SUMMARY:

• Experienced in manage $6bn in derivative /repo portfolios, comprised of equity, interest rate, currency, and credit positions, both hedge(Variable Anuity) and income seeking, listed and oversee trade execution, derivatives analytics, back office opperations, derivatives agreement negotiations, and contribute to incurance/investment product design .
• Strong experience in trading, pricing, and computing the risk of futures, options and derivatives.
• Designed, developed, and tested trading software applications meeting deadlines and budgets.
• Specified, prototyped, developed, and tested an object - oriented, multiplatform C++ framework containing support to: data structures, common algorithms sockets, threading parallel programming.
• Implemented credit risk models based on Basel I, II and III regulation: sampling data processing; computed loss given default probability, likelihood of default over a particular time horizon, and logistic regressions; validation; back testing and stress testing.
• Hedged and priced FX/Rates options and structured products such as guarantees, annuities, swaps, variance and volatility swaps, total return swaps, swaptions, barrier, binary, and valued market to-market OTC products.
• Implemented machine learning, data mining and searching spanning minimums trees algorithms from scratch.

TECHNICAL SKILLS:

• C++
• Python Pandas
• SciPy
• NumPy
• Scikit-Learn
• Scala
• CUDA
• FPGA
• NI LabVIEW
• Lab
• MATLAB
• S+
• SAS
• R
• XAML
• UNIX
• Linux and Windows
• SQL
• VBA
• Excel
• Intex and Bloomberg

PROFESSIONAL EXPERIENCE:

Confidential

Finance Developer / Consultant

Responsibilities:

• Calculate, analyse and limit exposures across business and minimize capital charges for Basel regulations using Monte Carlo Simulation (XVA).
• Develop forecasting models driven by macro-economic and interest factors.
• Manage team with quantitative, data analytics, and technology skills to work with the bank in leverage predictive models to forecast bank performance under stressed economic scenarios and to balance the trade-off between capital, liquidity and earnings.
• Document and present analytical findings to both technical and non -technical audiences.
• Software development in C++ and Python.
• Database development for Oracle and SQL.
• Front office trading algorithms (Using graphs, priority queue and shortest path).
• Parallel programming in C++ CUDA.

Confidential, New York, NY

Developer / Consultant

Responsibilities:

• Maintain and modify financial programs for proprietary applications libraries. Code, test and troubleshoot financial programs, mostly in UNIX, Windows and Linux, Oracle database and object oriented programming with design patterns and agile.
• Designed and wrote Python and C++ code to create Monte Carlo (XVA), Trees and Partial Differential Equations models.
• Model validation of equity derivatives: vanilla options, variance swaps and stochastic volatility derivatives.
• Wrote C++ code to compute the counterparty credit exposure for swaps and fixed income derivatives.
• Wrote C++ code to compute the price and risk management of fixed income derivatives.
• Designed and wrote object oriented application to sample data, to implement maximum likelihood and logistic regression models (LPDs, PD, LGD and EAD) credit models using python and C++.
• Developed financial applications to compute cash flows of securities such as bonds, swaps, repos, swaptions, caps and floors, total return swaps for trading.
• Designed and wrote code to build the unit interface of searching trades, cash flows and collaterals using directed-acyclic.-graph (DAG) in Python. Agile methodologies were applied.
• Implemented a FPGA routing using multi-weighted graphs, resulting in an architecture-independent and computational efficient methodology.
• Developed SQL queries and designed table schema.
• Unit testing in C++ and Boost test.

Environment: Python, Numpy, Pandas, C++, Oracle, Unix, Windows

Confidential, Stamford, CT

Quantitative Developer / Consultant

Responsibilities:

• Estimates oil and gas volatilities, and the extent to which they have changed, and also compare implications of the random walk and mean reversion processes price information.
• Implement an algorithm called Adaboost to study predictability of large absolute price movements for option trading strategies using C++.
• Perform Stress testing project.
• Conduct risk modeling using econometric regressions models on SAS, Matlab in order to define power load, price and capacity factor for different regions in the US.
• Compute VaR to estimate the total capital required to meet margin requirements under an extreme stress scenario given a confidence level.
• Implemented Monte Carlo (XVA) and Quasi-Monte Carlo simulation to implement maximum likelihood and logistic regression models (LPDs, PD, LGD and EAD) to measure credit risk in regards to Basel I, II and III requirements using C++ CUDA and different libraries.
• Designed and wrote code for validation, back testing and stress testing models in C++.

