Senior Quantitative Engineer
Санкт-Петербург, Санкт-Петербург, Россия
I started my career in Tbricks as a junior mathematician. Tbricks was building a product for professional traders and they needed one vital part - pricing. The part of the product that computes fair market prices for various financial instruments - such as futures and options with different exercise strategies. For me it felt like a good way to monetize my math skills acquired during my theoretical physics education. Equations of quantitative finance closely resemble the ones from fluid dynamics in physics.At first I created mathematical models for pricing of financial instruments in Mathcad which were then translated into the actual production C++ code by other developers. Eventually I started writing C++ code myself. And then as time moved on I took the responsibility over more global parts of the product which have way surpassed the area of mathematical models and by the end of my employment included a lot of things not connected to math at all.When I was hired, the department of quantitative analysts consisted of just two people - my direct superior and me. Over time we hired more and more engineers and I was often involved in the onboarding process. I wrote a lot of product documentation, both public and internal, that is still used to teach new hires the basics of the product, architecture, internal tools etc.My team in Itiviti was absolutely great but over the years I grew somewhat tired of some traits of financial industry so after much consideration I decided to pursue some new endeavours.