I work as a quantitative analyst in interest rate and hybrid research team of CA-CIB.
I keep working in academic research area.
You can find my CV here (French version here). Last update: 1st January 2013. 

Research interests

• Interest rate modelling

• Longevity modelling and population dynamic theory

• Stochastic volatility models for equity (Wishart processes,..)

• Insurance-linked structuring

PhD Thesis under the supervision of Nicole El Karoui

        H. Bensusan : Risques de Taux et de Longévité : Modélisation Dynamique et Applications aux Produits Dérivés et à l’Assurance-vie. 
        PhD dissertation, December 22th 2010  [Abstract] [Slides]

Publications

• A. Benabid,  H. Bensusan, N. El Karoui : Wishart Stochastic Volatility: Asymptotic Smile and Numerical Framework, Journal of computational Finance, 2008. [Abstract]

• P. Barrieu, H. Bensusan, N. El Karoui, C. Hillairet, S. Loisel, C. Ravanelli, Y. Salhi :  Understanding, Modelling and Managing Longevity Risk: Key Issues and Main Challenge, Scandinavian Actuarial Journal, 2009.

• H. Bensusan, Risque de taux et de longévité : Modélisation Dynamique et Applications aux produits dérivés et à l'assurance-vie, dissertation, 2011 [Abstract] [Slides]

• H. Bensusan: Microscopic Longevity modeling and its practical applications, SCOR Papers, 2012

• H. Bensusan, N. El Karoui, S. Loisel and Y. Salhi : Partial Splitting of Longevity and Financial Risks: The longevity Nominal choosing Swaptions, Journal of Risk and Insurance, Journal of Risk and Insurance, 2013

Awards

• Actuarial prize for PhD thesis, France, 2011

Duties and Professional activities

• Front Office Quantitative Analyst in Interest rate and Hybrid Research Team of CA-CIB

• Member of Longevity Group at École Polytechnique (Chair of Derivatives of the Future) associated to P. Barrieu, N. El Karoui, C. Hillairet, S. Loisel, Y. Salhi 

• Member of the  "Modélisation pour l'évolution du vivant" Group (CMAP, École Polytechnique),

• Member of the "Modèles stochastiques en finance" Group (CMAP, École Polytechnique),

Courses 

• Practical sessions of N. El Karoui course in Master M2 "Probabilité & Finance" - Université Paris 6 / Ecole Polytechnique
  

         - Introduction to Black & Scholes (Greeks, PDE, Tracking error), Barrier options (Symmetry formula, Pricing, Hedge)  [TD1.pdf]

         - Local volatility models (Dupire volatility, Dual PDE, Implied volatility/Local Volatility), Asian options (Pricing, Numerical scheme)  [TD2.pdf]

         - Interest rate models (Vasicek, HJM, BGM), Change of Numeraire (Risk neutral, Forward and Level probability measures), Convexity. [TD3.pdf]

         - Stochastic volatility models, Affine models (Fourier transform & Riccati equations, FFT pricing) [TD4.pdf]

         - FX modelling (Spot and Forward exchange rates, Domestic/Foreign density) and FX products (Swap Quanto), Markov Functional  [TD5.pdf]

I participated in

• March 2011, Paris (France): Workshop on Longevity Risk, Institut Louis Bachelier [Slides]
• February 2011, Paris (France): AXA conference : "Longevity and Pension Funds", AXA institute [Slides]
• November 2010, Paris (France): Forum international : "Les sociétés vieillissantes sont-elles condamnées ?", Hôtel des invalides [Slides]
• August 2010, Jouy en Josas (France): European Summer School in Financial Mathematics, HEC Campus
• July 2010, Paris (France): Journées des chaires, Institut Louis Bachelier [Slides]
• March 2010, Paris (France): Groupe de Travail "Modèles stochastiques en finance", École Polytechnique [Slides]
• November 2009, Paris (France): Groupe de travail "Probabilités Numériques et Finance", Université Paris 6 [Slides]
• October 2009, Paris (France): Groupe de travail "Modélisation pour l'évolution du vivant", École Polytechnique [Slides]
• August 2009, Jouy en Josas (France): European Summer School in Financial Mathematics, HEC Campus
• September 2008, Dourdan (France): European Summer School in Financial Mathematics, VVF of Dourdan
• July 2008, Vancouver (Canada): Summer School in Perceiving, measuring and managing risk : illiquidity, long-term risk, natural ressources, British Columbia University
• June 2008, Paris (France): Postgraduate Open Day, École Polytechnique [Slides]