I'm Thibaud, from Paris. MSc Student @ Télécom SudParis, interested in energy commodities trading, math, machine learning and finance.
A generic, vectorized Monte Carlo option pricing engine in Python, built around a strict separation of concerns between stochastic dynamics, discretization schemes, and payoff contracts.
- Stochastic dynamics: Geometric Brownian Motion, Heston (stochastic volatility, correlated via Cholesky decomposition)
- Discretization schemes: Euler-Maruyama, Milstein
- Payoff contracts: European, Asian (path-average), and two path-dependent autocallable barrier structures (fixed double-barrier knockout, adaptive two-observation-window barrier)
- Pricer: vectorized Monte Carlo estimator with standard error reporting
- Fully tested: convergence to closed-form solutions, martingale property, Feller condition, put-call parity, deterministic edge-case validation on hand-built paths
Check it out → stochastix
Quantitative Research & Machine Learning in Energy Trading:
- Energy commodities — Power, Natural Gas, Renewables
- Option theory and volatility modelling
- Systematic trading strategies
Hobbies:
- Working out
- Golfing
- Bouldering
And I also am a former WCA (World Cube Association) European Record Holder in the Square-1 event (single time record of 5.17 seconds) !
Fun fact: It's still the current French National Record, and it's been standing since 2 675 days (as of July, 5th 2026).
Check my WCA profile out here !