Dr Joseph Jeisman BBus(Hons), PhD.
Dr Joseph Jeisman BBus(Hons), PhD.
Joseph worked as a Quantitative Analyst at the Commonwealth Bank of Australia (CBA) from 2007 to 2017. During that time, he oversaw the valuation of structured bonds and their hedging swaps for the bank’s Treasury. This involved extensive validation of valuation models within third party vendor systems (particularly Murex and QuIC) and in-house code libraries. He also managed systems projects and played an integral role in the implementation of an OIS/CSA discounting framework. Prior to joining CBA, he was employed as a research academic and had papers published in the Journal of Financial Econometrics and the Journal of Derivatives relating to his doctoral studies into methods for estimating the parameters of stochastic differential equations.
Fabrice Lecuyer MEng.
Fabrice Lecuyer MEng.
A quantitative developer specializing in Fixed Income and Interest Rates products, Fabrice studied financial engineering in Paris, and moved to Sydney in 2006 where he worked for the Commonwealth Bank of Australia for 11 years. At CBA, Fabrice delivered important developments using Excel, C++ and C# enabling traders to price financial instruments and manage their risk efficiently. He was made responsible for the improvement and maintenance of the Quantitative Analysis Group pricing C++ libraries for which he led the development of a yield curve framework still used in the trading room. Fabrice participated in the development and validation of exotics models, and has also been tasked with the configuration and validation of third party systems (Murex, QuIC and ION) handling high volumes of vanilla and structured products.