About me

Currently enrolled in the PhD program at the Department of Mathematics, at Florida state university, I am interested in the applications of Lévy processes in Finance. My previous education in France and in the United States, as well as my research and work experience with Rothschild and Fortis Investment, drive a strong will to develop robust tools and bring appropriate solutions to both practitioners and academics.

My experience is in the fields of stochastic calculus, partial differential equations, numerical analysis, credit derivatives, option pricing, spectral element methods and finite differences. I am currently teaching FORTRAN and C++ for students in the Master program.

Current research projects in C++ include mesh construction problems, binomial trees, spectral element and finite differences solvers as well as fast Fourier transform methods for option pricing. Past projects include the integration of CDS pricing models and portfolio optimization in VBA/Bloomberg environment.