Quantitative Developer Resume New York, NY - Hire IT People

OBJECTIVE:

Leverage combination of my software development experience and finance experience

SUMMARY:

Experience of software development in several financial companies
Stochastic differential equations, Monte Carlo simulation, optimization, numerical methods and econometrics
Bond, Swap, MBS, Options, Futures, Portfolio Management and Interest rate derivatives

TECHNICAL SKILLS:

Programming Languages: C++, Visual C++/MFC, C#, Perl, Matlab, Java/J2EE, and SAS

Internet Networking: TCP/IP, XML and ASP

Methodology: OOP, UML, COM/DCOM, ATL, ODBC, Entity Relationship Modeling and CORBA

Database: Oracle, SQL Server, Access and PL/SQL

Operating Systems: XP/NT/2000, Linux, and Unix/X Windows

WORK EXPERIENCE:

Confidential, New York, NY

Quantitative Developer

Responsibilities:

Design developed, test and document C++ program for Treasury lock valuation.
Design developed, test and document C++ program for FX charge and Greek calculation.
Design developed, test and document C++ program for CSA part of margin calculation for non - centrally cleared derivatives to satisfy the new regulatory requirements.
Design developed, test and document C# program for payment process.

Confidential

Quantitative Developer

Responsibilities:

Design, develop and test C++ program and use Oracle for VaR calculation and aggregation and related statistics. XML files are used as inputs and outputs.
Design, develop and test Java program and Oracle for Gabillon model calibration and Monte Carlo simulation for credit risk.
Design, develop and test C++/C# program for CDX and bond trading.

Confidential

Quantitative Developer

Responsibilities:

Designed, developed and tested C#, Java and C++ program for valuation and market risk analysis, using Intex API and FinCad API, for the project. Completed major tasks for pricing of auction rate securities and on the run treasury futures. Maintained the project of Specific Risk/Monte-Carlo simulation based VaR Calculation.

Confidential

Quantitative Developer

Responsibilities:

Design, develop and test C++ program for option, including European Option, American Option, Asian Option and Swaption, valuation program used in Commodity trading system - Endur/OpenLink.

Confidential

Financial Engineer/C++ Developer

Responsibilities:

Designed, implemented and tested ValuationNet Web Services Libraries, using C++, STL, Java, Intex and Summit libraries. Worked with modelers and business analyst to make sure the results are calculated correctly. Integrate new models into the production platform after thorough testing under different scenarios. Resolved issues for fixed income instruments emanating from trading desks and the nightly portfolio valuation process. Wrote Perl script for memory usage test.

Confidential, Calabasas, CA

Quantitative Developer

Responsibilities:

Designed, implemented and tested program, using C++, MFC, STL and C#, for prepayment models,default models, REMIC eligibility models, delinquent models and cashflow engine. Used design patterns, COM, templates class and .NET. Supported bond and MBS trading. Worked with modelers to make sure the results are alculated correctly. Integrate new models into the production platform after thorough testing under different scenarios such as interest rate and HPI. Resolved issues from production. Used Visual Studio as development tool. Wrote SAS program for prototype of models.

Confidential

Software Engineer

Responsibilities: