Senior Quantitative Analyst
Current- Market & Transaction Analytics
- Created software to provide portfolio cost scenario analyses for both current and strategy conditions along with best/worst case outcomes
- Developed optimization algorithms under nonlinear constraints for institutional clients using Matlab; provided buy plans depending on clients' risk tolerance levels
- Estimated the parameters of multi-factor stochastic models using historical price data in the Day-Ahead Energy Market for PJM, NEPOOL, CAISO, & ERCOT, and forecasted implied volatility curves
- Improved option pricing models written in C++, and created compiled files for portfolio managers