Mathematical Finance Experience

Experienced quantitative researcher/developer/manager (15+ years).
Senior quantitative researcher and developer with a broad experience in building models, tools and strategies, designing and developing high performance financial systems both individually and as a team leader. Expertise in quantitative research and modeling as applied to equity derivatives products (vanilla and exotics), vol prop analytic and tools, variance products (swaps, correlation, dispersion), stochastic volatility and jump-diffusion (including stochastic time change models and LSV), risk management in modeling credit derivatives, capital and liquidity risk. Experience with interest rate derivatives, swaps, FX, currency options, some experience with commodities. Expertise in building modern analytic for high-frequency electronic trading and market making systems including pricing, hedging, implied and historical volatility dynamics, implied rates, dividends, risk, market making tools, calibration. 100% hands-on. Expertise in computational finance and physics including parallel computing, design of financial software and building architecture of analytic libraries.

Expertise in PDE/PIDE, analytical methods of mathematical physics and finance, mathematical modeling, numerical analysis and software design and development. Strong mathematical, analytical, programming and problem solving. Solid experience in managing complex interdisciplinary projects.

Quantitative skills

• Expertise in computational finance including PDE/PIDE, analytical, asymptotic and numerical solutions including finite-differences, path integrals, integral transforms, Monte Carlo, some other methods and parallel computing (MPI, PVM, GPU, multicore programming).
• Expertise in quantitative research as applied to cross asset pricing and hedging and risk management.
• Statistics, regressions, some machine learning.
• Solid experience in designing financial software and leadership