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Ennaciri.de


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Mr. Ennaciri has expertise in complex data analysis and financial modeling. He is interested in complex financial systems and modeling techniques. He works with cross-cultural teams

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Education


Bachelor of Science

(Mathematical Finance)

Constant Proportion Portfolio Insurance


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Master of Science

(Mathematical Finance)

Heath-Jarrow-Morton, option price surfaces, Lévy processes


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Technical Skills


Microsoft Office

Microsoft Office Excel

Microsoft Office Word

Microsoft Office Outlook

Microsoft Office PowerPoint

Webdesign

$\LaTeX$

HTML

Programing

MATLAB/Octave

R-Statistical Computing

HyperText Markup Language-HTML

Unix-Shell

Bash -- Everyday Ubuntu life

Work Experience


Actuarial Analyst - Risk & Finance

Mercer Deutschland GmbH

Actuarial Analyst - Risk & Finance

Mercer (Portugal)

Teaching

Lecturer

Modeling Market Risk


Value at Risk (VaR)

Monte Carlo historical simulation

Monte Carlo simulation

variance-covariance (VCV)

Sensitivity Analysis

Interest rate risk

Foreign exchange risk

Financial Modelling


Discrete-Time Model

Risk-Neutral Pricing

Multi-Period Models

The Cox-Ross-Rubinstein

Martingales and Conditional Expectation

Option Pricing in Models with Jumps

Kou's Double-Exponential Jump-Diffusion Model

Merton’s Jump-Diffusion Model

Risk-Neutral Modelling with Exponential Lévy Processes

Brownian Motion and Stochastic Calculus

Brownian Motion

Wiener Stochastic Integral

Itȏ Stochastic Integral

Deterministic Calculus

Stochastic Calculus

Geometric Brownian Motion

Interest Rate Models

Vasicek Model

Hull-White Model

Libor Markt Model

The Heath-Jarrow-Morton (HJM) Framework