cv Jean FACK uk.pdf



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Titre: Jean FACK
Auteur: Jean Fack

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Jean Fack
Developer C++ Finance
jean.fack@laposte.net
https://www.linkedin.com/in/jeanfack/
3 masters in Financial Market, Data Scientist et Machine Learning.
C++ (10A) - Python (3M) - C#(1A) - Java (2A)

Profile
Rank

COMPETITION
https://www.codechef.com/users/jeanfack
max Elo 1828 the January 14th 2020 (32/361 France; 10672/211089 World)

Letter

RECOMMANDATION
https://www.cv-pdf.fr/2020/03/24/recommandation/

Diplomas

2010

2004
2002
2001

GRADUATE
https://www.cv-pdf.fr/2020/02/23/diplomes/
Master Professional « Financial market option econometrics ». ESSEC/CNAM - Paris
 1st on 71 students on examen :
« rates products and portfolio management ».
 Econometric project :
« Indirect inference and stochastic volatility model». Implementation in R.
 Portfolio project :
« Portfolio allocation by Monte-Carlo simulation ». Implementation in Excel.
Master Specialized « Business intelligence for bank and insurance ». ENST - Brest
 Projet MathFi :
« Derivative products pricing by Monte-Carlo simulation ». Implémentation en Excel.
Master Research « Machine learning and decision ». - UPMC Paris 6
DEUG math, licence and mastery in computer science – ULP Strasbourg 1

FUNCTIONAL SKILL
Pricing : Linear and non-linear (B&S, Heston).
MathFi
Simulation : Monté-carlo, binomial model CRR, GARCH.
Classification : K-means, CART, C4.5, Khi2Merge.
Data Mining
Optimization : gradiant, simulated annealing, tabou search, evolutionnary algorithm, ants.

Langage

Library

TECHNICAL SKILL
Imperatif : C++, C#, Java, Delphi.
Script : Python, Perl, VBA, bash/ksh, DOS.
Math : R, Gauss, Mathlab.
Make : GNU make, ant, Apache maven.
Functionnal : Caml, Prolog.
Meta : Lex/Yacc(Ocaml, Flex/Byson), LISP.
Database : relational (Oracle, Sybase, MySql), graph (Neo4j).
Versionning : clearcase, Rational Team Concert, git, subversion.
Code analysis : AQTime, rational purify/quantify.
Continuous integration : Jenkins.
Cloud: heroku, aws, graphenedb.
Documentation : UML(Microsoft Visio), GraphViz, Latex, Doxygen.
Finance : Mysis Summit, Quantlib, Lexifi, 3VFinance Titan.
Data structure : STL, Boost, , xml(DOM, Xerces/SAX, xpath, JAXB), Hibernate.
Webservices : WPF/Winforms(C#), Spring(Java), Play(Java).
Parallelism shared memory :Windows thread (C++), Posix (Unix C), TPL (C#).
Parallelism distributed memory : Datasynapse (C++/Java).
Machine learning : Weka, Pandas/numPy/scikit-learn (Python).
Middleware : Tibco rdv, IBM Websphère MQ, Corba.

1/6

EXPERIENCE
3VFinance - Viel Group
Oct 2015 - Juin 2017
http://www.3vfinance.com/
Paris-Place Vendôme
Contract
Intern
Position
Technical Leader C++
Context
Member of the development team of Titan ® Software , evolution and maintenance of the financial library.
Handover :
 Development on rate products.
Refactoring and optimisation project (1 year) :
 Encapsulation of financials products (OOP).
 Migration of the data structure in Qt ®.
 Put in place Contract Programming (Design by Contract) Paradigm in critical section of code.
Task
 Put in place best practices :
 Coding rule : Scott Meyers “Effective C++”, Herb Sutter “Exceptional C++”, etc.
 Agile Method : Robert C. Martin “Agile Software Developpement”, etc.
 Test Driven Development : Kent Beck “Test Driven Development”, etc.
 Put in place pré-computation.
 Parralelize computation with QtConcurrent.
 66 % reduction in treatment time of Titan ® Benchmark.
Functionnal Pricing on vanilla products, Lexifi librairy, Apollo financial software.
Technology C# .NET 4.0, LINQ, SQL-Sybase, Teamcity, Svn (Tortoise), Graphviz.
Natixis AM
Dec 2014 – Sep 2015
http://www.nam.natixis.com
Paris-Quai d’Austerlitz
Contract
Consultant Sedona Paris
Position
IT Quant
Member of Data Pricing Model Services team, integrate the Lexifi ® library in Apollo software for
Context
sensitivity computation for vanilla rates products.
Handover on Lexifi library (https://www.lexifi.com) :
 Fonctionnal :
 Handover on the pricing models.
 Technical :
 Développement of sample in C#.
Integration library in Natixis system :
 Fonctionnal :
 Lexifi configuration from Apollo (Editeur) and Apiload (Natixis homemade).
Task
 Validation of models parameters with business.
 Comparaison with la librairie Fincad ® (http://www.fincad.com/ ).
 Documentation.
 Technical :
 Modélisation of architecture with GraphViz ®.
 Integration of library with framework Natixis in C# .NET 4.0.
 Continuous Intégration with teamcity ®.
 SQL-Sybase optimization for Apiload.
 LINQ .NET for Apollo system.
 Data Load on demande and cache system in C# for reduce query.
Functionnal Pricing on vanilla products, Lexifi librairy, Apollo financial software.
Technology C# .NET 4.0, LINQ, SQL-Sybase, Teamcity, Svn (Tortoise), Graphviz.

