SUMMARY

• 7 years IT and finance experience working as a quantitative C++ developer/analyst in the area of equity, financial derivative and fixed income securities.
• Strong analytical and problem solving skills in Object - oriented Design, Object-oriented programming, capital markets, and Strong quantitative and financial modeling skills such as binominal tree model, Monte Carlo simulation, FDM in solving PDE for financial derivatives.
• Strong knowledge in statistics, mathematics and finance, such as probability and statistics, stochastic process, Ito integral, Ito lemma, martingale measures, financial optimization, multiple linear regression, numerical analysis, financial accounting, corporate finance, arbitrage free and risk neutral pricing, Black Scholes model and modern portfolio theory.
• Familiar with capital markets, risk analysis, and financial products, such as plain vanilla bonds, MBS, callable bonds, convertible bonds, common stocks, American option, European option, exotic options, forwards/futures, swaps, interest rate derivatives, credit derivatives.
• Experience in long term projects in C/C++ on Windows and UNIX environments and being fluent in using Excel VBA.
• Knowledge, experience, and expertise in SAS, R, XML.
• Strong experience in SQL server database administration/development using MS SQL 2008/2012, Oracle, and DB2.
• Expert in writing stored procedures, triggers, cursors, tables, views, create clustered/non-cluster indexes, joins statements SQL queries.
• Attained strong technical skills, familiarity and through understanding of concepts involving computer architecture, software integration, data structure and algorithm design, and UNIX system programming.
• Technical Supported broker dealers, portfolio managers and asset managers.
• Proven ability to work under pressure, develop strategies to meet customer needs.
• Reviewed specification, analyzed and designed financial business integration, experienced with excellent problem solving and troubleshooting skills, good understanding of file structures.

TECHNICAL SKILLS

• C/C++
• SQL
• XML
• STL
• DLL
• Sockets
• TCP/IP
• UDP
• Multicast
• Multithreading
• Microsoft Office Suites (WORD
• EXCEL with VBA
• POWERPOINT)
• MATLAB
• SAS
• R
• MS SQL server
• Oracle
• DB2
• PERL
• Python
• WINDOWS
• UNIX
• VBA

PROFESSIONAL EXPERIENCE

Confidential, NYC, New York

Quantitative C++ Analyst

Responsibilities:

• Analyzed and validated business and functional requirements involving advanced modeling and mathematical concepts
• Built and implemented high-performance financial applications
• Designed test strategies for software implementations
• Implemented binomial-tree model for derivative’s pricing.
• Generated the stochastic stock price path following Brownian Motion and doing convergence test.
• Computed the American option and European option value by Monte Carlo Method.
• Updated the determined volatility model to floating one using GARCH model.
• Implemented finite difference method for solving the PDE of derivatives.
• Computed the price and Greeks in capital markets for European options and American options in C++, by using explicit method, fully implicit method and Crank-Nicolson FDM method.
• Built specific interest rate lattice based on BDT model, and HJM model.
• Implemented certain scenarios analysis of bonds.
• Accessed, manipulated market data and calibrated interest rate model to an observed set of bond prices.
• Predicted model prices for certain bonds after getting above calibration done.
• Provided the prices and risk for interest rate derivatives.
• Built prepayment rate risk model for mortgage-backed securities.
• Wrote shell and Python for running and testing the applications.
• Wrote stored procedures/triggers, programs for database operations in Oracle

Environment: s: C++, Oracle, Excel, MATLAB, and Python

Confidential, Chicago, IL

Quantitative C++ developer

Responsibilities:

• Extracted parsimonious factors from short term and long term spot rates using Principle Components Analysis.
• Represented the sample points in the k-dimensional cube with a uniform distribution based on Quasi Monte Carlo and Monte Carlo numbers.
• Transformed the random numbers with uniform distribution into a k-dimensional vector with multivariate Gaussian distribution, and simulated the spot rates using the parsimonious factors.
• Simulated the value of the portfolio, got the distribution of the portfolio value, and computed the VaR.
• Worked on capital markets portfolio optimization from the securities pool, such as select 100 stocks out of the total stocks pool.
• Created optimal portfolios by solving mean-variance problems, sharpe-ratio problems, economic-factor model problems, risk-aversion factor lamda problems.
• Worked on trade execution and dynamic programming to introduce market impact into the numerical model and minimize that market impact in the model
• Performed rebalancing portfolios over trading period.
• Implemented Monte Carlo and quasi Monte Carlo simulation method in C++.
• Priced Asian options by using Monte Carlo method and quasi Monte Carlo method with antithetic variates technique.
• Solved linear programming problems and quadratic programming problems by the tools of C++, Excel solver.
• Designed threads and synchronization architectures.

Environment: s: C++, Excel VBA, Oracle, and Python

Confidential, New York City, New York

Quantitative C++ developer

Responsibilities:

• Benchmarked capital markets portfolio management with the Mean-TEV boundary.
• Constrained Mean-TEV boundary by the VaR line.
• Extracted S&P 500 stock time series prices data in capital markets from IVY database by C++, ODBC and Oracle.
• Found correlated stock pairs within same sector by running the time series prices data in SAS.
• Traded all stock pairs got above over the interface and calculated portfolio’s total profit or loss.
• Read time series prices data from Stock, Option and Option Description data files
• Computed annualized volatility for the stock.
• Used this annualized volatility to compute Black-Scholes option prices for each underlying stocks, getting another time series for model option prices.
• Compared the intrinsic value of the option from BS model to the market option prices as given by the data in financial database.
• Computed rolling correlation between model option price and market option price using 1 day, 1 week and 2 weeks as intervals of rolling window.
• Used the model price to determine whether to buy or sell and calculated the profit or loss of a strategy that trades the option based on the model.
• Built robust analytic framework around Monte Carlo simulation based Value-at-Risk analysis.
• Developed stress tests & scenario analysis of equity and its derivatives.
• Performed risk/return analysis of individual securities.
• Designed business objects library for the application and implementation in C++.

Environment: s: C++, Oracle, SAS, Excel.

Confidential, LA, CA

Jr C++ developer

Responsibilities:

• Developed financial application using Client/Server Architecture.
• Worked on development of various features for the functionalities Converter, Load, Distribution and Match, Reports.
• Worked on Server software Development usingC++with Standard Template Library(STL).
• Worked with agile development methodologies.
• Wrote shell and Perl scripts for running and testing the applications.
• Maintained and enhanced data processing applications (C/C++/Windows) collecting, filtering, merging and consolidatingaccounts, transactions and securities information.
• Designed, developed and implemented a new transaction processing algorithm resulting in a drastic increase of the data processing speed.
• Designed, developed and supported a database maintenance program usingC++and Codebase API to enableefficient operations on database compatible data files.
• Developed text processing utilities in C and PERLfordata related issues.
• Wrote stored procedures/triggers, programs for database operations in Oracle

Environment: C, C++, Oracle, PERL

Confidential

C++ Data Specialist

Responsibilities:

• Monitored and enhanced the automated data collection and cleansing infrastructure.
• Searched for and corrected errors in existing historic datasets, and software development to automate this process.
• Worked closely with portfolio managers, IT and Trading Operations.
• Researched on new technologies for improved data management and efficient retrieval.
• Developed software solutions to process historical tick data into manageable formats

Environment: C, C++, SQL