N ICOL AS L EVI 251 Mercer Street, 10012, NY Office: 1 212 998-3244 Home: 1 212 535-5329 Cell: 1 917 312-3285 E-Mail:
[email protected] Web page: http://nicolas.levi.free.fr Nationality: French EDUCATION Sept 2000 - Present
Sept 1999 - June 2000 Sept 1998 - June 1999
Sept 1994 - June 1998
PhD candidate at Courant Institute of Mathematical Sciences (CIMS), NYU. Passed all qualifying exams. Research interests: partial differential equations, stochastic calculus, quantitative finance. Thesis topic: "Credit Modeling" with Marco Avellaneda. Masters equivalent in Partial Differential Equations and Numerical Analysis, with Highest Honors, at Pierre et Marie Curie University Paris 6. "Agregation de Mathematiques" (special topic: probabilities and applications), highly competitive nationwide research and teaching qualifier, ranked 12 out of 5000 graduate students candidates, 1st in class out of 50 students. Bachelor in Mathematics, with Highest Honors, at Dauphine Universitiy and Orsay University. (Major: mathematics, minor: computer science), 2nd in class out of 100 students.
TEACHING EXPERIENCE
Sept 2002 - Jan 2003 Feb 2002 - June 2002 Feb 2001 - June 2001 Sept 1996 - July 1998
Teaching Assistant for Stochastic Calculus, Mathematics in Finance Program, CIMS, NYU Teaching Assistant for PDE for Finance class, Mathematics in Finance Program, CIMS, NYU. C++ instructor at VF Films Production, software and hardware updates.
RESEARCH AND PROFESSIONAL EXPERIENCE March 2003 - Aug 2003
Consulting for Barclays Capital Developed and implemented a FFT-based model in a multi-factor setting to estimate the default rate of a portfolio. Improved the model to incorporate factor correlations to avoid misprincing the most senior tranches of a CDO. January 2003 - May 2003 Financial Software Developer Co-developed a software to import free financial data to Microsoft Excel. Freely available on my webpage. June 2002 - Aug 2002 Summer intern at BNP Paribas Hong Kong. Constructed a model to estimate forward volatilities based on historical returns. Developed correlation tools using Reuters and private database. Programmed a user-friendly interface to price callable-swaps, digital and barrier options. June 2001 - Aug 2001 Capital Market Summer Associate at Lehman Brothers. Developed an option pricer for MBS, IO's, PO's and CMO's. Constructed a simplified prepayment model, and an interest rate model. Worked on the trading floor with traders, sales personnel and quants as well. Mar 2000 - June 2000 Research on numerical schemes for conservation laws with J. Goodman (Mathematics in Finance Chair). Working paper. Sept 1999 - Jan 2000 Research on numerical methods for PDE with A.Perronet. Finite elements for Navier-Stokes equations. June 1998 - Aug 1998 Research project at "Ecole Polytechnique", worked with M. Weinfeld on a multi-agent system for handwriting recognition using neural-networks. Paper presented at CIFED’98 in Canada. Sept 1996 - June 1998 "Can One Hear the Shape of a Drum ?" and spectral theory of elliptic operators with C.Zuily. Quasi-certain properties of Fourier and Taylor series, with J.P. Kahane. Work mentioned in publication. PAPERS "An Error Estimate for the Entropic Solution of a Scalar Conservation Law", "Comptes-rendus de l'Academie des Sciences", to be published. "The Importance of Research Projects in the Teaching of Modern Mathematics", "Reperes - IREM”, 2000. "An Economic Approach to Handwriting Recognition Using Neural Networks", CIFED'98, Canada, 1998. COMPUTER SKILLS (selected) C, C++, Excel, Visual Basic, K, KdB, SQL and KSQL, Matlab, Mathematica, DRI, Baseline, UNIX shell. Windows, UNIX, Mac OS. LANGUAGES Bilingual French – English. Working knowledge of Italian and German. INTERESTS Basketball, boxing, squash, rock climbing, biking and hiking. University radio announcer and show host (in French). Authored a screenplay, to be produced, and founded a movie club.
