Michael Pedneault
Quantitative Analyst VP - Flow & Exotic FIC Pricing Models at Societe Generale Corporate and Investment Banking - SGCIB | New York City Metropolitan Area
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Michael Pedneault serves as a Vice President in the Quantitative Analyst team at Société Générale Corporate and Investment Banking (SGCIB), where he specializes in Flow and Exotic Fixed Income (FIC) Pricing Models. With a robust background in quantitative finance, Michael's expertise lies primarily in the realm of interest rates, focusing on both delta one and volatility products. His role encompasses the intricate construction and analysis of rates curves and volatility surfaces, employing advanced techniques such as interpolation and extrapolation to ensure precision in model outputs.
One of Michael's key projects, the Curve Fitter, exemplifies his analytical prowess. This in-house stripping engine efficiently calculates Libor forwards and OIS discount factors across various CSA and funding schemes, utilizing a range of inputs including deposits, futures, and swaps. His work not only enhances the accuracy of pricing models but also facilitates comprehensive arbitrage checks and model calibration, ensuring that the pricing mechanisms align with market realities.
In addition to his contributions to vanilla pricing through closed-form representations of caplets and floorlets, Michael leverages his skills in Monte Carlo simulation, probability theory, and numerical analysis to drive innovation within the team. His proficiency in programming languages such as Matlab and his adeptness in object-oriented programming (OOP) further bolster his ability to develop sophisticated financial models. As a thought leader in the field, Michael continues to push the boundaries of quantitative analysis, delivering insights that are critical for effective risk management and strategic decision-making in the fast-paced world of investment banking.
Quantitative Analyst VP - Flow & Exotic FIC Pricing Models at Societe Generale Corporate and Investment Banking - SGCIB in May 2021 to Present
Quantitative Analyst AVP - Rates Pricing Models at Citi in September 2018 to May 2021
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New Jersey Institute of Technology, Doctor of Philosophy - PhD, September 2026
Rutgers University, Doctor of Philosophy - PhD, September 2026
HEC Montréal, Master of Science - MS, September 2026
University of Valencia, European Graduate in Business Administration, September 2026
Université du Québec en Outaouais, September 2026
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Stochastic Calculus
Monte Carlo Simulation
Probability Theory
Numerical Analysis
Programming
Simulations
Research
Statistics
Object-Oriented Programming (OOP)
Matlab
LaTeX
Python (Programming Language)
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Discover more about Societe Generale Corporate and Investment Banking - SGCIBWhat is Michael Pedneault email address?
Email Michael Pedneault at [email protected] and [email protected]. This email is the most updated Michael Pedneault's email found in 2026.
What is Michael Pedneault phone number?
Michael Pedneault phone number is 862 273 1461.
How to contact Michael Pedneault?
To contact Michael Pedneault send an email to [email protected] or [email protected]. If you want to call Michael Pedneault try calling on 862 273 1461. (updated on September 03, 2024)
What company does Michael Pedneault work for?
Michael Pedneault works for Societe Generale Corporate and Investment Banking - SGCIB
What is Michael Pedneault's role at Societe Generale Corporate and Investment Banking - SGCIB?
Michael Pedneault is Quantitative Analyst VP - Flow & Exotic FIC Pricing Models
What industry does Michael Pedneault work in?
Michael Pedneault works in the Banking industry.
Michael Pedneault Email Addresses
Michael Pedneault Phone Numbers
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