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Malt Strategy
Boris MichalletBM

Boris Michallet

Senior quantitative analyst - all asset classes

€1,350/day
Paris, FR
15+ years
Data science
Quantitative Analysis
backtesting
Systematic trading
Volatility modelisation

Average response time: 1 hour

About Boris

I am a senior markets professional with experience spanning equity derivatives trading, volatility, FO quantitative strategies, market risk and platform build-out.

Most recently Executive Director at Morgan Stanley, I worked at the intersection of trading, quantitative analytics and technology, partnering closely with front-office teams on pricing, volatility modelling, alpha generation and production systems.

I support trading desks, hedge funds and financial institutions on high-impact topics including:

• Trading and risk optimisation
• Pricing and model review
• Quant and trading platform build-out
• Portfolio and volatility analytics
• Front-office transformation initiatives

I combine strong quantitative expertise with practical front-office execution and a delivery-oriented mindset.

  • French

    Native or bilingual

  • English

    Native or bilingual

Can work on-site
Paris (up to 50km)

Experience

  • Morgan Stanley
    Institutional Equity Derivative
    December 2023 - Today (2 years and 6 months)
    Paris, France
    Market Making Managing a team of strats
    • • Design of global alpha research framework for equity derivative – Automated Market Making and Flow. Working with strats, trading and technology teams
    • • Responsible for the research and design of optimal hedging strategies, working in conjunction with trading and developers, designing the pipelines from research to production
    • • Volatility CRB project: reflection and design of the building blocks in relation to the alpha and hedging strategies above
  • Natixis SA
    Market Risk Division – Risk Analytics
    March 2017 - December 2023 (6 years and 9 months)
    Paris, France
    Reporting line to the Global Head of Quants & CRO – Managed a team of quants
    • • Global simulation of Trading and Banking book evolution – margin calls simulator using deep learning proxy pricing
    • • Complex structured products books and hedging policy advisory on Equity Derivative (Autocallable), Fixed Income (Formosa Bonds Spread Options) and FX (digital options and Range accrual)
    • • Auto callable fast pricing in LSV models using neural networks
    • • Design of a reverse stress test framework and fast pricing trading strategy simulator machine learning based
    • • Liaison with Regulators (ECB, JST)
  • Webb Traders
    Head of Quantitative Trading & Research – HF trading Delta One, Volatility & Stat Arbitrage
    January 2015 - February 2017 (2 years and 1 month)
    Amsterdam, Netherlands
    Reporting line to the CEO – Managed a team of quant traders
    • • Design, backtest and trading of Delta One & Volatility Market Making strategies (Basket, Future, on Euro, US Asian Indices & options)
    • • Management of a team of quants and IT quants, liaising with Risk & Compliance
    • • Implementation of delta One Future systematic trading strategies using Support Vector Machines (SVM)
    • • Development of machine learning based algorithms to exploit microstructure
Check out Boris's experience

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Education

  • DEA, Analysis and Economic Policies
    Ecole Normale Supérieure
    1995
    DEA, Analysis and Economic Policies
  • DEA, Probability and Finance
    El Karoui Paris VI
    1994
    DEA, Probability and Finance
Check out Boris's education

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