Development of pricing models.

Designed and built, from the ground up, a web-based life settlements business management system using the Microsoft development stack (ASP.NET, C#, SQL Server 2008). Hired and managed a team of developers, building and extending the system using agile software development processes. Designed and built both the internal company infrastructure and a robust multi-site web server architecture to host the service. Wrote the pricing and risk management code for these securities in C# including a parallel Monte Carlo simulation engine. Went through the process of having the models audited by a big four accounting firm. Wrote technical documentation, release notes, user guides and planned each new release of the website. Hired and managed a team of offshore developers designing and building a GUI test framework for the website.

Development of Excel pricing tools for fixed income

Development of foreign exchange exotic option pricing tools.I was responsible for:- The management of a development and QA team.- Leading technical discussions with clients.- The introduction of agile methods to the development process.- The introduction of automated testing.- The re-engineering of key parts of the pricing model infrastructure.- The design of a new architecture for future versions of the software.

Developed from scratch entire pricing and risk management systems for credit derivatives and fixed income securities using both C++ and C#, including Excel addins, desktops applications and integration with other bank systems. Developed C# based pricing and risk management models for life settlements. Managed a team designing and developing a life settlements submission system using external facing website.

Initially worked in fixed income research developing complex derivative pricing models across all asset classes. Designed and built infrastructure to develop and deploy C++ based Excel addins to the front office. Trained other quants and traders to use this infrastructure to build proprietary pricing models. Worked with proprietary trading desks, designing and developing pricing models. Joined global modelling group, working in front office across all asset classes to develop C++ based models. Specialized in securitizations; built models for multiple asset classes, carried out presentations to rating agencies and investors and worked with risk management to audit models.