David Wilkinson Email & Phone Number

Highgate, Wa, Au

Highgate, Wa, Au

Sydney, New South Wales, Australia

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

Sydney, New South Wales, Australia

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