Zeliade Team
Claude MartiniCEO
Claude Martini
Claude Martini
CEO
PhD in applied mathematics, Claude is the CEO of Zeliade Systems. Claude started his career as Quant at Société Générale on Equity derivatives during 4 years and then moved to academia where he co-created the MATHFI project at INRIA, which was the first project focused on mathematical finance at INRIA, and the PREMIA pricing library, in 1998.
Claude then created Zeliade Systems in 2003. Claude has established over the years a very dense network of clients in investment banks, hedge funds and CCPs, and of partners in the academia. Claude is invited on a regular basis in the best research teams in mathematical finance in the academia and talks in prestigious seminars worldwide.
His fields of expertise include volatility models, calibration, model risk and uncertainty, and margin models. Claude has created in 2014 the Zanadu notebook report generation platform which underpins Zeliade model validation business.
Claude has acted as board member of the MIDO council at PSL Dauphine University, member of the scientific council of the PANORISK project, and member of the advisory board of the MSc in Mathematics and Finance at Imperial College London.
Pierre CohortCTO
Pierre Cohort
CTO
PhD in applied mathematics, Pierre is in charge of the Fixed income and Credit Derivatives at Zeliade. Pierre has a twenty year experience in the design and development of financial analytics. He is the head of the Zeliade Quant Framework, a cross-asset calibration and pricing library on derivatives which is used by several hedge funds clients, like BlueCrest, Chenavari, CRC and OGAM. He conducted numerous bespoke development projects in hedge funds covering a large functional scope, from batch production tools to algorithmic trading engines, and production code reviews in major CCPs.
Pierre also conducted many independent valuation and model validation projects in 1st tier banks, hedge funds, and CCPs. In particular, he managed the LCH CDSClear global validation, the Fixed Income and repo validation for LCH SA, the SPAN-2 and OTC IRS IM validations for CME, the NLX options and futures clearing validation for SwapClear (LCH Ltd), and he participated in model validation projects for LCH SA and Ltd, CME, HKEX, Eurex, Six x-clear and KDWP_CCP. His fields of expertise include Interest Rate markets, Credit Derivatives, Monte Carlo methods, Filtered Historical Simulation based VaR/Expected Shortfall, correlation and default modeling.
Ismail LaachirHead of Risk Analytics and Model Validation
Ismail Laachir
Head of Risk Analytics and Model Validation
PhD in financial mathematics, Ismail is in charge of Risk Analytics and Model Validation at Zeliade. He participated in multiple projects in the areas of derivatives pricing, calibration and financial risks.
Ismail managed/participated in several validation projects for LCH SA, LCH Ltd, CME, HKEX OTC Clear, ICE Clear Europe, ICE Clear, SIX x-clear, LME Clear, KDPW_CCP, covering all markets segments: cash and equity, equity derivatives, CDS, interest rates and commos.
Ismail fields of expertise include the analysis of financial data, filtered historical simulations, backtesting, model risk in finance and model validation.
Arianna MignoneQuantitative Risk Analyst
Arianna Mignone
Quantitative Risk Analyst
PhD in financial mathematics, Arianna works at Zeliade where she has been CIFRE PhD student from Ecole Polytechnique from 2020 to 2023. Her research concerns advanced implied volatility modeling for risk management and central clearing and derivatives pricing models. Arianna has already published four articles: one on the calibration of the Gatheral SVI volatility model in an arbitrage-free way, one on a new innovative arbitrage-free parametrization of the eSSVI volatility surface, a third one concerning a weakly arbitrage-free parametrization of smiles in the delta variable, and a fourth one on the sufficient and necessary conditions of no arbitrage for the SSVI model.
Arianna has been involved in model validation projects for CME, ASX, CBOE Clear Europe, SIX x-clear, Eurex, Nasdaq Clearing, HKEX and in calibration and pricing projects for TASE.
Roberta FlenghiQuantitative Risk Analyst
Roberta Flenghi
Quantitative Risk Analyst
Roberta completed her PhD in Probability at Ecole des Ponts (2021-2023), under the supervision of Benjamin Jourdain, and has been working at Zeliade since April 2024. Her research explores the generalization of the Central Limit Theorem, particularly for non-linear functionals of empirical measures of correlated random variables and for the stratified selection mechanism.
Roberta participated in model validation/development projects for BME Clearing, Nasdaq Clearing and TASE.
Paolo AstoneQuantitative Risk Analyst
