Michael Moreno Email:
[email protected] Personal website: http://michael.moreno.free.fr/ T: +44 (0) 777 6183 488
PhD in Mathematical finance Weather & Equity Derivatives Expert Nationality: French Language Skills: English (Fluent), Spanish (school level) PARTICULAR ABILITIES
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Creative and innovative Quant with extensive experience in the weather derivatives market (> 9
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Effective team builder and team leader able to inspire, motivate, lead by example and develop
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Excellent computing skill. I have entirely designed and developed several complete systems for
yrs) and a record of successfully identifying key objectives and client priorities in hedging weather position. Able to write detailed specifications of efficient weather hedges and price them individually or against a portfolio. On the software development side of my job, I have written many pricing and risk management tools. I have also developed other specific techniques: asset-swap curves, bond pricing, exotic equity pricing, multi currency & multi equity convertible bonds, fund options… 4 years of experience in the equity derivatives market (+ PhD).
strong team spirit. Able to identify individual abilities and training requirements of team members.
middle and front offices.
WORK EXPERIENCE Aug
00 – today: Associate Director of Speedwell Weather Derivatives Ltd (www.weatherderivs.com), Head of research and development. I am responsible for all aspects of the successful Speedwell Weather System development, sales, support and client relationship. I have entirely created and designed the Speedwell Weather System (SWS). My daily work on the software development side consists in writing all the mathematical tools used in SWS, including pricing, risk management, simulation engine, etc, writing the front end screens too and demonstrating the product and supporting the current version installed at our clients’ offices. I manage a very efficient team of developers and marketers. On the consulting side, I have analyzed more than a hundred company revenues and structured highly tailored weather hedges under cost efficiency constraints. I am always working very closely with customers to develop new pricing and risk management techniques. I have written critical bond pricing, asset-swap and other various interest rate curve components for the parent company Speedwell Associates Ltd too.
May 99 - Aug 00: Quant Consultant for BAREP (subsidiary of the Société Générale Asset
Management) in the pricing and Managing of Funds Options and of Weather Derivatives + PhD studies. I have made researches and developed pricing and risk management tools for Options on Funds and Weather Derivatives. The main issue with pricing and managing options on funds is that the trader needs to guarantee the volatility level to which his client can unwind their position. I have made researches and developed quantitative tools to estimate the best level of guaranteed volatility to sell the option at and to manage portfolios under this constraint. I have also developed the pricing
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and risk management parts of the weather system that was used to launch the first European weather fund by BAREP.
Apr 98 - May 99: Quant Consultant for AUREL-LEVEN (subsidiary of the Crédit Commercial de
France) in the pricing of Convertible Bonds and of Exotic Derivatives + Ph. D studies. Directly working with the Front Office, I have developed several libraries to price and hedge convertible bonds and exotic options (barriers, rainbow, quanto, etc) using PDE, trees and simulations methods. The most exotic/hybrid priced derivatives was a convertible bond linked to three equities on three different currencies containing several call and put clauses.
Oct 97 - Jan 00: Ph D in Finance "Pricing & Hedging Exotic Options" + Lecturing. “Government employed”
Apr - Sept 97: Practical training period at AUREL-LEVEN on "Pricing Contingent Claims Under Stochastic Interest Rates".
Oct 97 - Aug 02: Lecturer at the French Financial & Actuarial School ISFA. I have been teaching mostly computational finance, insurance and statistics at MBA level.
COMPUTING SKILLS 10 years experience of commercial software development. Strong experience in writing Front and Middle Office Client/Server and Multi-Tiers systems with enhanced pricing, VaR and simulations skills (Multivariate Copula & Daily Time Series GARCH type). All Microsoft Windows Environment & Office suite Languages: - C# (3 years) - Delphi (win32, 10+ yrs) - VB (8 yrs), VBA - VC++ 6 (1yr) - SQL Technologies: - COM, DCOM, ActiveX - .Net Framework - ADO, ADO.Net - MSMQ - .Net Remoting - Client server, N-Tiers architecture Database: - SQL Server (experience in very large DB in excess of 300 GB) Other: -
InstallShield SourceSafe
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UML FTP DevExpress Grids Steema Chart
EDUCATION Oct 97 to Jan 00 Ph. D in Mathematical Finance "Exotic Options on Shares and Optional Strategies", university Claude Bernard Lyon 1. Committee: J-C. Augros, J-P. Laurent, P. Poncet, J-L. Prigent, M. Quéruel, F. Quittard-Pinon 96-97 DEA in Financial & Actuarial Studies, university Claude Bernard, Lyon. 92-96 Msc in Applied Mathematics studies, university St Jerome, Marseille. NB: In France, universities studies are structured this way: 5 years to get the level to start Ph. D Studies and then 3 years to complete.
RESEARCH ACTIVITIES AND PUBLISHED PAPERS Books •
“Les dérivés financiers et d’Assurance”, co-written with J-C Augros, published Nov 2002
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“La gestion du risque climatique”, co-written with D. Marteau, J. Carle, S. Fourneaux and R.
(400 pages), Economica. Holz, Economica.
Most important Articles • • • • • • • • • • •
"Sequential Pricing of Contingent Claim Under Interest Rates and Risky Asset" published in Banque & Marchés "Partially Sequential Pricing of Barriers Options", published in Banque & Marchés "Sequential Pricing of Options Depending on Several Risky Assets” "Pricing Options using Interpolation", published in Bulletin Français d'Actuariat "Estimating the Life-Time Distribution of American and Exotic Options" "Pricing Bond Indexed on Shares", published in Bulletin Français d'Actuariat "Riding the Temp", published in FOW - special supplement for Weather Derivatives "Weather derivatives", published in Derivatives Week "Rainfall Derivatives", published in Derivatives Week “Rain risk”, www.weatherderivs.com “Temperature simulation process” in the French Re-Insurance encyclopaedia: “La Réassurance – approche technique”, March 2003.
Latest conferences • •
“Weather Derivatives Heging and Swap illiquidity”, WRMA annual conference, Miami, June 2003. “The forecast effect in structuration and trading”, Paris, Jan 2004.
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OTHER INTERESTS • •
Archery (archer & coach). Cycling.
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