• Biographie
    Dr. Otmane El Rhazi’s research interests are in the broad area of software engineering with distinction on modelling and analysis of real-time trading systems. El Rhazi has more than fifteen years of work experience, with a major on the...
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  • Expériences professionnelles
    2011 - Courant
    Quantitative/Sole Forex and Stocks Trader. Run and monitor algorithmic trading strategies. Cover most aspects of automated trading, modelling, calibration and back-testing.- FX Momentum Prediction Model as growth strategies and trend forecast.- Inter-Market/Brokerage Arbitrage strategies in major FX Spot and Precious Metals. - Develop pattern matching algorithms and application to equities trading.- Monitoring, researching and analyzing market opportunities on daily basis. - Building automated trading system with Data Base on Java and FIX4.4 Interface. Day Trading based on both fundamentals and technical analysis to find trade signal and trade accordingly with good money management skills. Add extra revenues with opportunities from mis-priced/crossed prices between different market places.Programming: VBA/Excel, Java, Ruby, FIX4.4, Windows 7
    2006 - 2011
    Commodities Desk Quant/Trader at Citigroup Corporate and Investment Banking, Fixed Income division. Working on Structured Products and Exotics Derivatives Pricing and Hedging:- Development of options pricing (Quanto Basket, Knock-In/Out, Variance Swap, Compound, Collar, Autocall, Accumulator, TARNs, Rainbow, Dispersion, Rang Accrual).- Estimation, marking and management of Correlation and Illiquid Volatility Surfaces.- Building tools for risk metrics: PAA, Correlation scenarios, Volatility analysis...- Trading desk support. Substitute in pricing and execution of vanilla/exotics options. - Book analysis and macro management using vanillas (Optimal hedging and Super-replication). Implementation of a trading system for commodities exotic desk under stochastic volatility model. System on VBA/Excel/DLL to price and risk manage structured deals on commodities: Oil, Base Metals, Precious Metals, Agriculture, Freight and Coal.Programming: VBA/Excel, C++, Python, Windows NT, Linux.
    2005 - 2006
    Quantitative Analyst at EDF Trading, Structured Derivatives and Options Trading Desk. Working on Exotic and OTC Commodities Options Pricing:- Option pricing (Digital, Barrier, Basket, Asian, Quanto, American, Swing, Swap...).- Power auctions pricing, hedging and management (VPP and UK Inter-connector).- Volatility, risk parameters estimation and option pricing on risky/illiquid market.- Portfolio assets pricing and optimization (Power Plants Drax, Essent…, Storage).- Development of trend and momentum following systems for Oil and Gas Desk.- Flow quanto swaps pricing and hedging (Brent, Foil oil, Gas oil and Forex).Development of a library in C++ to price new structured products in conjunction with traders and marketers in different commodities: Power, Emission, Coal, Gas and Oil.Programming: VBA/Excel, Matlab, C++, Java, Windows NT.
  • Parcours scolaire
    2003 - 2004

    The aim of the "Probability & Finance" section of the DEA "Probability & Applications" is to provide high level courses in Mathematical Finance. It is focused on Mathematical investment Finance, with two main topics: derivative securities and the modelling of interest rates.Master supervised by El Karoui, Pagès and Yor. With the following majors :Mathematics: Stochastic Calculus, Monte Carlo Methods, Numerical Methods for PDEs.Finance: Pricing, Stochastic Processes and Derivatives, Econometrics, Risk Management.Computing: C/C++, VBA, R.

    2000 - 2004

    École des Ponts ParisTech or ENPC is a university-level institution of higher education and research. Founded in 1747, it is the world's oldest civil engineering school. It remains to this day one of the most prestigious and selective French "Grandes Écoles".Subjects including: Modelling, Programming and Simulating; Statistics and Data Analysis; Scientific Computing; Spectral Analysis and Operators; Multi-scale Models; Optimization and Control; Mathematics for Financial Engineering; Corporate Finance; Game Theory, Economics.

    1999 - 2000
    1998 - 1999
    1997 - 1998
    Voir toutes les éducations (2)
  • Compétences professionnelles
    Strategic Planning
    Problem Solving
    Quantitative Finance
    Business Strategy
    Java Programing
    Financial Modeling
    FX trading
    Trading Systems
    Fixed Income
    Market Analysis
    Financial Markets
    Forex Trading
    FX Options
    Equity Modelling
    SQL DataBase
  • Relations
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  • Centres d'intérêt
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