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 Jean-Marc Mercier

 

[Under Construction]

Jean-Marc MERCIER

Finance - Information Systems - Mathematics

 

196 rue Saint Maur, 75010 Paris FRANCE
Email: jeanmarc.mercier@crimere.com

 

Born 07/03/1967 - French citizenship

 

Ph-D in Applied Mathematics

 

Area of Interest

 

Finance

Equity Derivatives, Quantitative analyst, Front to Back Business Analyst, Sophis Risque

 

Computer science

Environment

Visual C++ (2005)

Languages

C/C++, C#, PL/SQL (Oracle 9), Java, VBA

 

 

OTHERS

Partial Differential Equations (P.D.E.), numerical economy.

 

Research ProjectS for Crimere* (since 2003 - Today)

 

DOS” a new collaborative process. "Mnemosyne" a virtual cemetery.

Both projects addresses the numerical economy sector. They consist in setting up a global thinking process addressing cloud computing and web based operating systems.

“Optimal Schemes” a scientific project in applied mathematics.

Motivation: This project belong to the numerical analysis field.  It aims to optimize computational resources. The main idea is to develop a general numerical approach to design algorithms able to work in nearly optimal algorithmic time. This method potentially addresses every industry for which computation time spent to solve Stochastic or Partial Differential Equations based problem is an IT cost problem, or an impeachment to conceive and to propose new products. I started two possible applications : the first one is concerned with mathematical finance, the second one target the metrology industry.

Awards: this research project has been selected by the French competition of technology innovation (ANVAR - minister of Research and Industry, July 2004).

 

I am trying to promote this research work through Crimere, and is currently looking for partnerships to valorise this work. Please contact me for more details.

* “CRIMERE is a small company that I created in July 2005, dedicated to host this research activity and my free-lance consultancy business.”

 

Finance (2001-2007)

 

Jan 06 - Dec 06: Front to Back Business Analyst
NBP (Natexis Banques Populaires) / Equity Derivatives Department

Deal netting. Export of aggregated deal from the Front Sophis Risque Database to the NBP transversal cash action back office software KTP, with impact on accounting, reconciliation, and settlement system. l Sophis Risque major version upgrade. Upgrade from Sophis Risque 4.5.1 to 5.1.3, with installation of the back office and Loan and Repo modules. l Information system de-merging. Resulting from the de-merging of Equity Derivative activities and FSM (Transversal NBP Market activities). l Information system merging. Resulting from the merging of activities between EQD and Natexis Arbitrage (an equity derivative business subsidiary of Natexis). l Electronic market for future. Front to Back installation of GL Platform for electronic activities on future markets. l Specification of the EQD Derivative Value at Risk (unattended project).

Dec 04 - Jan 06: Front Business Analyst
NBP / Equity Derivatives Department

Electronic market for cash action. Installation of the Front part of an EMS-SLIB Platform using EQD EURONEXT Direct Market Access.  l Grid computing. Starting the grid computing activity for Natexis group: benchmarking and qualification of a grid software for the equity derivative pricing library. l Sophis Risque Database purge project, using a general graph analyzer tool. l Database access securing instrument workflow, a tool to secure instruments modifications using a workflow.

April 04 - Oct 04: Front Business Analyst
Ixis / Equity Derivatives Department

Client contribution l stress test scenarios l P&L explanation l GL to Sophis l Trade integration l rate curves import l pricing methods.

March 01 - Nov 03: Quantitative Analyst
Sophis Technology / Equity Derivative Research team

P.D.E. solver. Specification, design and implementation of a P.D.E. solver engine using an advanced numerical schemes (link) for exotic equity pricing. l Credit risk.1st specification of the credit risk module (intensity Poisson law based calibrated through Credit Default Swap Market). l Monte-Carlo. Architecture and optimisation of Monte-Carlo methods (C++ template programming). l Value at Risk. Specification and implementation of a scenario engine for Credit Lyonnais.

 

Research in Mathematics (1992 - 2001)

 

Researcher in Applied Mathematics
European TMR Network « Hyperbolic Conservation laws »

 

International scientific environment, conferences, publications
Working languages: English/French/Italian/Spanish

March / Oct 00, Ecole Polytechnique, Paris, France - Joint Research program with CNRS Director P. Lefloch, (Polytechnique) and Pr. C. Rohde (Institut für Angewandte Mathematik, Freiburg, Germany)

Sept 99 - Feb 00, SISSA (Institut for the Studies and Advanced Research), Trieste, Italy - Joint Work with Pr B. Piccoli (SISSA). Phase transition theory.

Sept 98 - Sept 99, Universidad del Pays Vasco, Bilbao, Spain - Joint Work with Pr M. Escobedo, U.P.V., Bilbao: multidimensional conservation laws.

Sept 97 - Feb 98. SISSA, Trieste, Italy - Joint Work with Pr B. Piccoli (SISSA). Phase transition theory. Numerical analysis: multi-dimensional adaptive meshing techniques.

Dec 96 - Sept 97, Universittà di Pisa, Italy - Joint Work with Pr D. Aregba (U. Bordeaux I: numerical methods for hyperbolic problems). Semi-linear hyperbolic equations: model coming from the Big Bang Theory.

 

PH-D Thesis, Bordeaux I University, France
Sept. 92 - Dec 95

 

"Sur des systèmes d'équations des ondes semi-linéaires" / "About semi-linear systems of wave equations"

Theoretical and numerical study of systems of wave equations coming from physic field theory (Big-Bang models coupling quantum and gravitational effects). Thesis Supervisor: B. Hanouzet.

 

Teaching

 

         

Feb 2000, Naples University, Italy: post-doctoral courses on non classical shocks.

Sep 93 - Sep 96, University of Bordeaux I, France: basic course for undergraduate students in mathematics.

Conferences & Publications

Talks: Séminaire Ecole Polytechnique, Paris, March 2002 l Séminaire CERMICS, Ecole Nationale des Ponts et Chaussées, Paris, Jan 2002 l Congrès final TMR-HCL, Ecole Nationale Supérieure d'Ulm, Paris, Sept 2000 l Workshop on phase transitions, Institut Henri Poincaré, Paris, Dec 1999 l HYP2000, Magdebourg, Germany, Jan 2000 l AnumE-DFG-Workshop, Kirchzarten, Germany, April 2000 l TMR Workshop on Numerical Methods for Hyperbolic Conservation Laws, Valencia, Spain, May 2000 l Workshop "Hyperbolic Systems of Conservation Laws", Lisbon, April 99 l TMR Workshop "HCL", F.O.R.T.H., Heraklion, Greece, June 1998…

12 publications: please consult http://jeanmarc.mercier.free.fr/CVjeanmarc_mercier(francais).htm

Languages

French / English / Italian / Spanish: read, spoken and written.

Basic German (five years course).

ast modified: 03/14/09