Etienne de Boursetty, Developer in New York, NY, United States
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Etienne de Boursetty

Verified Expert  in Engineering

Financial Modeling Developer

Location
New York, NY, United States
Toptal Member Since
June 16, 2016

Etienne has been working in the financial industry for 10 years, building models and market analysis tools for traders at world class financial institutions and hedge funds. Working primarily in C#, he has designed and developed large scale data analysis platforms that allowed business-focused team members to quickly crunch vast quantities of numbers efficiently.

Availability

Part-time

Preferred Environment

JetBrains, Visual Studio, C#, Windows

The most amazing...

...thing I've designed is a 'fluent' timeseries analysis library for financial mathematicians as well as a generic OLAP cube that manipulates objects.

Work Experience

Director of Modeling and Technology

2010 - PRESENT
Element Capital Management
  • Designed and developed a custom language and an API for multi-dimensional time-series analysis in C#.
  • Designed and developed an in-memory time-series datastore for quick access to financial models with indices and asynchronous replication.
  • Built the infrastructure used to price the firm’s position and to calculate risks, scenarios, and VaR.
  • Wrote various financial models to price trades including FX vanilla options, FX exotic options, and equity index options.
  • Organized code structure and managed code workflow for the entire technology team.
  • Designed and developed a plugin framework to allow quick delivery of financial models as well as code separation between quantitative developers and infrastructure developers.
  • Participated in the development of various tools used by traders including a multi-asset trade pricer, a tool for plotting/analyzing time series, various trade blotters, tools to help with execution, and a PnL attribution tool.
Technologies: SQL, ZeroMQ, F#, Microsoft Excel, C#

Business Analyst

2010 - 2010
Credit Agricole
  • Served as point of contact between traders, quants, and developers.
  • Designed a way to simulate the aging of an investment portfolio to inform traders of potential future risks.
  • Wrote specs for the development of commodity index trading.
Technologies: Java, Python, C#, Microsoft Excel

Quantitative Developer

2007 - 2010
Credit Suisse
  • Developed the commodity index risk management platform in Excel/C#.
  • Developed tools to calibrate and monitor interest rate correlations and volatilities.
  • Served as a point of contact between quants, traders, and technologists to integrate financial models into calculators and presentation layers.
Technologies: C#, Microsoft Excel

Video Compression Intern

2006 - 2006
France Telecom
  • Worked on the H.264 compression standard: Designed and implemented a compression algorithm based on edge recognition in C.
  • Implemented an alternative to block filtering using the modified discrete cosine transform (MDCT).
  • Analyzed and presented results using Microsoft Excel.
Technologies: H.264, C

Data Analytics Platform

I designed an OLAP cube that can manipulate complex objects instead of raw data. I used this cube to manipulate time series of financial models. This allowed my team members to create and run very complex financial analyses without having to code anything.

Languages

C#, SQL, JavaScript, C, Python, Java, F#

Frameworks

.NET, NUnit

Libraries/APIs

Bloomberg API, Protobuf, Node.js, Quandl API, ZeroMQ

Tools

Excel-DNA, ReSharper, Microsoft Visual Studio, Microsoft Excel, Visual Studio, JetBrains, Jenkins, RabbitMQ

Paradigms

OLAP, Real-time Systems, Concurrent Programming, Agile Software Development

Other

Algorithms, Data Structures, COM, API Design, Numerical Methods, Financial Modeling, Software Development, Quantitative Calculus, Algorithmic Trading, H.264, Unix Shell Scripting

Storage

MySQL, MongoDB

Platforms

Windows

2002 - 2007

M.Sc. Degree in Computer Science/Signal Processing

Ecole Superieure Electricite - France

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