Managed own stock and futures portfolio. Both long term and short term positions were held in a variety of sectors and commodities. More recent focus on FX.

Performed research into Government of Canada theoretical curve building, resulting in a profitable trading algorithm.

Spearheaded Financial Engineering function at Fixed Income desk. Designed, coded and maintained (or adapted) pricing and factor sensitivity (bucket Greek) systems for various Fixed Income and multiasset derivatives-based structured notes.Used models for original pricing and daily mark-to-model until departure from firm.

Performed research into pricing of derivatives in the context of 'anomalies' in volatility term structures. Coordinated the procurement of an OLAP tool, and participated in its integration into new risk management technology platform.

Performed various testing of derivative pricing algorithms; tested exposure measurement system; tested the Performance Attribution Analysis system (PAA) and performed pricing and factor sensitivity reconcilements. Adapted the Citibank Derivatives System (CDS) tree pricing algorithm for Autoflex caps.Spearheaded CDS PAA testing for London interest rate options desk.Participated in and supervised part of the testing of the front office Citibank Derivatives System (CDS) EMU system… Show more Performed various testing of derivative pricing algorithms; tested exposure measurement system; tested the Performance Attribution Analysis system (PAA) and performed pricing and factor sensitivity reconcilements. Adapted the Citibank Derivatives System (CDS) tree pricing algorithm for Autoflex caps.Spearheaded CDS PAA testing for London interest rate options desk.Participated in and supervised part of the testing of the front office Citibank Derivatives System (CDS) EMU system modification. Participated in team Y2K testing of CDS, resulting in a smooth Y2K transition . Show less

Performed various parts of the administration of swaps contracts (resets, deal entry, payments, report production, liaison with traders and middle office, month-end processing)