Romain Eslier Email & Phone Number

Paris, Fr

Newport Beach, California, Us

Paris, France, Fr

IT Strategists team designs and implements efficient trading automatons to translate quantitative traders’ strategies into orders. They ensure that the market making & hedging automatons are behaving accurately and on a low latency timeframe across the NY / Chicago market places. They also design specific features to help traders monitor and analyze the behavior of strategies in production, and ensure adequate monitoring of risks and positions. Evolving in a very competitive environment, they are constantly looking for new opportunities and new technical improvements to develop the business.This is an incredible experience demanding an expertise in both finance and IT in order to address the multiple challenges we face every day. We need to have broad abilities to be able to work on various topics, and to adapt ourselves quickly to the business evolutions.• Worked on very low latency problematics from quotation to sending order on the market.• Improved the strategies' performance, processing time and consistency among its components (Automaton, Alphas, Portfolio Management Processes, Quote / Trade Recording) • Implementation of alpha engine based on mean-rev indicators. SPX universe processed in 10us.• Designed & implementation of market making & hedging automatons.• Simulation framework & non-regression testing: worked on and fine-tuned the back-testing processes of our strategies. Context: Algorithmic Trading, Equity Derivatives, Forex, Low Latency, Alpha, Simulation, C++, Python, Git, Multi-Threading, Oracle PL/SQL, Bash, Network, Linux

Paris, Fr

Within the Middle Office, our team was in charge of trade processing applications and position management applications for NAM and its subsidiaries.• Automated processing and settlement of trades (STP). • Designed and developed a fund order management system for traders.• Developed features for traders and middle office operators to follow up the trades through the information system and toward depositaries, subsidiaries and clients.• Created a C# .Net application to automatically generate some financial transactions (Swift protocols).Context: UCITS, SSI, Swift, C# .Net (LINQ, ADO), SQL, Web Service, MVC, Linux

Paris, Fr

Within the CTT / SOL department in charge of trading applications on structured products, our SOL team worked with the front office operators on equity derivatives. Traders needed to know their risk exposure for each component of their portfolios. For each of the positions, we calculated its sensitivities to market parameters (spot, vol, rate, forex, dividend...). Thus, a risk analysis could be done using Excel through multi-dimensional OLAP cubes we provided.In this way, traders could adjust their hedging or accentuate their exposure to specific parameters.• Assisted the traders in their technical and business requirements. • Developed some risk analysis in line with their daily needs on the Paris, NY and HK markets.• Provided demanding production support for market risk and calculation efficiency.• Achieved better stability and efficiency by non-regression testing and monthly releases.Context: Equity derivatives, Reporting, Pricing, Sensitivities, Hedging, Projection of volatility, C# .Net, SQL, SSMS, SSAS, Web Service, Excel

Paris, Fr

I - [ Incremental Risk Charge (IRC) under Basel III ] It represents an estimate of the trading book’s overall exposure to certain risks over a one year capital horizon at a 99.9% confidence level. It complements Basel II, in order to add a risk component of default and migration to the VaR indicator. • Studied several approaches to better meet regulatory requirements.• Development of the IRC diffusion model and integration within the Natixis processes.II - [ Application of Counterparty Risks Measurement (AMeRisC) ] We made a scenario generation of econometric parameters for future dates and a calculation of MtM to build the potential future exposure (PFE) at 97.7% of the market positions.• Pricing of Financial Instruments:Equity, Bond, Swap, Forward, Futures, Options & Greeks.Credit Derivatives (CDS, CLN, CDS Index), Survival probability.Innovative object-oriented design of Black-Scholes-Merton (BSM) model that fits the vanilla options as well as the exotic ones (Digital, Barrier, Asian). • EconometricsIntroduction to stochastic processes.Diffusion of econometric data with the Monte-Carlo method. • Software EngineeringConsolidation and improvement of the object-oriented design of this 15 years old project.Reduced drastically the number of lines, improved readability and performance.Using STL and Boost C++ libraries to improve its reliability and development time.Tech: C++ (STL, Boost), Linux, Perl & Shell Scripts, SQL

Meudon, Île-De-France, Fr

Thales' radar division designs civil and military devices to detect aircraft, missile and weather condition.I carried out a survey on the contribution of multicore CPU and GPU technologies in relation to their algorithms of radar signal processing. The final objective was to build a clear vision of the potential of these technologies and measure the investment and the training costs. • Development of their algorithms with Intel and NVidia (CUDA) parallel technologies.• Enhanced the radar algorithms with many advanced optimizations: x110 faster.• Made some benchmark and sizing reports.• Presentation of results in front of a panel of researchers at Thales Palaiseau.• Trained an intern on these technologies.Tech: C, OpenMP, CUDA, Linux, Intel Profiler, SSE, Multithreading

Paris, Fr

Overlay Asset Management (OAM) provides a full range of currency management solutions and services to institutional investors. It is a part of BNP Paribas Asset Management since 2001. • Developed a client-server application analyzing the consistency of financial data used and managing the execution of critical applications.• Contributed to the design of a research automaton conceived to test the performances of financial models.Tech: C++, Java, GUI, Multithreading

Postgraduate Degree, In Finance Majoring In Portfolio Management & Statistics

Engineering Degree, Focused On Advanced Computer Science And Information Technology.

Intensive Studies In Mathematics, Physics And Engineering Science.

High School Diploma (Baccalauréat) With Honors, Majoring In Mathematics, Physics And Biology.