Fabien Micallef

I'm

About

My specialty lies in developing customized solutions to address quantitative challenges, utilizing state-of-the-art mathematical techniques. Throughout my journey, I have successfully resolved a diverse range of issues spanning scientific simulation, computer vision, and quantitative finance.

Portfolio

All
Finance
App
R&D
Creative

$15B AUM Hedge Fund

$3B AUM Hedge Fund

Photogrammetry Software suite for VFX

Immersive apps

Pioneering Reality Capture

Groundbreaking Virtual Reality Experience

Immersive projects

Reality Capture for commercials

Resume

Summary

Fabien Micallef

Pricing Fixed Income products.

Former R&D Engineer and entrepreneur in the creative industry.

Design innovative mathematical frameworks to tackle complex challenges in Quantitative Finance and Computer Vision with a strong focus on inverse problems, such as estimation, calibration, identification, etc.

Deep understanding of quantitative analysis techniques and implementation of many machine learning algorithms before their mainstream adoption.

Education

Master's degree in Computer Science & Control Theory

2000 - 2002

Ecole Nationale Supérieure des Mines de Paris, France

Master's degree in Mathematics & Physics

1998 - 2000

Ecole Nationale Supérieure des Mines de Saint-Etienne, France

Professional Experience

Quantitative analyst

Oct 2020 - June 2025

Symmetry Investments, London

Pricing a wide range of fixed income products in analytics C# library.

Consultant

May 2019 - Oct 2020

Freelance, London

Systematic quantitative strategy at hedge fund GlenPoint Capital.
Sensor fusion of signals with bayesian filters for an indoor mixed reality positioning system in C# for the Science and Natural History museums.
Advised on technology two of the largest private art galleries in the world.

Research engineer, co-founder

May 2014 - May 2019

Alter Equals, London

Build and manage a service business in the creative industry
The team creates complete interactive experiences (mobile app, 3D web experience, VR app ...) or deal with the photorealistic asset creation depending on clients requirements.

Research engineer, co-founder

Aug 2008 - May 2019

Banzai Pipeline, London

Creation of a software suite for the 3D capture of movie sets for Visual Effects: Image processing, Camera calibration (Photos, Lidar), 3D modeling, texturing