Senior Quantitative Developer
Current* R&D in the field of financial mathematics. Main focus: EQ/FX, IR, CR and hybrid models, price sensitivities (Greeks). Basic knowledge of VAR, CVA estimation, models used in insurance industry* Development of algorithms for complex financial instruments valuation and calibration to market data* Kernel-level programming using C++. Code refactoring and adaptation to multi-threading environment. Development for NVIDIA CUDA platformMain accomplishments: multi-factor extensions of HW, BK, CIR models, original approaches for pricing barrier options, convertibles, components correlation in hybrid model, fast Greeks evaluation