Senior Quant Developer2018 - 2019BNP Paribas
Technologies: TeamCity, Linux, NumPy, Pandas, Python, jQuery, HTML, Risk Models, FX, Go, C#, C++
- Worked as part of the credit and FX teams—migrating and enhancing existing risk and scenarios.
- Used C++ and ADA to adapt code to the new architecture, market data conversion, and new credit scenarios.
- Developed a plugin/service for the market data library of BNP, for rolling credit curves from close market to open market. It was written in Go and interacted with other services written in C++ and C#.
- Created a web pivot visualization for large datasets (bigger than the typical Excel size), based on jQuery, with two back-end versions for data processing (written in C#, Python, Pandas, and NumPy for the reconciliation of PVs between old and new pricing systems).
- Developed the Linux version of the quant library, ensuring the reliable build and testing in TeamCity along with a smooth operation and review of issues related to deployment.
Senior Quant Developer2017 - 2018Lloyds Banking Group
Technologies: LaTeX, HTML, Pandas, Python, CUDA, C#, C++
- Evaluated GPU options and third-party libraries for various algorithms of parallelization utilized in the Monte Carlo valuations of trades.
- Created a set of KPIs that assesses the behavior of the quant models and the stability of the end of day batch. The project was done in Python using big data technologies (Pandas/Spark), generating reports in LaTex.
- Developed the market data processing system on the Bloomberg and Reuters feeds for equity indices, stocks and FX volume surfaces. The project was written in C#, based on a stateless parallel acyclic graph calculation.
Senior Quant Developer2016 - 2017BNP Paribas
Technologies: TeamCity, Linux, Risk Models, Go, C#, C++
- Wrote the pricing for a number of products, some having simple mathematical descriptions, e.g., exotic cap floors while others requiring calibration and Monte Carlo simulations.
- Worked on the market data library (in Go), on adapting the market data necessary for the products.
- Ported modules of the quant library from Windows to Linux. As a result of the porting reduced compilation times from 30 minutes to three minutes.
- Added a methodology for coding under Linux (using JetBrains CLion and CMake).
Senior Quant Developer2015 - 2015Credit Suisse
Technologies: F#, C#
- Designed a scenario definition framework for CCAR and PRA, based on macroeconomic factors, using F# and C#.
- Worked on the translation of the high-level scenarios to specific bump parameters required as input by the risk systems.
- Evaluated CCAR and PRA internal implementation based on macro-economic factors vs a third-party library providing conversion to specific bump parameters.
Senior Quant Developer2012 - 2015Barclays
Technologies: LaTeX, HTML, C#, C++, MySQL, Kdb+, R, Q, Java
- Worked as part of the FX team on a real-time pricing system capable of handing volatile events, lack of input from primary markets. The system attempted a small prediction capability based on the order book. Worked in Java, KDB, and R.
- Developed FX real-time execution algorithms based on price, order book, volume and time. Written in Java, KDB, MySQL.
- Analyzed a large historical order book and tick data, from a KDB database, using Q queries, combining data from HDB with recent data from RTDB.
- Wrote a trade translation system from XML to internal Barclays format and self-documenting the exact translations as HTML and LaTex.
- Enhanced and refactored a legacy risk calculation system for commodities traders, providing PV and greek values.
- Created a distributed grid for the quicker processing of results.
Team Leader2011 - 2012Mitsubishi UFJ Securities
Technologies: XPath, XML, C#
- Managed a team of five people and was in charge of the timely delivery of new products.
- Implemented a QuIC pricing and risk system (currently called Markit Analytics).
- Worked on IR, FX, credit, and equity products by mapping data from Murex—incoming MXML and various database queries—to the QuIC internal format.
- Ensured pricing consistency by implementing Excel replication of all the formulas from both Murex and QuIC.
Team Leader | Senior Developer2010 - 2011Lloyds Banking Group
Technologies: Microsoft SQL Server, Coherence, Java, C#
- Managed a team of four developers in charge of a trade storage solution based on SQL and Coherence for the quick retrieval of T0 and T-1 for pricing and trade blotters clients and regular retrieval times for historical as-of-date requests.
