Mariem Hbaieb

R&D Front office, Fixed Income Team + Designing, with collaboration with Quants, PMPs and sales, the pricing library of interest rate, credit and inflation derivatives. + Developing and advising on improving the credit risk model prototype. + Improving the library architecture: refactoring, reverse engineering and integrating new features. + Debugging and Troubleshooting.

+ Calibrate a regime switching stochastic volatility model: an extension of the Heston model where we add a hidden Markov continuous chain. + For parameters estimation, we use an extension of the Expectation-Maximization algorithm called Baum-Welch. + Replicate the volatility surface of the VIX and S&P 500 market.

+ Studying the insurability of French farm income and modelling the joint distrubtion function of prices and yields using copula fitting techniques: Archimedean, elliptical and Plackett copula families. + Goodness-of-fit tests to select the right copula model: K-plots based on Kendall distrubution function, QQ-plots based on Rosenblatt transformation and other statistical tests based on Kendall process.

+ Risk management + Algorithmic trading + Asset Management + Interest Rate Models + Pricing and Hedging Derivatives

+ Credit and Counterparty Risk Management + Calibration of Local and Stochastic Volatility Models + Jump Diffusion Process and its Use in Finance + Partial Differential Equations in Finance