Simone Mercuri Email & Phone Number

Greater New York City Area

Head of the IPV Quantitative Team working on developing a greenfield numerical library for Interest Rates derivatives. Initiated, designed and single-handedly implemented the IRS and IRO analytics components of the new pricing/risk platform for a new business initiative within the Fenics Team.

Charlotte, North Carolina Area

Managed a team of 8 quants working on developing and maintaining test suites and monitoring platforms for trading models to satisfy highly demanding regulatory requirements.Single-handedly implemented a multi-factor Libor Market model with stochastic volatility as part of a highly visible initiative to expand the Options Desks business to exotic derivatives. Designed and developed the whole model from real scratch. Fully supported the trading desk usage and testing of the model, interfacing IT, MR and RA teams. During this project I gained extensive programming and code design experience, bridging business needs with sustainable quantitative solutions. Supported the model whole life cycle: from the initial design, to system integration, passing through implementation, testing, validation and documentation. Moreover, this project allowed me to gain remarkable experience with Monte Carlo methods as well as the regression methods for American-style callable derivatives that I single-handedly implemented and extended for usage in the CVA/DVA exposures calculations.

Buenos Aires, Argentina

Consultant for the Front Office of the Fixed Income Analytics division of Wells Fargo Securities Leader of a group of 6 quants reporting to the head of the Fixed Income AnalyticsProjects:- Development and maintenance of a testing architecture supporting multiple proprietary models; - Designed and implemented test suites to attest models' numerical robustness and performance;- Execution and technical documentation of the front office formal testing for trading models;- Periodic monitoring of trading models with a focus on term structure models for IR products; - Research and development of cutting-edge numerical methods applied to financial engineering;- Team's projects supervision.Other Projects:- Technical representative with prospective clients; - Technical support for other quant groups;- Selection of new candidates and training for new team members.

Charlotte, North Carolina And Buenos Aires, Argentina

Consultant for the Fixed Income Analytics group of Wells Fargo Securities.Projects:- Model risk for liquid and exotic interest rate products; - Research and development of state-of-the-art numerical methods applied to financial engineering; - Training of new hires, including practical exercises and system usage guidelines.

Paris, France

Member of the École Polytechnique de ParisMember of the Centre de Recherche en Épistémologie Appliquée (CREA)- Conducted research on the Quantum Mechanics and General Relativity epistemological problem, to pave the way to a logically consistent Quantum Gravity theory- Presented talks at international conferences- Taught in PhD program courses- Refereed several papers for Physical Review Letters and Physical Review D

State College, Pennsylvania Area

Member of the Institute for Gravitation and the Cosmos (IGC) directed by Prof. Abhay Ashtekar- Conducted research in General Relativity and Quantum Field Theory- Published 8 papers in high impact-factor journals - Invited to present two lectures at the 5th International School on Field Theory and Gravitation- Presented talks at international conferences, some as invited speaker - Supervised graduate and undergraduate thesis projects - Taught in PhD program courses- Mentored graduate students- Refereed several papers for Physical Review Letters, Physical Review D and Classical and Quantum Gravity

Campus De Luminy, Marseille, France

Member of the equipe de Gravité Quantique of the Centre de Physique Théorique, directed by Prof. Carlo Rovelli- Conducted research in General Relativity and Quantum Field Theory- Presented talks at international conferences, one as invited speaker - Supervised a master thesis project - Mentored undergraduate students

Member of the Relativistic Astrophysics group at La Sapienza University of Rome, directed by Prof. Remo Ruffini. Collaborated with the research group of Prof. Hagen Kleinert at the Freie Universität of Berlin.Collaborated with the - Conducted research in General Relativity, Relativistic Astrophysics and High Energy Physics- Attended graduate courses in several European universities, including the Freie Universität of Berlin, ETH of Zurich and La Sapienza University of Rome- Taught General Physics undergraduate course at the University of Rome

Doctor Of Philosophy (Ph.D.), Theoretical Physics - Relativistic Astrophysics, Graduated With Honors (Summa Cum Laude)

IRAP PhD is a joint collaboration of several scientific institutions including, among others, La Sapienza University of Rome, the Freie.

Master Degree, Physics, First Class Honors (110/110 Cum Laude)

Dissertation titled: "Evolutionary Quantization of the Gravitational Field: Canonical Formulation and Path-Integral", 2003. Parts of my.