Modelling and Data Engineering team, owner of quant library for Wealth Management Platform International

Experienced Equity Derivatives quant developer, with detailed knowledge of a vast codebase.Numerical Routines and Performance OptimisationOver the past three years, I have rewritten our core Monte Carlo engine to benefit from GPU / AVX acceleration, with the aim of taking a large chunk out of our $30m/year compute bill. This is the workhorse model used by our Equity and Hybrid derivatives business, offering a diverse range of products (including generic scripting capability) and a… Show more Experienced Equity Derivatives quant developer, with detailed knowledge of a vast codebase.Numerical Routines and Performance OptimisationOver the past three years, I have rewritten our core Monte Carlo engine to benefit from GPU / AVX acceleration, with the aim of taking a large chunk out of our $30m/year compute bill. This is the workhorse model used by our Equity and Hybrid derivatives business, offering a diverse range of products (including generic scripting capability) and a comprehensive suite of cross-asset process models (IR, FX, EQ, Credit with stochastic volatility, local correlation, multi-currency and more).I also lead a global Performance Optimisation Working Group to explore all possible improvements to our risk stack, and to navigate future challenges of grid demand.Previously, I have developed a MC path-reuse algorithm to allow highly optimised risk/scenario calculations. This reduced the time cost for N-asset basket cross-gamma from O(N^3) to O(N); in one case this resulted in a performance improvement factor of 2,700. Risk and Scenario FrameworkOver the past decade I have developed a general-purpose risk and scenario framework of increasing complexity and sophistication. This now includes features such as market object dependency graphs, multiple asset classes, source risk transformation, PL attribution and a full-reval VaR model spanning IR, Equity and FX asset classes. Show less