• Current Role: Quantitative Analyst at Swiss Life (Luxembourg).
• Develop and research hedging strategies for the Variable Annuity book.
• Oversee day-to-day management of the hedge portfolio (CHF 1 Billion AUM).
• Supervise daily trading of OTC and listed derivatives, including: Interest Rate Swaps, Swaptions, Equity Options, Bonds, Equity/Bond Futures, Spot and FX Forwards.

Key Contributions:

• Conducted research on deep learning methodologies for hedging long-term financial derivatives, implementing and backtesting strategies on simulated paths generated by the Heston++ (displaced Heston model).
• Developed a Monte Carlo simulation library to model multiple risk factors (IR, FX, volatilities, equities), using the G2++ model calibrated to swaptions for scenario generation and risk analysis.

Professional Development:

• Currently enrolled in the Advanced Risk and Portfolio Management (ARPM) Certificate. Topics covered: Financial Engineering, Quantitative Risk Management, Portfolio Optimization. Emphasis on advanced statistical methods, risk modeling, portfolio optimization.