Client
profiles

 

  • Industries:

    • Financial services/capital markets

      • Insurance

      • Hedge funds

      • Asset managers

      • Exchanges

    • FinTech

  • Sizes range from SMEs to Fortune 100 companies

  • Both private and public sector

 

Examples
of past projects

 

  • Developed and implemented machine learning models to assign probabilities and classify likely potential customers to improve marketing hit rates

  • Designed and developed a large-scale optimization (500k+ variables) to increase company-wide net revenues

  • Lead designer and developer for a Software as a Service (SaaS) solution for the valuation, risk management and reporting needs of one of the largest annuities and life insurance providers’ derivative portfolio

  • Consulted on the design and development a new core production library that replaced several legacy libraries used in a daily production process at one of the world’s leading derivative exchanges

  • Computed various liability metrics for an insurer’s primary lines of insurance that were an important input into the company’s investment portfolio design

 

Skills highlights

 

Technology highlights

Languages/Automation: C/C++, C#, Python, R, Java, Ruby/Ruby on Rails, JavaScript, HTML/CSS, PHP, Matlab/Octave, Mathematica/Maple, SAS, Visual Basic/VBA, SQL

OSs:  Mac, Windows, Unix/Linux

IDEs: Visual Studio, Visual Studio Code, IntelliJ, Eclipse, XCode

Databases:  Oracle, SQL Server, MySQL, NoSQL variants, MS Access, SQLite

Cloud platforms:  AWS, Microsoft Azure, Google Cloud

Financial related Systems/Libraries:  Bloomberg terminal + API, Reuters, NumeriX, BlackRock Systems Aladdin, Fincad, Imagine Trading System, Algorithmics, Findur, Principia, SunGard Panorama

Software development tools:  Git, GitLab, GitHub, Bitbucket, SVN, Jira, Confluence, Trello

Quantitative highlights

Markets: Equity, Interest Rate, Foreign Exchange, Credit, Commodities

Instruments:  Equities, bonds, futures/forwards/FRAs/swaps, calls/puts, caps/floors, swaptions, exotic derivatives and structured products

Models/Methods:  

Many risk-free and real-world financial models/methods including: Trees, Lattices, Monte Carlo Simulation, Black-Scholes and extensions, SABR, Heston/Bates, Variance Gamma, IR Short rate models, IR Market models, Hybrid models (joint Eq + IR), VaR (and similar variants), GARCH (and variants)

Plus, many other mathematical and statistical methods/models including: ARIMAX, PCA/Factor analysis, GLM/GLAM, CART/MARS, Kalman filter, Neural Networks, PDEs/SDEs, Copulas, FFT, Extreme Value Theory, Wavelets, Optimization, Statistics, Econometrics and many numerical methods and machine/deep learning models

Actuarial: pricing, reserving, reporting, data analysis, experience reporting & predictive analytics in the P&C, Life/Annuity, Health and Reinsurance businesses

 

To name just a few…