Mohamad Kachmar
Engineer in Market finance
Nearing graduation
Looking for an internship
After finishing my engineering’s degree in finance at Telecom ParisTech, one of the France’s top graduate engineering schools, I chose to complete a postgraduate research degree in Mathematical finance in Paris, known as “Laure Elie Master”. I had realised several internships, the last one was in the Due diligence Team of Amundi Alternative Investments as a quantitatif analyst.
I'm seeking for a job in finance focusing on its Quantitative aspects, especially the connection between theory and practice driving financial innovations such as evaluating and hedging financial instruments, managing risks, constructing and optimizing portfolios, algorithmic and high-frequency Trading.
I'm seeking for a job in finance focusing on its Quantitative aspects, especially the connection between theory and practice driving financial innovations such as evaluating and hedging financial instruments, managing risks, constructing and optimizing portfolios, algorithmic and high-frequency Trading.
Master’s research degree in Applied Mathematics (ex-DEA Laure ELIE)
University Paris Diderot
October 2010
to May 2011
Major: statistics and probability in finance
Details and Extracurriculars
- http://masterfinance.math.univ-paris-diderot.fr/
- Courses :
- Stochastic calculus by F. Comets ( Gaussian vectors. Random processes, Brownian motion and Wiener integral. Stochastic integral, calculation of Ito, Girsanov formula, Stochastic differential equations, diffusion process, examples of diffusion models)
- Basic Methods in statistics by D. Picard ( Modelling, data analysis, Methods of moments, notions of asymptotic confidence intervals, Tests)
- Stochastic Processes in Finance by L. Elie (Presentation of financial derivatives. Evaluation principles: self-financing portfolio and absence of arbitrage opportunity. Valuation of options: Standard (Black and Scholes): EDP evaluation of Black and Scholes formula, sensitivities (the Greeks), portfolio hedging, implied volatility. Exotic options: medium, lookback, barrier ... Replication static. Arbitration multidimensional: options on several assets, options on exchange rates volabilité Stochastic Model: Dupire formula.)
- Financial Instruments by S. Darolles ( financial markets, portfolio theory, Asset Pricing Model, Futures, Forward, Options and volatility, Greeks, static hedging, optimal hedging, dynamic hedging)
- Monte-Carlo Methods by A. Millet (Simulation of random variables and vectors. Simulation of Gaussian vectors. Process simulation : Brownian Motion. Monte-Carlo calculation of Expectation. Variance reduction techniques. Euler's and Milshtein's schema for diffusion.)
- PDE in finance by Y. Achdou (Black-Scholes equation. Models with dividends, barrier options. Results of existence and uniqueness. Qualitative behavior of solutions, maximum principle, transport and distribution. Finite Difference Methods for black-scholes. American option: Brennan and Schwartz algorithm, iterative PSOR, primal-dual method.)
- Volatility models by P. Tankov (Introduction to options markets. Local volatility models. Dupire implicit diffusion. Stochastic volatility models. Evaluation of options by Fourier transform. Asymptotic behavior of implied volatility. Volatility derivatives)
- Interest rate models by L. Elie(Introduction to interest rates market(bonds, swaps) and interest rate derivatives. Conventional models: Vasicek, Cox-Ingersoll-Ross models affine. Multifactor models compatible with the observed pattern spot: Heath-Jarrow-Morton, El Karoui-Rochet, Generalized Vasicek. The market model: Brace-Gatarek-Musiela. Study options on bonds and on products with variable-rate caps, floors, swaptions, boosts)
- Malliavin calculus and advanced numerical methods in finance by S. Menozzi ( Malliavin calculus and applications: the American options, coverage, development of low error.Quantification methods for American options (and the discretization of BSDE).)
- Credit Risk and derivatives by Y. Jiao (A default time: structural approach. intensity approach: rate models and credit calibration. density approach. Correlation of defects and product pricing portfolios: models of copula, correlation intensities, defects contagious. Modeling the cumulative loss and defects in succession. Simulation of one or more default time. Monte Carlo and importance sampling. Numerical methods for CDOs. )
- Financial time series Analysis by Eric Moulines (linear models and applications: stationarity, correlation, ARMA model. Conditional heteroscedastic models: Characteristics of volatility, ARCH, GARCH, stochastic volatility, long memory in stochastic volatility. Nonlinear models:autoregressive Models,functional threshold models)
- Stochastic calculus by F. Comets ( Gaussian vectors. Random processes, Brownian motion and Wiener integral. Stochastic integral, calculation of Ito, Girsanov formula, Stochastic differential equations, diffusion process, examples of diffusion models)
Master’s Professional degree in Computer science and statistical engineering for Finance, Insurance and Risk with honors
University Paris Diderot, France
September 2009
to May 2010
Major: Finance and computer science
Details and Extracurriculars
- http://www.math.univ-paris-diderot.fr/index.php?option=com_content&view=category&id=72:m2-isifar&layout=blog&Itemid=96
- Courses :
- Mathematical finance by E. Temam
- Stochastic Calculus by
- Monte-Carlo Methods in finance by S. Menozzi
- Econometrics in finance by S. Darolles
- Programming C++
- SAS Initiation and advanced by M. Mougeot
- PDE in finance by V. Millot
- Securitisation by O. toutain
- Risk: regulation, measurement and management by L. Carassus
- Front and middle office techniques by P. Bouvier
- Mathematical finance by E. Temam
Engineer's degree
Telecom ParisTech, France’s top graduate engineering schools, France
September 2007
to December 2010
Major : Financial engineering
Major : Computer science
2 years specialized diploma with honors
University Joseph Fourier, Grenoble, France
September 2004
to July 2006
Major : Computer Science and Mathematics
Major: Mathematics
