Senior quantitative portfolio manager, with a broad experience in: • Simulation techniques for VaR computation (Monte Carlo, filtered historical simulation with GARCH volatility, extreme value parametric frameworks) • Derivative pricing (Fourier Transform techniques, Monte Carlo Simulation, ...more

Senior quantitative portfolio manager, with a broad experience in: • Simulation techniques for VaR computation (Monte Carlo, filtered historical simulation with GARCH volatility, extreme value parametric frameworks) • Derivative pricing (Fourier Transform techniques, Monte Carlo Simulation, Greeks computation) • Portfolio optimization (Black Litterman approach and other robust methods) • Econometric analysis of market indices through multi-factor models • Development of C# Windows Application FOR SALES COLLEAGUES: the reasons of my presence on LinkedIn are: 1) professional networking 2) opinions exchange regarding quant finance/macroeconomics themes 3) job opportunities Unfortunately, over the last two years, more and more people have been contacting me with the intention to sell services and/or financial products. I am sorry for this, but from now on I will not accept any connection request coming from people suspected to push commercial initiatives of any kind (there are probably better and more official channels for doing that) (I also tend to think that, if in your job title there is something like "evangelist" or "enthusiast" or any other stuff like this, we barely have no chance to establish a fruitful connection. But who knows...)less