Environment: VaR, SAS, Monte Carlo, Python, Numpy, Pandas, C++, Adaboost, SQL

Confidential, New York, NY

Risk Management Developer

Responsibilities:

• Fast and robust search data algorithm using FPGA in Binary deep search.
• Maintain and modify financial programs for proprietary applications libraries. Code, test and troubleshoot financial programs, mostly in UNIX, Windows and Linux, Oracle database and object oriented programming with design patterns and agile.
• Designed and wrote object oriented applications to data manipulation and statistical estimation using python in Quartz for validation, back testing and stress testing models.
• Developed SQL queries and designed table schema.
• Wrote code to measure short term interest rate pricing and risk tools.
• Model validation of equity derivatives: vanilla options, variance swaps and stochastic volatility derivatives.
• Developed financial applications for pricing and trading swaps, swaptions, caps and floors, total return swaps to hedge the risk of portfolio management. Agile methodologies were applied.
• Unit testing in C++ and Boost test using Google Mock.

Environment: Python/C++, Oracle, Unix, SQL

Confidential, New York, NY

Quantitative Analyst /C++ Developer Consultant

Responsibilities:

• Cash flows were computed for different fixed-income securities using Monte Carlo Simulations.
• OTC derivatives valuation methodologies were applied base on new regulation such as the Dodd Frank and ISDA.
• Components of a credit default swap were computed using C++.
• Worked on applications that offered the asset management suite a trading application with a front office order management to compute VaR for Futures trading strategies.
• Unit testing in C++ and Boost test.

Environment: C++, Python, Numpy, Pandas, Unix, VaR, Monte Carlo simulations

Confidential, New York, NY

Dir Quantitative Analyst / Developer

Responsibilities:

• Dynamic Hedging Department: Developed hedging strategies to mitigate the risks embedded in variable annuity guarantees using futures, FX options, and structured products.
• Worked on Priced FX options and structured products such as swaps, variance and volatility swaps, total return swaps, swaptions, barrier, binary, and Asian options. Valued market to-market OTC products: swaps, total return swaps and swaptions.
• Independent models were developed for comparison with those under validation. Completed model reviews using SAS, MATLAB, VBA, Python and C++.
• Applied back-testing alternative models to evaluate and compare the performance with historical simulations using C++ APIs - Intex, Bloomberg and proprietary and XLLs with VBA.
• Communicated key findings with trading, front office model developers, product controllers and risk managers.
• Interest rate calibration models of optimization were developed with fast performance and accurate results in C++ APIs and XLLs with VBA.
• Build the implied volatility price surface as well as build the risk-free curve for discounting and forecasting.
• Supported Trading and Operations- Managed an account of 10 billion dollars and trade between 300MM and 800MM per week. Develop proprietary hedging and trading strategies using Excel/VBA, C++ and Bloomberg API.
• Hedged the long term put option value using domestic and foreign futures contracts, options, swaps, total return swaps, variance swaps and swaptions. Calculated P&L attribution, return analysis and portfolio summary statistics.
• Monte Carlo and Quasi-Monte Carlo methods were applied for financial derivative pricing and risk modeling.
• Compute VaR to estimate the total capital required to meet margin requirements under an extreme stress scenario given a confidence level.
• Developed SQL queries and designed table schema.

Environment: Monte Carlo, VaR, Excel, VBA, C++, MATLAB, SAS, Python, SQL

Confidential

Risk Research Modeler

Responsibilities:

• Measured, monitored and hedged the risk in natural gas prices using different position risk profiles.
• Models related with Geometric Brownian Motion and mean reversion process with jumps under risk neutral and real probabilities were created to simulate derivatives pricing.
• It were compared with real simulations in order to compute Value at Risk (Var) and to hedge the risk using VBA

Environment: VBA, VaR Simulations