À propos de Boris
I am a senior markets professional with experience spanning equity derivatives trading, volatility, FO quantitative strategies, market risk and platform build-out.
Most recently Executive Director at Morgan Stanley, I worked at the intersection of trading, quantitative analytics and technology, partnering closely with front-office teams on pricing, volatility modelling, alpha generation and production systems.
I support trading desks, hedge funds and financial institutions on high-impact topics including:
• Trading and risk optimisation
• Pricing and model review
• Quant and trading platform build-out
• Portfolio and volatility analytics
• Front-office transformation initiatives
I combine strong quantitative expertise with practical front-office execution and a delivery-oriented mindset.
Français
Bilingue ou natif
Anglais
Bilingue ou natif
Accepte de travailler sur site
Paris (jusqu’à 50 km)
Expériences
- Morgan StanleyInstitutional Equity Derivativedécembre 2023 - Aujourd'hui (2 ans et 6 mois)Paris, FranceMarket Making Managing a team of strats• • Design of global alpha research framework for equity derivative – Automated Market Making and Flow. Working with strats, trading and technology teams• • Responsible for the research and design of optimal hedging strategies, working in conjunction with trading and developers, designing the pipelines from research to production• • Volatility CRB project: reflection and design of the building blocks in relation to the alpha and hedging strategies above
- Natixis SAMarket Risk Division – Risk Analyticsmars 2017 - décembre 2023 (6 ans et 9 mois)Paris, FranceReporting line to the Global Head of Quants & CRO – Managed a team of quants• • Global simulation of Trading and Banking book evolution – margin calls simulator using deep learning proxy pricing• • Complex structured products books and hedging policy advisory on Equity Derivative (Autocallable), Fixed Income (Formosa Bonds Spread Options) and FX (digital options and Range accrual)• • Auto callable fast pricing in LSV models using neural networks• • Design of a reverse stress test framework and fast pricing trading strategy simulator machine learning based• • Liaison with Regulators (ECB, JST)
- Webb TradersHead of Quantitative Trading & Research – HF trading Delta One, Volatility & Stat Arbitragejanvier 2015 - février 2017 (2 ans et 1 mois)Amsterdam, NetherlandsReporting line to the CEO – Managed a team of quant traders• • Design, backtest and trading of Delta One & Volatility Market Making strategies (Basket, Future, on Euro, US Asian Indices & options)• • Management of a team of quants and IT quants, liaising with Risk & Compliance• • Implementation of delta One Future systematic trading strategies using Support Vector Machines (SVM)• • Development of machine learning based algorithms to exploit microstructure
Recommandations
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Formations
- DEA, Analysis and Economic PoliciesEcole Normale Supérieure1995DEA, Analysis and Economic Policies
- DEA, Probability and FinanceEl Karoui Paris VI1994DEA, Probability and Finance