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Luc Faucheux, PhD
  • Algorithmic trading
  • Bankruptcy
  • Commodities
  • Derivatives
  • Fixed income derivatives
  • Risk management
  • Trading

Luc Faucheux, PhD

Luc Faucheux received his PhD in Physics from Princeton University, mostly focusing on the interplay between stochastics and deterministic forces. His thesis work included the first experimental optical thermal ratchet. Luc received his Master’s in Statistical Physics from the Ecole Normale Supérieure in Lyon, France.
For the next 25 years or so, Luc held various positions in quantitative research, trading, and management on Wall Street, mostly focused on fixed income derivatives, both on the sell-side and buy-side. Luc managed the USD rates option book at Citibank and was Head of USD rates trading at UBS.
More recently, Luc was Head of Macro Trading for Natixis in the Americas covering FX, rates, and commodities. In 2021 Luc joined SparkCognition, an AI start-up, applying Deep Learning to the fields of energy production and aviation, finance, and cybersecurity.
Up until 2021, Luc was teaching Global Capital Markets at the Dolan School of Business in Fairfield, CT before moving to Miami, FL where he is currently a lecturer at the Herbert School of Business.
Luc has had extensive experience as an expert witness, in particular in cases related to Citibank and the Lehman Brothers bankruptcy.

Industry Experience
Areas of Expertise
Registrations and Memberships

Industry Experience

University of Miami



Head of Market Research and Trading Strategies

Fairfield University

Adjunct Professor


Head of Macro Trading America



Marto Capital

Head of Risk Management, Portfolio Construction

UBS/ Stamford

Global Co-Head of Trading

2013 - 2016

Head of USD Trading

2010 - 2012

Co-Head USD Trading

2011 - 2012

Head of USD Non-Linear trading

2010 - 2011

Lehman brothers, Lehman estate/ New York, NY

Global Head of Rates, FX and Equity

2008 - 2010

Head of USD Rates Exotics

2007 - 2008

Citibank/ New York, NY

Head of USD Exotics and Medium Term Notes Structuring

2005 - 2007

USD options Trader

2004 - 2005

Fixed Income Quantitative Research

2002 - 2004

CDC Financial products/ New York, NY

Senior Derivative Trader

Mizuho Capital Markets/ New York, NY

Senior USD Option Trader

2000 - 2001

Head USD Option Trader

1997 - 2000

Officer of Research and Development

1994 - 1995


Rockefeller University

Post-Doctoral Research Fellow

Princeton University

PhD Statistical & experimental physics


MA Statistical & experimental physics


Ecole Normale Supérieure de Lyon

Agrégation Physics


MS Statistical Physics


Lycée Louis-Le-Grand

Classes Préparatoires Scientifiques

Areas of Expertise

Interest rate derivatives

Fixed-income, yield curves

Structured notes, callable debt issuance

Option modeling, option pricing

Exotic options

Complex securities

Option exercise / settlement

Swaps, futures, ETFs

Muni swaps


Trading, algorithmic trading

Machine learning, automated AI trading

Portfolio management

Portfolio management

Risk management

Fund allocation

Systematic global macro



Asset unwinding

Bilateral & multilateral compression

Derivative bankruptcy workout

Registrations and Memberships



Series 7, 24, 63, Securities Principal (lapsed)


LUC FAUCHEUX, G STOLOVITZKY, AJ LIBCHABER (1995)/ “Periodic forcing of a Brownian particle”

Physical Rev. E, 1995, 51(6)

LUC FAUCHEUX, AJ LIBCHABER (1994)/ “Confined Brownian motion”

Physical Rev. E, 1994, 49(6)

LUC FAUCHEUX, AJ LIBCHABER (1995)/ “Selection of Brownian particles”

J. Chem. Soc. Faraday Trans., 1995, 91(18)

LUC FAUCHEUX, LS BOURDIEU, PD KAPLAN, AJ LIBCHABER (1995)/ “Optical thermal ratchet”

Physical Review Letters, 1995, 74(9)

Expert Keywords

  • alpha generation
  • artificial intelligence (AI)
  • asset unwinding
  • bilateral and multilateral compression expert
  • bonds
  • callable debt issuance
  • complex securities
  • cybersecurity
  • delta
  • derivative bankruptcy workout
  • derivatives
  • equity swaps
  • Equity-Linked Swap (ELS)
  • exotics
  • FINRA Series 24 Principal
  • fixed income
  • foreign exchange
  • fund allocation
  • futures & options
  • FX
  • FX forwards
  • FX options
  • gamma
  • global capital markets
  • global macro
  • Greeks
  • hedge funds
  • hedging
  • interest rate swaps
  • listed derivatives
  • machine learning (ML)
  • market making
  • market research
  • Muni swaps
  • option exercise
  • option pricing
  • option settlement
  • portfolio construction
  • portfolio management
  • put-call parity
  • quantitative research
  • risk management
  • structured notes Issuance
  • structured products
  • structuring
  • swaps
  • trader
  • trading
  • trading manager
  • trading strategies
  • treasury bond futures
  • USD Medium Term Notes
  • USD rates options
  • volatility
  • yield curve
  • yield curve construction

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