Dr. Christophe Koudella
Angestellt, Head of Quantitative Modeling, ExodusPoint Capital Management
New York, Vereinigte Staaten
Werdegang
Berufserfahrung von Christophe Koudella
Bis heute 6 Jahre und 3 Monate, seit Apr. 2018
Head of Quantitative Modeling
ExodusPoint Capital Management
2 Jahre und 7 Monate, Juni 2015 - Dez. 2017
Senior Quantitative Research Scientist, QuantOne
Hutchin Hill Capital, New York
Senior Quantitative Research Scientist, QuantOne (Mar 2016 – present) • Quantitative cash equities trading. • Front to end development of a deep learning trading strategy (python, google tensorflow). • Signal research (python, google tensorflow). • Multi-signal portfolio construction and optimization (C++, python, KDB+). • Upstream market data modeling work for backtesting, features generation, cost modeling (KDB+). • General use of machine learning and deep learning techniques (python, tensorflow).
2 Jahre und 3 Monate, Apr. 2013 - Juni 2015
USD Rates Trader
Royal Bank of Scotland
• Market making for swaptions, mid-curves, curve options, Bermudan callables & light exotics. • Managed client flow, execution, risk & trade management, market signal/news monitoring. • Extensive use of systematic relative value approach for OTC vs listed interest rate options (python). • Analysis and systematic trading of eurodollar futures convexity (C++, python). • Wrote an auto-spreader for eurodollar futures and cash against a third party trading system API (C++).
3 Jahre und 7 Monate, Juni 2009 - Dez. 2012
Quantitative Researcher
Citadel LLC
Macro Relative Value Group (2011 – 2012), Quantitative Researcher • In charge of modeling, risk & PL for highly profitable rates & FX volatility pod. • Productionized relative value strategy for short-expiry mid-curve interest rate volatility (C++, python). • Built profitable implied/empirical market model RV gamma strategy (python). • Productionized affine curve model & systematic relative value strategy (C++, python). • Developed production interest rate curves and volatility analytics. (C++)
4 Jahre und 9 Monate, Okt. 2004 - Juni 2009
Quantitaitve Analyst
Crdit Suisse Holdings
• Rolled out a Libor market model for valuation & risk (C++). • Quant analytics projects/tools for volatility and correlation products. • Go-to-guy for the rates structuring team. • Exotic interest rate derivatives desk support. • Extensive G10 rate curves design and implementation (C++, COM). • Developed OTC and listed interest rate products pricing and risk engines (C++, COM). • Linear (front-end, swaps, basis, treasuries) and convexity (flow & exotic) desk support.
1 Jahr und 10 Monate, Jan. 2003 - Okt. 2004
Research Associate, Soft matter and biophysics research
Harvard University
Stochastic simulations & Brownian dynamics of bio-polymers; distributed scientific computing (C++).
3 Jahre und 4 Monate, Sep. 1999 - Dez. 2002
Research Associate, Geophysical fluid dynamics research at DAMTP
Research Associate, Geophysical fluid dynamics research at DAMTP
Computational fluid dynamics for atmospheric and oceanic processes, atmospheric experimental data analysis (Fortran/C).
Ausbildung von Christophe Koudella
3 Jahre und 8 Monate, Sep. 1995 - Apr. 1999
Physics
École Normale Supérieure de Lyon
Hydrodynamic instability and turbulence of internal gravity waves, partial differential equations, distributed computing, computational fluid dynamics (Fortran/C).
Physics
Imperial College London
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