- Today2014September 2011
Quantitative TraderWorking as a quantitative Trader/ Sole Trader, automated trading system based on Java and FIX4.4 interface.
- Arbitrage and rollover/ carry trade strategies for FX crosses.
- Momentum and trend following as growth strategies.
- Improve pattern matching algorithms and application to trading equities.
- Trend forecast, market analysis and part time day trading.
- Building trading system: Trade generation and management, DB data management, PNL, Back testing and optimization...
Technical Environment : VBA Excel, Java, Ruby, FIX4.4, Windows 7
- TodayAugust 2011September 2006
Desk quant and Trader+10,000 employeesWorking as a desk quant and trader at Citigroup Corporate and Investment Banking, Fixed Income division, “Commodities quantitative analysis” team, on debt product analysis and exotic products pricing.
- Implementation of trading system for commodities exotic options under stochastic volatility model. Spreadsheet based system to price and risk manage the exotics.
- Commodities linked product pricing and hedging. Substitute in the desk to price and manage complex products.
- Book analysis, aggregation of the exotics and vanilla risk in same framework. Optimal hegding using risk replication or supper-replication.
- Building tools to manage the risk: PAA, Correlation scenarios, Volatility analysis...
- Trading desk’s support. Setup the vanilla volatility surfaces for Oil, Softs, Coal and Base metals.
- Commodities : Oil, Base Metals, Precious Metals, Soft and Coal.
Technical Environment : VBA Excel, C .Net, Windows NT, Linux
- TodaySeptember 2006January 2005
Quantitative AnalystWorking as a quantitative analyst at EDF Trading, Structured Derivatives and Options Trading Desk, “Quantitative analyse and pricing” team, on Exotic and OTC commodities options pricing.
- Barrier, Basket, Asian, European, American, Swing, Swap…
- Auctions pricing, hedging and management (VPP and UK Interconnector).
- Asset pricing and optimisation (Different plants formula for Drax, Essent…).
- Volatility estimation and option pricing on illiquid market.
- Exotic options pricing on Fuel oil and Gas oil (Digital, Asian quanto…).
- Trend flowing system development for gas and oil trading.
- Flow swaps pricing and hedging (Brent, Foil oil, Gas oil and Forex).
- Developing a library in C++ to price new structured products in conjunction with traders and marketers in different commodities : Power, CO2, Coal, Gas and Oil.
Technical Environment : VBA Excel, Matlab, C++, Java, Windows NT
Master 2 Mathématiques et applications - Ingénierie MathématiqueMaster - PHD
DEA directed by Pr Nicole EL KAROUI, Gilles PAGES and Marc YOR, the equivalent of first year of PHD degree, one of the best formations in Europe in Financial, Mathematics and Modelling.
Ecole Nationale des Ponts et ChausséesEngineer
Mathematics (Optimisation, Integral and Differential Calculus, Probabilities, Financial mathematics), Applied Mathematics (Signal Processing, Stochastic Processes for finance), Programming (Image Processing, Linear Programming, Client server, TCP/IP…)
- Trading strategy
- Financial modeling
- Market analysis
- Structured products
- Strategic planning
- Problem solving
- Financial Analysis
I am currently focused on the foreign currency trade. I trade all the main currencies when certain economic events unfold. I use a lot of technical analysis with some fundamentals. I use a position sizing strategy. Forex is a tough market, I prefer to invest 2% of my account equity at a time.
I believe in a diversified portfolio. That is why I also trade stocks however have no been trading them as much lately due to my focus on FOREX. I try to allocate my stock picks into Small Cap equities, High yield fixed income, and Growth companies.
Ultimately I think forex trading robots are the future. I am building trading system to fit my trading style and to run 24 hours a day on the forex market, I take the hardest part of FOREX trading out of the equation; emotion.
Otmane EL RHAZI.