximations (Levenberg–Marquardt); pricing of Bermudan swaptions using Monte Carlo (Longstaff–Schwartz) and Libor forward rate discretisation (Euler).

Quantitative Developer (Project 1) at Tesselate Group

Development of an application pricing instruments (swap, swaption, cap and floor) under Black, Hull-White and LMM models using C++/QuantLib; added XML parsing to retrieve instrument data; explored migration to Numerix.

Interest Rate Quantitative Analyst at Tesselate Group

Pricing and risk management for interest-rate derivatives; calibration of LMM-CEV using Black volatilities and Rebonato approximative formula; development of modules for Bermudan swaption pricing using Monte Carlo (Longstaff-Schwartz) and Euler discretisation of Libor forward rates.

Market Risk Quantitative Analyst (Intern) at SFIL

Impact of liquidity in pricing of derivative products; framework for pricing collateralized products and products subject to interest rate risk; approximating CVA of a contract asymmetrically collateralized using Gateaux derivatives; CVA by PDE; studying pricing methods for many types of swaps.

Over 6 years of professional software development experience. Approximately 4.5 years in Java and 1.5 years in C++ with GPU NVIDIA CUDA programming.