2/6

HSBC CIB
Dec 2009 - Nov 2013
http://www.hsbc.fr
Paris-Champ-Elysée
Contract
Consultant SII (Société Pour l'Informatique Industrielle) Paris
Position
IT Front.
Member of Fixed Income Front Office IT team, around Summit ® (1,000,000 trades, 2000 users) and
Context
Datasynapse ® grid (2000 cpu), develop and support applications.
Development and support of real time mktdata feeding server of into Summit :
 Functionnal :
 Linear Interpolation of missing bucket on rates curves.
 Technical :
 Development and support of market data access Bloomberg / Reuters (C++/Java/C#).
 Development and support of direct market feeding from trader (spreadsheet VBA).
 Development and support of feeding server (C++/Java/TIBCO rdv).
 Development and support of web server (tomcat/spring MVC).
 Reafactoring of xml-object mapping with JAXB (Java).
 Configuration in Summit of new market data.

Task

Exportation of Swap, Exotic, Fra, Mm from Summit (C++) to Microgen (C#) with FpML format :
 Fonctionnal :
 défine FpML fields from Summit meta-model fields.
 Technical :
 C++ Summit stk API et Summit meta-model.
 Put in place real time trade feeding process Front to Back (C++ Summit stk API and must
API/webservice MQ/C# WPF).
 Reporting of trades characteristics and cashflows to Back.

Development and support around Summit pricing :
 Functionnal :
 Rate product pricing validation in Summit.
 Technical :
 Généralize rules using 5 différentes représentations into uniq table (Oracle).
 Générate décision tree using datamining algorithm C4.5 (weka API) .
 Simplify tree by introduce knowledge on data.
 Visualization/support of rules with GraphViz.
Functionnal Rates products pricing, greeks, interpolation.
C++ (STL, Boost), C# (WPF), Java(spring MVC /JAXB), VBA , Python, dos, Summit(3.7, 5.2 FT, stk API,
Technology must API, Orbix CORBA), DataSynapse 4.2, ORACLE 9.2, Websphere MQ, TIBCO rdv, Weka, Graphviz,
Clearcase, Rational Team Concert, Ctrl-M.

3/6

Crédit-agricole CIB
Mar 2006 - Nov 2009
http://ca-cib.fr
Paris-La Défense
Contract
Consultant SII (Société Pour l'Informatique Industrielle) Paris
Position
IT Risk
Member of Fixed Income Front Office IT team, around Summit, around Summit ® (400,000 trades, 1000
Context
users) and Datasynapse ® grid (400 cpu), develop and support applications.
Redesign computation chain of daily greeks and weekly Stress :
 Functionnal :
 Greeks configurations tables design.
 Stress tests design.
 Technical :
 Parallelism optimization using grid computing Datasynapse.
 Task optimization with automatized configuration table.
 Algorithmic optimization of task submission linear with data.
 Database contention optimization by aggregate result in memory.
 Network bandwith optimisation using binary sérialization of résultats.
 Code optimisation using STL/Multithreading Posix/ purify/quantify.
Task

Optimization of batch computation of daily VaR :
 Functionnal :
 Computation of historical VaR.
 Technical :
 Refactoring ksh scripts to remove loop.
 Redesign data logic model for remove temporary table/work.
 Optimization of query and index.

