Being French (cocorico 🐔), I naturally have a strong love for math ! (especially stochastic calculus)
I had the chance to train in energy markets at Centrica Energy and DTU in Denmark, getting the best of both worlds in energy markets, quantitative modeling and ML :)
I did a double degree in Engineering and Quantitative Finance at Télécom SudParis and Paris Dauphine University.
Note
Currently, I am developing hestonpy, a Python library for:
- Options pricing
- Hedging strategies (delta of course but also delta-vega)
- Calibration of models
- Portfolio managment and Stochastic Control
📌 Supports Heston and Black-Scholes models. Check it out here!
Here are some of the books that guide my research and development:
- Arbitrage Theory in Continuous Time – T. Björk
- The Volatility Surface – J. Gatheral
- Electricity Derivatives – R. Aïd
- Quantitative Portfolio Management – M. Isichenko
- Options, Futures, and Other Derivatives – J. Hull
My interests in few words: Quantitative Research & Machine Learning in Energy Trading:
- Energy Commodities (Power, Natural Gas, Oil), FX, Fixed Income
- Option Theory
- Pricing
- Hedging & Risk Management
- Model Calibration
- Systematic Trading Strategies
💬 Let's talk quant, energy, and trading!