Romain Duban

Finding ways to remove arbitrage opportunities from implied volatility surfaces. Working on numerical methods as smoothing, interpolation and extrapolation methods. Working on two main approaches, a cubic splines under constraints approach coupled with an adapted extrapolation and an adaptation of the SVI parametric form. Models implementation in C++, Matlab and R.

Within the Institutional Equity Division, in the Sales Trading team. In charge of the basket part of the equity business. In charge of the European index swap business for a major Morgan Stanley's client. Responsible of various tasks as client's requests and market analyses.

Assisted Mr. François LONGIN, professor of finance at ESSEC business school. Participated in the development and programming of finance computing tools focused on the analysis of diversified portfolios in private asset management (Markowitz, Black Litterman models) and in the monitoring of the main savings’ indicators. Wrote the code to make these tools available on the Professors website for online use by its students and subscribers in the finance industry (www.longin.fr).

Core courses: - Stochastic Processes - Theory of Finance - Mathematical Option Pricing - Numerical Methods in Finance - Computing C++ Elective Courses: - Statistical Distribution Theory - Interest Rate Models - Credit Risk - Exotic Derivatives