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Mathematical
Finance
Experience
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Experienced
quantitative
researcher/developer/manager (10
years).
Expertise in PDE, analytical
methods of
mathematical
physics and finance,
mathematical
modeling, numerical
analysis
and software design and
development.
Strong
mathematical, analytical,
programming and problem
solving
skills. Solid
experience in managing complex
interdisciplinary
projects.
QUANTITATIVE SKILLS:
- Expertise in building modern derivatives analytics for
high-frequency electronic
trading systems
including pricing
engines,
implied
volatility
surfaces, implied rates,
risk,
calibration.
Expertise in computational finance
including
ODE, PDE and PIDE: analytical,
asymptotical and
numerical
solutions
including finite-differences
(CFD approaches), path
integrals, integral
transforms, MC, some other
methods and parallel
computing (MPI, GPU, PVM).
Wrote a
book on new
analytical methods in the
theory of
phase
transitions.
Expertise in quantitative research as
applied
to equity
derivatives
products (vanilla and
exotics), vol prop
analytics
and tools,
variance
products
(swaps,
correlation,
dispersion),
stochastic
volatility and
jump-diffusion
(including
stochastic time
change
models).
Experience with interest rate
derivatives,
swaps, FX and
currency
options.
Solid experience in designing financial
software and
leadership.
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