Dumont David

I am currently looking for an internship or an entry level role as junior Quant / Trader .
Last update : 04.04.2008

» Current position : DEA in QUANTITATIVE FINANCE

I am ending my DEA in Quantitative Finance from the Toulouse School of Economics at the University of Toulouse Sciences Sociales (ranking here).
(director of the DEA: Jean-Charles Rochet).

I'm also ending the "Magistère d'Economiste-Statistitien" of Université des Sciences Sociales and Université Paul Sabatier. It is equivalent to a master degree in Statistics and Economics.

Master Thesis : optimal hedging structure (work in progress) under the direction of Pr. JC Rochet and Pr. JP Décamps.

Lectures :

Mathematical methods in finance : Professor Rochet, associate professor Voltchkova
Books references :
(1): Arbitrage in continuous time - Bjork,
(2): Méthodes mathématiques de la finance - Rochet and Demange
(3) Introduction to stochastic calculus applied to finance - Lamberton and Lapeyre.
Pdf references :
(1): Univ. Paris 7, Course of Pr Pham
(2): Univ. Paris 7, Course of Pr Pham (stochastic optimal control)
(3): Univ. Paris 6, Course of Pr El Karoui

Derivate Products : Associate professor Villeneuve, associate professor Voltchkova
Book references
(1): Arbitrage in continuous time - Bjork,
(2): Interest rate models - Theory And Practice - Springer
(3): Martingale methods in financial modelling - Springer
(4): Course in Derivatives Securities - Introduction to theory and computation - Springer
(5): Interest rate option models - Riccardo Rebonato
To be continued...

Risk Management : Professor Leautier

Empirical Finance : Professor Biais

Stock Markets : Professor Pouget

Capital Markets : Professor Mariotti

Optimization : Professor Rochet

MicroEconomics 1 : Professor Crampes

Econometrics : Professor Florens

»Projects and works.

This is a part of projects and studies case I did, during the Magistère and the Master 2, Master 1, Licence 3.

* Empirical Finance - April 2008

The project is to prove a link between liquidity (measured as the depth in limit order book) and the technical analysis. I use SAS software to manage high frequency datas from Euronext.
Work in progress... available soon.

* Internship report - Sept 2007

During 4 months I have worked for the EDF's R&D and for the Laboratory of Probability and Statistics of Univ. Toulouse 3. I was under the direction of Professor Azaïs and Professor Fort.
I built econometric models in order to estimate electricity curves for 832 clients. I also had to built confidence interval with special mathematical properties (uniformity properties). All the models and estimations have been computed using MatLab. MatLab codes are not given here (about 20 files) but you can download my report :
Internship report (pdf, 80 pages in French)

* Risk Management Project - February 2008

Study on the firm Merck. Inside-Out and Outside-in analysis.
Report (pdf).

* Financial Structuration Project - March 2008

The project was to build a structured product according to a payoff asked by a client.
Project : Excel File, PDF File (everything is in French !)

* Article Presentation - January 2008

Presentation and survey of litterature around the article by Lo, Repin and Steenbarger : "fear and greed in financial markets, a clinical study".
The presentation was only 15 minutes and here is the slides :
Presentation (pdf file)

Some works done during the Master 1 :

* Applied Econometrics - January 2007

SGM cost function, testing flexibility and concavity. With Gauss Software.
Download report

* Statistics - March 2007

Simulation and fitting algorithm for times series and previsions : ARMA - GARCH.

Report (pdf) - presentation (pdf)

Some works done during the licence (old) :

* Informatic DELPHI, PASCAL- March 2007

This is a simple software I created to simulate distribution and try to estimate variances by bootstrap methods.
More about that on this page...

* Informatic DELPHI, PASCAL- May 2007

Using the force of object oriented programming, I have developped a software that simulate an ants ecosystem !
More about that on this page...

* Intership report - May 2007

I spent 3 months at CEIL-PIETTE del CONICET (research center on labour) as intern, making statistics on labour in Argentina.
Report.

I have also writen a book (not published) in french about those 3 months in Buenos Aires : "Journal de Bord à Buenos Aires" (183 pages).

»Others :

Skydiving activities ...

Readings.

Music.

***