- Worked on a C#/MSSQL server platform, responsible for holding data from many systems in the bank, with the ability to define and manage new types of data storage in a fully dynamic way.
- Evaluated Coherence distributed cache capabilities for storing large sets of data.
Senior Developer2010 - 2010Citibank
Technologies: JMS, XPath, XML, Java
- Developed new products in the MARS risk system that was a Java-based system using a proprietary XML workflow.
- Combined trade data from Gemfire with market data and ensured trade execution on a distributed Symphony grid.
- Connected the pricing systems via JMS to various risk results systems.
Senior Developer2009 - 2009Credit Suisse
Technologies: OLAP, TIBCO Enterprise Message Service (EMS), C#
- Developed a new risk platform for exotic trade books. Written in C#, it also uses grid computing (DataSynapse equivalent), GemFire trade storage, Tibco EMS communication, and OLAP for storing and allowing quick slicing/drill down on results.
- Enhanced the existing quant library pricing architecture for more stability on exotic, complex trades.
- Created various custom scenarios for risk, as required by the traders.
Senior Developer2008 - 2009BNP Paribas
Technologies: DevExpress, TIBCO Rendezvous, C#
- Developed an FX auto-execution system (C# with Tibco RV connectivity and a DevExpress Windows UI) for the real-time execution of large orders during volatile market conditions. Won praise from the head trader on algorithmic FX trading for its correct execution during the Non-Farm Payroll event.
- Built an order management application in C# with a Windows UI based on DevExpress.
Senior Developer2007 - 2008Credit Suisse
Technologies: C++, C#
- Developed a credit risk system (C#) that converted Excel EOD spreadsheets.
- Integrated the quant libraries, market data, and internal grid calculation.
- Led a team of two developers in Pune, India, to further develop the risk system.
- Created a CDO tranches substitution model for evaluating changes in the CDO tranches as PV and Delta.
Project Manager | Lead Developer2005 - 2007LSI Soft
Technologies: Microsoft Access, Microsoft SQL Server, MetaTrader, C++, C#
- Managed a team that developed an automated FX trading platform for a group of traders in Denmark.
- Completed a full emulation of Metatrader (written in C# using the MS SQL database) which enabled tick data backtesting and genetic algorithms to determine the parameters of the best trading system.
- Created a web interface for trading signals publishing. Written in C#, using ASP.NET and Microsoft SQL.
- Developed multiple CRM systems for different companies/industries. Written in C# and VB using Oracle or Access as databases.
Project Manager | Lead Developer2002 - 2005Prier VJ Software Solutions
- Managed a team of 12 developers working on a ERP project for the transportation industry.
- Contributed to the requirements gathering for all aspects of the transportation sector—from HR, drivers, trucks, pallet freight, maintenance, etc. The ERP was written in Java, using EJB.
Developer2000 - 2001Scala Business Solutions
- Designed and developed (using C# and MS SQL) a tax management system for local administration, with modules for fees and taxes or houses, cars, land, commercials, and more.
- Built a timesheet management application (using ASP, VB, and MS SQL) for submission and approval, with companies, agencies, and freelancers as users.
Web Developer2000 - 2000IPACRI
Technologies: Microsoft SQL Server, VB, ASP, HTML, C++
- Created a web interface for financial risk tools for the client, Group ELSAG Italy.
- Implemented dynamic web loading for a table so that the data in table rows were generated by the server every 10-20 seconds.
- Integrated ASP using VB scripting with COM components (written in C++ and MS SQL database).
Web Developer1999 - 2000Webcam, Ltd.
Technologies: Wireless Application Protocol (WAP), CGI, Perl, C++
- Developed multiple HTML/CGI web applications using C++ and Perl under Linux.
- Worked on the first version of shopping carts and used files for data storage.
- Created WAP interfaces for mobile devices with small screens.