Extensive knowledge of derivative pricing and related numerical techniques with experience in most asset classes: interest rate derivatives, equity derivatives, forex and credit derivatives. Ability to produce production quality code and detailled analysis on pricing models. Enthusiastic trainer for staffs of all levels. Strong ethics, good problem solving skills, and detail oriented. Technologically savvy, proficient in software life cycle, continuous delivery and deployment, object-oriented design, web applications, and database design.

Email: bertrand.lenezet@gmail.com

Work Experience

OCBC Bank2014 - Present

Vice President

Senior Quantitative Analyst - Model Validation

  • Model development, validation and review - Pricing and Greeks for Interest Rate / Equity / Credit and FX derivatives
  • Internal analytic library extension (Payoff framework, Testing automation, Unit testing)
  • Equity Accumulator pricing implementation and validation using Local Volatility in Finite difference (PDE 1D+)
  • Libor Market Model design, implementation and validation (Calibration and pricing using Monte Carlo)
  • Hull-White 1F/2F implementation (Calibration and pricing using finite difference)
  • Equity Local Volatility implementation (Calibration and Pricing using Monte Carlo and Finite Difference)
  • Benchmark Credit Curve construction from Single-Name CDS quotes : methodology, prototype, development, validation and implementation
  • Equity Volatility Surface construction for illiquid markets using Maximum Entropy Distribution approach : methodology, prototype, development

OCBC Bank2010 - 2013

Vice President

Senior Business Analyst

  • Development of bespoke systems for Trading teams (FX volatility management, Auto-Quote engine for Equity Structured Products) and Market Data teams (prices snapping, scrubbing, publishing and reporting for all Asset Classes)

ING Wholesale Bank (Singapore)2008 - 2010

Implementation (Murex 3.1 and ARTS 7.3) and migration (Summit Classic to Summit FT) for FX Options, Repos and Interest Rate Derivatives

Credit Agricole CIB (Singapore / Paris / Frankfurt am Main)2007 - 2008

Lead / Software developer

INRIA (Paris)2001 - 2003

Software Developer


Certificate in Quantititative Finance (Distance learning)2013 - 2014

Quantititative Finance

ISEP (Paris)2009 - 2013

MSc. in Computer Science



    • C#
    • C++
    • R
    • Python
    • Java
    • Scala
    • Javascript

    • Apache Spark
    • Hadoop (HDFS / MapReduce)

    • MongoDB
    • Cassandra
    • MySQL / MariaDB
    • Oracle

    • scikit-learn
    • H2O
    • keras


  • English Fluent

  • German Fluent

  • French Native Speaker