- Data ScientistSwiss Re2016 - PRESENT
Technologies: Python, R, Spark
- Developed the weather model for a statistical/ML based flight delay insurance pricing engine.
- Built a probabilistic global tsunami risk model.
- Created an ML-based predictive model for insurance premiums and claims.
- Co-founder | CTOKlapp2016 - PRESENT
- Acted as the co-founder and CTO of an edtech startup developing a parent-teacher communication platform.
- Quantitative AnalystMET International AG2013 - 2016
- Created a web-based commodity trading interface on top of a forward price curve generation algorithm for the straight-through order placement and processing of natural gas deals using Python for the numerical computation, STP, and web back-end and HTML, Bootstrap, and AngularJS for the front-end.
- Developed a Monte Carlo-based method for the optimal pricing and hedging of natural gas storage and implemented it in Python (NumPy, Pandas).
- Researched and developed a spread-based trading strategy on the German power markets and traded it live on the EEX.
- Developed a detailed physical model for a natural-gas fired power plant and used it to derive optimal hedging and trading strategies.
- Quantitative AnalystswissQuant Group AG2010 - 2013
Technologies: MATLAB, Java
- Developed a novel (non-heuristic) method for achieving higher asset diversification within the context of optimal portfolio construction and implemented it using MATLAB (computation) and Java (front-end).
- Wrote a method for optimal hedging of currency exposure using arbitrary linear and non-linear instruments (e.g., options), based on normal or non-normal underlying distribution assumptions, and implemented a prototype using MATLAB and Java.
- Created a method for tracking a non-investable insurance-linked securities index using a set of arbitrary investable products by modeling the index as a jump-diffusion process and minimizing the CVaR of the performance difference.
- Developed a method for hedging the future power generation of a wind farm connected to a liquid power market using liquid instruments.