Arthur Pham Email & Phone Number

New York, Ny, Us

- Responsible for the day to day management of a team of 1 senior quantitative analyst and 1 senior quantitative developer- Implemented an SVI equity volatility surface for index- Implemented an equity volatility surface service that retrieves market data via RFA in a WCF service and visualized with D3.js in an ASP.NET MVC web application deployed in IIS- Implemented Nelson Siegel Svensson model- Added a vagrant provisioning tool to ease the compilation of the pricing library under linux- Migration of the library legacy c++ tests to google test- Perfective and corrective maintenance

- Implemented the new fx volatility surface : SVI, SABR, Cubic Spline, Gaussian Kernel, Vanna-Volga, quadratic interpolations, BF1vol, BF2vol, ATMF, DNS conventions, week-ends adjustement in time interpolation, local volatility, implied density, implied cumulative- Participated in the implementation of the new cross volatility surface for illiquid pairs with copula- Implemented a clustering tool to help detect potential frauds in libor submissions in scipy/python and django, hosted under linux- Promoted code review in the team by deploying a review board server that creates a code review request automatically after a svn commit- Improved CDS greeks- Perfective and corrective maintenance

- Implemented a sabr model calibration- Added the pricing of european swaption pricing with swaption volatility cube- Added the pricing of bermudan swaption pricing taking into account the swaption volatility cube with BDT trees by using an autocalibration- Implemented simplex/amoeba minimization algorithm along with Powell minimization- Added cmake compilation to the Adfin library to make it easier to maintain VS projects and makefiles- Perfective and corrective maintenance

- Lead a team of 3 quantitative analysts build the Thomson Reuters swaption volatility cube from cap&floor implied vols and swaption ATM vols- Validated CDS pricing to support “ISDA CDS standard model” (CDS Big Bang)- Implemented vanna-volga adjustement for fx derivative instruments- OIS (Overnight Indexed Swaps) pricing and bootstrapping of a deterministic rate model with piecewise constant overnight forwards- Participated in the construction of an implicit volatility surface for an illiquid cross currency with implicit volatility surfaces of two liquid pairs (local vol model calibration and Monte Carlo simulation) in partnership with Gabriel Turinici (Paris Dauphine university)- Validated AOAS pricing, benchmarked with Tradeweb- Added support of taxation to Italian bonds market- Parallelized Monte Carlo with OpenMP- Developped a fast method to invert a block tridiagonal matrix- Implemented continous integration with TeamCity- Functional and technical support- Trained clients to Adfin pricing library (functional and technical training) in London and Beijing- Perfective and corrective maintenance

Toronto, On, Ca

- Integrated a separate Monte-Carlo library into the production pricing library (Adfin)- Created an interest-rate derivatives pricing webservice (BGM, Monte Carlo) including simultaneous calibration on cap and swaptions- Studied simultaneous cap/swaptions BGM calibration stability

Cqf, Certificate Of Quantitative Finance

Msc, Quantitative Finance And Investment Management

Computer Science, Quantitative Finance

Education record