Quantitative engineering · Paris

Lucas LebihanQuantitative engineer

I build pricing and risk tools for equity derivatives.

ETFs, model calibration, performance, and production reliability.

Explore Option Model Lab ↗Download my résumé Contact me

Flagship project · interactive laboratory

Option Model Lab

An interactive lab for learning, testing, and comparing five families of pricing models.

Everyday calculations run directly in the browser. The more expensive Heston calibration uses a bounded API and keeps a local fallback.

Learn · Explore · Calibrate · Compare
Pricing, Greeks, smiles, and surfaces
Documented quantitative conventions
TypeScript/Python numerical tests and CI

Open the laboratory ↗Read the source code ↗

Educational project · not a trading system

MODEL SET / 05

01Black–Scholes
02Heston
03Merton JD
04SABR
05Local Vol

Execution boundaryFast interactions → browser · Heston calibration → bounded API + Web Worker fallback

Track record

Selected experience

01Sep 2024 — Present

Quantitative Engineer — Equities, ETFs & Derivatives

BNP Paribas · Paris, France

Current position

Front-office pricing & risk analytics

Built Python TRF pricing libraries for EU/US equity indices, covering dividend adjustments and corporate actions
Engineered cross-asset delta-exposure pipelines across ETFs, futures, swaps, and equity options to normalize Greeks across books

System architecture & performance

Built a high-availability FX service for daily Mark-to-Market PnL, with sub-20 ms service latency and active failover
Refactored dividend aggregation from quadratic to linear complexity, cutting runtime by 50 % and memory usage by 95 %

Quantitative research & model validation

Built index-basket rebalancing and ETF reconciliation routines to preserve hedge integrity and support tracking-error analysis

02Mar 2021 — Sep 2023

Software Engineer — MX.3 Platform

Murex · Paris, France

Trading platform & API engineering

Delivered low-latency REST APIs for order routing, position management, and portfolio synchronization through FIX
Integrated new and legacy MX.3 services through event-driven architecture with explicit data-consistency boundaries

System performance & reliability

Built a concurrent cache to improve API throughput and p99 latency under peak test load
Standardized CI/CD and Liquibase schema versioning across Oracle, Sybase, and PostgreSQL

More work

Selected projects

TickerFlow

Local Python pipeline for ingesting, validating, and querying market time series. OHLCV data is normalized, checked, stored as partitioned Parquet, and exposed through FastAPI.

Source code ↗

DeltaCore

Python pricing and risk backend for European options: Black-Scholes, Bachelier, Greeks, implied volatility, Monte Carlo, scenario PnL, VaR, and Expected Shortfall.

Source code ↗

Expertise

The areas I work in most

From quantitative models to the systems that run them in production.

01
Quantitative finance
Equity-derivatives pricing, delta exposure, calibration, implied volatility, Monte Carlo, and model risk.
02
Production engineering
Low-latency APIs, event-driven systems, distributed computation, observability, and reproducible delivery.
03
Performance & reliability
Profiling, complexity reduction, memory control, numerical validation, and explicit operating limits.

Writing

Technical notes

Quantitative modeling, software engineering, and capital markets.

All notes →

Browser, Worker, or API? Drawing Option Model Lab's Compute Boundary

How measurements—not model prestige—decided which pricing workflows stay local and why only Heston calibration crosses the network.

28 August 2026

ETF Creation and Redemption: What Actually Keeps Price Close to NAV

A practical look at the two markets behind an ETF, the role of authorised participants, and the costs that can leave a premium or discount open.

28 March 2026

About

Software engineer turned quant

I studied computer engineering at Ensimag, then quantitative finance at IAE Grenoble. That combination still shapes how I work: understand the model first, then take care with its implementation.

I started at Murex on the MX.3 platform. At BNP Paribas, I now work on pricing libraries, cross-asset exposures, and systems where computation time matters.

Education

M.Sc. in Quantitative FinanceIAE Grenoble — Université Grenoble Alpes
2020 — 2021
M.Eng. in Computer EngineeringEnsimag — Grenoble INP
2018 — 2021
AMF CertificationAutorité des marchés financiers
Apr 2025

Contact

Interested in working together?

Have a question about my work or a role in mind? Send me a note directly.

Send an emailcontact@lucaslebihan.dev LinkedInlinkedin.com/in/lucascjlebihan ↗GitHubgithub.com/HtFilia ↗