Daphne Giorgi

Research and development engineer

LPMA -- UPMC (Paris 6)

Developments

Web application for LPMA

Development of a web application for didactic and research results of the LPMA at Simulations@LPMA.

Development of Multilevel Monte Carlo Richardson Romberg estimator [ML2R].


Optimal Control Solver

Development of Bocop, an open-source toolbox for solving optimal control problems, with collaborations with industrial and academic partners. Project realized in the INRIA team COMMANDS.

Proximities

Principal Component Analysis and Seasonal adjustment of curves for proximities for GDF Suez Trading.

Basis spread market

Tools of curves construction and Bermudean options pricer for HSBC.

CV

  • R&D Engineer since October 2014, at UPMC at the LPMA laboratory.
  • PhD Applied Mathematics June 2017, at UPMC at the LPMA laboratory.
  • Inria Engineer September 2012 - September 2014, at CMAP (Ecole Polytechnique), in the team Commands (Inria Saclay).
  • GDF Suez Trading Internship, Risk Methodologies, 2011.
  • HSBC Internship, Quantitative Risk Valuation Group, 2010.
  • Master 2 IFMA (Ingénierie Financière et Modèles Aléatoires, Université Pierre et Marie Curie, Paris 6), 2010.
  • Master 2 Fundamental Mathematics (Laurea Specialistica Matematica, Università degli Studi di Firenze), 2009.

FULL CV

Contact

LPMA / UMR 7599
Université Pierre et Marie Curie (P6)
Boite courrier 188
4, place Jussieu
75252 PARIS Cedex 05

Couloir 16-26, 2ème étage
Bureau 215

+33 (0) 01 44 27 40 76

daphne.giorgi at upmc.fr

https://simulations.lpma-paris.fr

http://bocop.org