Ahmadou Baba Diallo

****, ********* ******* *** # *

Quebec (Quebec) G1W 2V3

581-***-****

acs8bi@r.postjobfree.com

English, French

Summary

Financial Engineer with background in software development seeks employment as part of a quantitative modeling and development team. Fluent in C#, C++, SQL. Highlights

Languages: C#, C++, JavaScript (JQuery), HTML, CSS, Matlab, R, Java, Visual Basic, SQL

.Net Framework: LINQ, Entity Framework, WPF, WCF, WF, winForms, ASP.Net, Multithreading, TPL Database Technologies: Microsoft Sql Server, MySql, Access, Oracle… Financial Engineering: Derivatives pricing technics, stochastic simulation, Monte Carlo and variance reduction technics, Interest rate term structure models, financial risk modelling… Experience

Research Assistant at University Laval January 2013 to July 2014

• Design and implement web application for performance and risk analysis with VaR models backtesting using HTML, CSS, JQuery and R programming.

• Implementing Derivative pricing models with C++ and C# with focus on parallel programming using multithreading and the task parallel library of c#

• Assisting Student of Master’s Programs in C++, Matlab and R programming, econometrics analysis Software Developer at CHAKA Computer April 2005 to July 2010

• Design and implement window application using C#, C++ and WPF, WF

• Design and Development of Objects using object oriented design in C#, C++

• Work on SQL, ODBC in Visual Basic

• Involved in complete Life Cycle including Analysis, Design, Development and Testing.

• Used WPF in creating different animated scenes using the combination of transforms, animation controls (storyboard, double animation) and color effects. Programmer Analyst Intern at ONAS October 2004 to February 2005

• Modify and Debug the existing software

• Build windows applications using Visual Basic

Programmer Analyst Intern at TOTAL August 2003 to September 2003

• Developed windows application in Visual Basic with SQL and ODBC Ahmadou Baba Diallo

Education

Master of Science: Financial Engineering 2013-2015 Laval University – Quebec, QC, CANADA

Mathematic Courses required for my admission to the Financial Engineering program 2011-2012 Laval University – Quebec, QC, CANADA

Bachelor of Science: Computer Science 2001-2005

Gaston Berger University – Saint Louis, SENEGAL

Skills and Accomplishments

Implementing pricing models using C++, C# and Matlab:

• Pricing barrier options using Monte Carlo Simulation and Importance Sampling in a Jump diffusion set up.

• Pricing a plain vanilla option with stochastic interest rate and stochastic volatility.

• The Least Square approach of pricing American Options (Longstaff and Schwartz 2001) by using Baronne Adesi & Whaley 1987 formula as control variable.

• Pricing option in the minimum of two Geometric Brownian Motion using Euler and Milstein Schemas.

• Valuing a call option on the minimum of the arithmetic average of the price of two assets. I performed the approach of Wu & Zhang (1999)

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