Marcos C. S. Carreira, a PhD candidate at École Polytechnique, is an experienced quantitative finance practitioner with more than 20 years’ experience working in Brazilian capital markets. and the co-author of the book:
Brazilian Derivatives and Securities: Pricing and Risk Management of FX and Interest-Rate Portfolios for Local and Global Markets (Palgrave-McMillan, Feb-2016).
He is working now on:
- Circuit breakers
- Information percolation
- Optimal regulation
He was Derivative Products Officer and later Technical Modeling Officer at BM&FBovespa, where he contributed to risk management, derivatives pricing, exchange fees, microstructure and HFT functions. At Credit Suisse Brazil, he was a Managing Director in charge of the FX and IR Options desk, after being the Risk Manager responsible for Market, Counterparty and Liquidity Risks. He started his career in Finance/Product Control at Banco de Investimentos Garantia.
Marcos holds an engineering degree from Instituto Tecnológico de Aeronáutica (ITA) and a Masters in Economics at Insper. Marcos also lectured for the MECAI Professional Masters course in Mathematical Finance at ICMC-USP and is a regular speaker at quantitative finance conferences.
Selected presentations and pre-prints:
- Stock Indices – Rebalancing, Intraday Dynamics, Liquidity Research in Options, Dec-2013
- Ticks, Coins and Traffic Lights – How the choices of tick size and fee schedules can define the market structure IMPA, Apr-2014
- Smooth Operator – Interpolating OIS rates in Brazil Global Derivatives, May-2016
- Decompondo o efeito índice no Ibovespa em componentes de demanda e de informação Masters’ thesis, Insper, Dec-2016
- Microstructure Of A Central Limit Order Book In FX Futures Global Derivatives, May-2017
- Learning Interest Rate Interpolation Research in Options, Nov-2018 and QuantMinds, May-2019
- The Right Kind of Volatility Research in Options, Nov-2020
- Exponential Kernels with Latency in Hawkes Processes: Applications in Finance (2021)