Alexandre David Email & Phone Number

London Area, United Kingdom

Credit Quant Research. Predominantly working on the optimization of a bond portfolio. Main language: Python

London, England, United Kingdom

Credit Quant. Development and support regarding corporate bonds and EM sovereign Bonds (AT1, callable bonds,...). Support of CDSs/Indices and Index Options. Portfolio Optimization (quadratic optimization with non-convex quadratic constraints).Main languages are C++ and Python.

London, United Kingdom

Financial Engineering team at MUFG(London). Zero Curve Bootstraping for the flow library(C++. Use of Git for Version Control). Work on C# and Python API for functionalities of the library. I have also worked on other projects including: PCA for swap hedging (Python), Simulation Models for Counterparty Credit Exposure, Proof of Concept for a Wisdom of Crowds applied to FX predictions and the modelling of defaulting companies.

London, United Kingdom

Economic Research Department - Worked on a report on CFDs. We model how initial margins affect CFDs. I Coded in R and worked on Big Databases (several million rows)

London, United Kingdom

Summer Internship with the Front Office Soultion Group at MUFG (London). I studied and implemented different models to handle negative interest rates for Fixed Income Market (Shifted SABR, Free-Boundary SABR, Mixture Models, ZABR, …). The implementation was in C#. I also did a 2-week rotation with the Risk Analytics Group where I started to implement a procedure to compute the Value-at-Risk for some scenarios under the Shifted-SABR model.

Roue

Training period in the LMRS (France) where I studied links between semi-linear parabolic PDEs and Backward Differential Equations (BSDEs). I worked on solving numerically uncertain volatility model using BSDEs.