Put in place MtM on « gridded computation on demand » application QuickRisk :
 Functionnal :
 FRA and Bond pricing.
 Technical :
 Grid computing Datasynapse, Summit API.
Functionnal Rates products, Greeks, Stress Tests, historical VaR, MtM.
C/C++/C#(Microsoft Studio, sunstudio, STL, Multithreading POSIX), Delphi 5.0(Borland), Java(Eclipse),
Technology Perl, Python, ksh, Summit(v3.7, stk API, hedge API), DataSynapse 4.1, Sybase 12.0, dbx, rational
purify/quantify, Clearcase, Ctrl-M, crontab.
GL Trade - Sungard Group
Apr 2005 - Sep 2005
http://www.sungard.com
Paris - Place de la bourse
Contract
Consultant SII (Société Pour l'Informatique Industrielle) Paris
Position
developer engineer
Context
Member of IT team, develop and support trading software GL-Trade ®.
Modelization of implicit volatility on equity derivative :
 B & S formula reverse.
Task
 Dichotomy algorithm.
 Newton-Raphson algorithm.
Functionnal Equity derivative, implicit volatility, Black Scholes reverse, numerical analysis, electronic trading.
Technology C++(Microsoft Studio), win32 API, cvs.

4/6

Isoft
Apr 2004 - Sep 2004
http://www.isoft.fr
Paris - Saclay
Contract
Internship
Position
Machine learning specialist
Member of R&D team, put in place discretization tool in machine learning library of Data Morphing
Context
software Amadea ®.
State of the art of discretization :
 Supervised/not supervised.
 Uni/multidimensional.
 Bottom-up/top-down/incremental.
Task

Implémentation of unidimensional supervised algorithm
 khi2Merge.

Back testing :
 Class relevance.
 Stability to noise.
 Stability to data size.
Functionnal Discretization algorithm, stress/back testing.
Technology C++(Microsoft Studio), Isoft Amadea.
Dynamic Capital Management
Apr 2003 - Sep 2003
https://www.dynamicfunds.com
Paris - New York
Contract
Internship
Position
Machine learning specialist
Context
Member of R&D team, put in place optimization tool for tuning parameters of trading algorithm.
State of the art of multidimensional metaheuristic optimization algorithm :
 Simulated annealing.
 Tabou search algorithm.
 Evolutionary algorithm.

Task

Implementation of evolutionary algorithm with different possible representation dépending of input data :
 Symbolic : genetic algorithm.
 Numéric : strategic evolutionnary.
 Programmatic : genetic programming.

Back testing :
 Multidimensional polynomial function extrema problem.
 Traveling salesman problem.
 Food collection problem.
Functionnal evolutionnary algorithm.
Technology C++(Microsoft Studio), Delphi 5.0(Borland).
Artificial Intelligence Laboratory of Paris 5
Apr 2002 - Sep 2002
http://www.math-info.univ-paris5.fr/liap5-lab/liap5.html
Paris - Descartes University
Contract
Internship
Position
Machine learning specialist
Member of research team, Modelize compétition and coopération in plants. Compare résultats of
Context
simulations with biological and ecological knownledge.
Functionnal Modelization of competition / cooperation, collective intelligence, genetic of populations, evolution theory.
Technology C++(Microsoft Studio), Delphi 5.0(Borland), moteur 3D ODE.

5/6

Image Science Laboratory of Strasbourg
Apr 2001 - Sep 2001
http://lsiit.u-strasbg.fr
Paris - Pasteur University
Contract
Internship
Position
Machine learning specialist
Member of research team, put in place time knownledge in classification hybrid algorithm of remote
Context
sensing image by take into account time information in images take at same position but with differente
date.
Functionnal Classification algorithm, collective décision, time knownledge.
Technology
C++(gcc), CORBA.

Activities
Ultratrail
Ultratrail
Triathlon
Cycling
Mountain
Danse

Description
Ecotrail de Paris
Ecotrail de Paris
Triathlon de Paris
Roc d'Azur
Kilimandjaro
Salsa - Bachata - Kizomba

Year
2019
2018
2017
2017
2017

LEISURES
Characteristic
80km - 1500D+80km - 1500D+1,5km - 40km - 10km
52km - 1200D+5895m

Time
12:37:12
12:19:34
03:07:24
02:40:05
5 days

Rank
1943/2006
1432/1738
1856/2320
2912/3605

"The value of a man lies in his ability to give and not in his ability to receive."
Albert Einstein

6/6




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