Mr. Guillaume Simon Nationality: French Date of birth: 07/04/1983 27 rue de la Rochefoucauld, 75009 Paris France Phone: +33(0)6 68 80 58 92 e-Mail:
[email protected] http://gsimon.edu.free.fr
Education 2011
PhD in Applied Mathematics University of Toulouse (France). PhD advisor: Prof. Jean-Pierre Florens. Subject: Endogeneity in dynamic processes, Inverse Problems in Finance. Results were: - to redefine the notion of endogeneity in dynamic processes, especially in duration models; - to solve sophisticated non-linear inverse problems with regularization methods; - to study the statistical properties of hedge funds lifetimes and databases; - to evaluate the effect on durations of endogenous variables; - to propose an interpretation of portfolio allocation methods as inverse problems and to precise links between existing methods. Several papers published, under revision, or presented in international conferences: - Econometrics’ Day (Nanterre, 2007), ISF (Nice, 2008), Econometrics of Hedge Funds (Paris, 2009), Financial Econometrics Conference (Toulouse, 2009). - Discussant: AFFI (Paris, 2006), Econometrics’ Day (Nanterre, 2008), Econometrics of Hedge Funds (Paris, 2009).
2005-2006
M.Sc. in “Probabilities and Finance” (with honours) Paris VI University.
2002-2005
ENSAE ´ Grande Ecole in statistics, econometrics, economics and finance, Paris (equivalent to a M.Sc.). Passed the examination for the Institute of French Actuaries.
1999-2002
´ Preparatory class in Mathematics for the French Grandes Ecoles Lyc´ee Berthelot (Saint-Maur, France). DEUG MIAS Paris XII University (equivalent to a Diploma of Higher Education in Mathematics) .
Employment History Since 2010
Capital Fund Management, Paris Research Associate, Statistical Arbitrage.
2007-2010
SGAM AI (Paris) then LYXOR AM - Quantitative analyst - Fundamental research (default analysis of hedge funds, databases, hedge fund replication). - Econometric studies (new measures of performance, CFO, fees structure, peer grouping). - Scientific monitoring for the in-house fund screening software.
Apr.-Sep. 2006
AXA-IM (Paris) - Internship Modeling of the losses of a credit portfolio using Markov chains.
2004-2005
SGAM AI (Paris) - Sandwich course Long/Short Equity Arbitrage: quantitative stock-picking with Support Vector Machines.
Jul.-Aug.2003
INRA (Jouy-en-Josas, France) - Internship “Mathematics, Data Processing and Genomics” laboratory. Statistical analysis of a bacterial DNA.
Teaching Since 2010 - Junior Lecturer in Financial Econometrics Universit´e Paris Dauphine. 2005-2011 - Junior Lecturer in Financial Econometrics Ecole Centrale Paris, 3rd year. Tutorials in Financial Econometrics ´ Ecole Centrale Paris; ENSAE (Paris); University Paris VII. Tutorials in Statistics ENSAE (Paris). Talk on Hedge Funds HEC, Paris (2008), international curriculum.
Languages French: mother tongue. English: fluent - Cambridge Advanced Certificate (2003). Chinese: basic knowledge, 5 years studies. German: notions.
Programming Skills
Scientific programming: C++, Matlab, Python, VBA, Perl, Mathematica, CamL, Maple, SAS. Office softwares: suite Office, LATEX. Others: Perforce.
Interests Trekking, Football, Piano. Former member of the Ensae Alumni Association. Founder of a charity association for genetic research.
