Jonathan Lellouche Email & Phone Number

Senior Quantitative Analyst and Software Domain Architect Authority of Murex Analytics Team with the following specialities :- Monte-Carlo- Deep Learning- Libor Market Model / Forward market Model- Stochastic Calculus - Deep Learning Calibration / AMC- GPU/Xeon Phi/Xeon/FPGA with OpenCL- Programing (C/C++, python, OpenCL/CUDA etc..)- HPC on ARM- REST principle- Agile/Safe methodology- AWS architecture

Listed skills include Stochastic Calculus, Monte Carlo Simulation, Quantitative Finance, Python, and 18 others.

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  Senior Quant At Murex Analytics Team (Macs)

  Murex

  Mar 2005 - Present - Paris Area, France

  - Generic Hybrid (stochastic rates HW/BGM with Fx/Eq Smile) Monte-Carlo in CPU/GPUDescription: MACS Monte-Carlo has the possibility to diffuse stochastic rates (HW/BGM with smile), Equity/Fx with smile, commodities.MACS Monte-Carlo has very good performance on GPU (K20): factor 50/100 compared to one core on CPU (http://www.nvidia.com/object/tesla-murex-analytics.html)- PFE/CVA Monte-Carlo with analytical proxy for several payoffs (Commodities, Fx, Rates etc..)Description: Same Monte-Carlo on CPU/GPU with analytical formula for a large catalogue of payoff (swap, CMS, CMS options, Fx Barrier, Asian Commodities etc...) available too on CPU/GPU- BGM cross currency multifactor model with quadratic local volatility and Fx/Eq smile (CEV or quadratic volatility)Description: Rate calibration on several Tenor Swaptions and CMS Spread Options. Local Quadratic Volatility of BGM allows to capture smile of Swaptions.Fx/Eq can be a classical geometric brownian motion with calibration of the volatility spot thanks to forward volatility or can be a CEV diffusion or has a quadratic local volatility form in order to take into account Fx/Eq Smile.