I'm a paragraph. Click here to add your own text and edit me. It’s easy. Just click “Edit Text” or double click me to add your own content and make changes to the font. Feel free to drag and drop me anywhere you like on your page. I’m a great place for you to tell a story and let your users know a little more about you.
This is a great space to write long text about your company and your services. You can use this space to go into a little more detail about your company. Talk about your team and what services you provide. Tell your visitors the story of how you came up with the idea for your business and what makes you different from your competitors. Make your company stand out and show your visitors who you are. Tip: Add your own image by double clicking the image and clicking Change Image.
A quant for over 15 years, Lorenzo has spent most of his career in Société Générale's equity derivatives division. He has a long-standing interest in volatility modeling.
– Originally trained as an electrical engineer and with a PhD in theoretical physics, I was active as a physicist in the condensed matter theory group at IphT, CEA, before moving to finance. I started in Société Générale's equity derivatives division, then moved on to head quantitative research for all asset classes.
I am mostly known for my contributions to smile modeling. Part of my work has appeared in the Smile Dynamics series of papers, published in Risk Magazine, for which I received the 2009 Quant of the Year award.
In the course of my career, I have been exposed to all sorts of modeling issues, ranging from designing models and algorithms for vanilla and exotics businesses, to assessing product risks, devising pricing methodologies and figuring out hedging schemes.
Late in 2010, I started a book project: an account of techniques for modeling the dynamics of the smile – all motivated by real-world trading issues – with the aim of conveying the experience and insights gained as a quant in an institution widely acknowledged as the leading equity derivatives house.
I finished it in the summer of 2015, before it finished me.
Ph.D, Theoretical Physics, Université Paris XI, 1994
M.S. Electrical Engineering, ENST, 1989
An early project for the book cover, courtesy of Marco Zagha. Thanks Marco !