- Director of Modeling and TechnologyElement Capital Management2010 - PRESENT
Technologies: C#, Excel, F#, ZeroMQ, SQL
- Designed and developed a custom language & API for multi-dimensional timeseries analysis in C#.
- Designed and developed an in-memory timeseries datastore for quick access to financial models with indices and asynchronous replication.
- Designed and developed the infrastructure used to price the firm’s position and to calculate risks, scenarios, and VaR.
- Wrote various financial models to price trades including FX vanilla options, FX exotic options, and equity index options.
- Organized code structure and managed code workflow for the entire technology team.
- Designed and developed a plugin framework to allow quick delivery of financial models as well as code separation between quantitative developers and infrastructure developers.
- Participated in the development of various tools used by traders including a multi asset trade pricer, a tool for plotting/analyzing timeseries, various trade blotters, tools to help with execution, and a pnl attribution tool.
- Business AnalystCredit Agricole2010 - 2010
Technologies: Excel, C#, Python, Java
- Served as point of contact between traders, quants, and developers.
- Designed a way to simulate the aging of a investment portfolio to inform traders of potential future risks.
- Wrote specs for the development of commodity index trading.
- Quantitative DeveloperCredit Suisse2007 - 2010
Technologies: Excel, C#
- Developed the commodity index risk management platform in Excel/C#.
- Developed tools to calibrate and monitor interest rate correlations and volatilities.
- Served as a point of contact between quants, traders, and technologists to integrate financial models into calculators and presentation layers.
- Video Compression InternFrance Telecom2006 - 2006
Technologies: C, H.264
- Worked on H.264 compression standard: Designed and implemented a compression algorithm based on edge recognition in C.
- Implemented an alternative to block filtering using the modified discrete cosine transform.
- Analyzed and presented results using Microsoft Excel.