Mohamed Najed Ksouri
Polytechnique Engineer (Quantitative Finance, Scientific Management )
ACADEMIC TRAINING
2007-2008
Msc Probabilités et finance, Paris VI Pierre et Marie Curie University(Jussieu) (In collaboration with Polytechnique X Paris )
2004 - 2007
École Polytechnique de Tunisie (Rank on graduation : 8/50)
Studies program and Brochure
2002 – 2004
Associate's Degree (MP : Mathematics Physics) in IPEIT (Rank : 9/1200).
June 2002
High School Graduation in Mathematics section (Mention : very well, Rank : 281/60.000)
PROFESSIONAL EXPERIENCE
2008 (6 Months)
Internship in HSBC (France) (Picture)
Title : "CMS Spread options pricing & calibration : Libor Market Model with two stochastic volatilities."
Key words : CMS, LMM, Spread options, Markovian projection, 3 factors, SABR model, Heston model, Closed formulas, Monte Carlo simulation, Swaptions, Caps.
2007 (4 Months)
End-studies project in INRIA, Projet OMEGA (France)
Title : "Numerical approximation methods for asian and plain vanilla option pricing on Heston stochastic volatility model."
Key words : Asian options, Pricing, Monte Carlo, Variance reduction, Functional quantization, Importance Sampling, Exact Simulation, Robbins-Monro, Levenberg-Marquardt, Quadratic exponential scheme.
Download : Report and Presentation
2006 (2 Months)
Internship in KPMG (Tunisia)
Title : Information system developpement for returns forecast and decision making.
Key words : Data analysis, Scoring, Php, Javascript, Databases.
Download : Report and Presentation
2005 (1 Month)
Internship, Nestlé (Tunisia)
Ecole Polytechnique de Tunisie best internship award.
2003 (1 Month)
Internship, TMI (Tunisia)
2001(1 Month)
Internship, Archimed GROUP (France)
SKILLS
Computer knowledge
Programming : C/C++ (Quantlib, GSL), Visual Basic.
Scientific softwares : MATLAB, SAS, SPSS, Eviews, Maple.
WEB : HTML, PHP/MYSQL, Dreamweaver, SWiSH.
Operating Systems : Linux, Windows, Mac.
Others : Ms Office (Word, Excel, Access,...), Ms Project, Adobe Photoshop, Macromedia Fireworks.
Languages
English : fluent professional knowledge (TOEFL: 603/ 670)
French : excellent professional knowledge
Arabic : mother tongue
German : basic knowledge
PUBLICATIONS
Technical report
Méthodes d'approximation numérique pour le pricing des options vanilles et asiatiques dans le modèle de Heston de volatilité stochastique.
INRIA Technical Report, Projet TOSCA, Number 0339, Year 2007, Download.
Journal paper (not yet published)
Portfolio optimization under stochastic volatilities : a backward approach.
AWARDS AND HONORS
$ Tunisian republic scholarship for foreign Msc studies 2007-2008.
$ Best award ADEPT 2006.
$ Tunisian republic representative in ITU World Telecom 2-8 December 2006 in Hong Kong. Website.
$ Tunisian republic representative in GLOBAL FORUM ON YOUTH AND ICT FOR DEVELOPMENT “Youth and ICT as Agents for Change” 24-26 Septembre 2007 in Geneva. Website.
$ Tunisian republic representative in International youth forum "youth speak, we listen" 1-3 september 2007 in Sharm el Sheikh, Egypt. Website.
INTERESTS
$ Globe-trotter : Hong Kong, France, United Kingdom, Switzerland, Germany, Spain, Egypt, Belgium, Luxembourg, Monaco.
$ Ex-redactor in chief of EPTmag'. Website and samples
$ African redactor of the magazine "The Horizon".
$ Chronicler for Tunischallenge
$ Management club Founder and ex-responsable in EPT.
$ Principal organizer of EPT-Companies forum 2006 Website
$ Swimming and music (Eric Clapton, Tracy Chapman) passionate.
$ Association des TUnisiens des Grandes Ecoles Member. Website
Version Pdf
Download (English)
USEFUL RESOURCES
Quantitative Finance resources
C++ Library GNU Scientific Library.
C++ LibraryQuantlib.
Online exotic options Calculator Sitmo.
Free Portfolio Optimization Macroaxis.
Quantitative finance community website Wilmott.
Finance Quantitative informations websites : Quant Code, Quant Notes, YATS Consulting et Global Derivatives.
BOOKMARKS FOR SCIENTIFIC COMPUTING SOFTWARE, TOOLBOX AND COMPUTATION CODE.
Finance Quantitative jobs websites : Quant Finance Jobs et Mathsfi.
All about VaR (Value at Risk) : GloriaMundi et VaR.
Open resources for publications and prepublications
Social Science Research Network : SSRN.
Hyper Article en Ligne : HAL.
Cornell University Library : arXiv.
Scientific knowledge archive : ScientificCommons.
Scientific Literature Digital Library : Citeseer.
Registry of Open Access repositories : ROAR.
Digital Library Production Service : OAIster.
Reseach communications for scientists and Engineeers : E-print Network.
Interesting courses
Sociologie politique (Chawki GADDES).
Mathematical Finance :
Probabilités (G.Pagès).
Calcul stochastique (M.Jeanblanc).
Méthodes de Monte Carlo en Finance (B.Bouchard).
Econométrie pour la Finance – Modèles GARCH - Value at Risk (C.Hurlin).
Contrôle optimal stochastique et applications en finance (H.Pham).
Couverture des risques dans les marches financiers (N.El Karoui).
Simulation of Financial Models: Mathematical Foundations and Applications (B.Lapeyre, A.Sulem et D.Talay).
Stochastic Calculus and Finance (S.Shreve).
Analyse numérique et optimisation (G.Allaire).
Handbook of mathematical functions (S.ABRAMOWITZ).
Econometrics & Software Tutorials.
Time series & Forecasting.(G.Chevillon)
Latex
Classes : Miktex (Windows) et Latex (Linux).
IDE : TeXnicCenter (Windows) Kile (Linux).
Presentations class : Beamer.
Orthograph correction class : Ispell.
Useful opensource softwares
Multiplatform and multilingual office suite : OpenOffice.
Media Player : VLCplayer.
Infography opensource software : GIMP.
Web Browser : Firefox.
Websites grabber : Winhttrack.
Email : Thunderbird.
Programming (IDE) : Eclipse et Code::Blocks.
Scientific calculus open source plateformScilab.
Many others : Framasoft.
KEYWORDS
Ingénieur, Engineer, CV, Resume, polytechnicien, polytechnique, Paris, Tunisie, Tunisia, finance, marchés, market, bourse, stock exchange, Monte Carlo, pricing, vanilla, asian, asiatique, barrier, european, quantification, quantization, american, options, portfolio, portefeuille, international, économie, economics, stage, internship, work, job, banque, DEA El Karoui, bank, math, mathematics, probability, Mohamed, Najed, Ksouri.