Marc is Head of Quantitative Research at OpenGamma.
Marc holds a PhD in Mathematics from the University of Louvain, Belgium. He has 15 years of experience in finance, including management positions in risk management, trading, and quantitative research.
Prior to joining OpenGamma, Marc was in charge of researching and implementing interest rate models as the Global Head of Interest Rate Modeling for the Dexia Group. Previously he held various positions at the Bank for International Settlements. As Deputy Head of Treasury Risk at BIS, he participated in the implementation of a bank-wide trading system and improved the VaR and liquidity methodologies. As the Head of Quantitative Research and Deputy Head of Interest Rate Trading, he was in charge of the option book of BIS; he also oversaw the derivatives trading and money-market activities, and founded the Quantitative Research group in the front office.
Marc’s research focuses on interest rate modeling and risk management. He recently authored the book Interest Rate Modelling in the Multi-Curve Framework, one of the most comprehensive texts on the subject. He also publishes on a regular basis in international finance journals, and is a regular speaker at academic and practitioner conferences. His publications can be found on SSRN and IDEAS.
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