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Marian Klein, Mathematical Finance Developer in London, United Kingdom
Marian Klein

Mathematical Finance Developer in London, United Kingdom

Member since November 27, 2016
Marian is a quantitative developer with a strong background in mathematics. He has 15 years of experience in C++ and brings his expertise to client projects requiring deep analysis and insightful problem-solving. Marian has worked on projects for companies such as Morgan Stanely, HSBC, Kegasoft, and Credit Suisse.
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Portfolio

Experience

Location

London, United Kingdom

Availability

Part-time

Preferred Environment

Linux, GNU, Kubuntu Linux

The most amazing...

...project I've developed involved the de-warping or flattening of images captured by fisheye cameras.

Employment

  • Software developer

    2019 - PRESENT
    Kegasoft (Wavestore Project)
    • Saved and loaded video export profiles to server.
    Technologies: Qt, C++

  • Software Developer

    2016 - PRESENT
    Kegasoft
    • Developed a C++ template header library that implemented a small compiler language or VM machine. It was 20 times faster than Python for numerical calculations.
    Technologies: Python, C#, C++17

  • Quantitative Developer

    2017 - 2018
    Credit Suisse
    • Delivered a risk factor cross-correlation monitoring framework in C++ for a credit risk analytics library.
    • Fixed bugs and errors on applications of the Monte Carlo engine.
    Technologies: Visual Basic for Applications (VBA), Microsoft Excel, Python, C++

  • Quantitative developer

    2017 - 2017
    HSBC
    • Integrated a 64-bit C++ equity derivatives pricing library via Excel DNA, and a C# serialization networking bridge into 32-bit Excel version.
    • Developed an equity derivatives pricing library for futures and options via PDE, Monte Carlo, closed formulas, and linear methods.
    • Redeveloped a framework for market scenario contexts definitions (mostly market shocks), calculating cumulative shocks, and basket index, or FX.
    Technologies: Visual Basic for Applications (VBA), Microsoft Excel, Python, C#, C++

  • Analytic Developer

    2015 - 2016
    Morgan Stanley
    • Utilized C++ and A+ to upgrade the old system with the credit valuation adjustment team.
    Technologies: A+

  • Software Developer

    2009 - 2015
    Wavestore, Ltd.
    • Derived the mathematical formulas for 3D geometric transformations. I implemented and integrated this into video management and recording software (a feature much appreciated by customers). This resulted in an exciting solution for the de-warping or flattening of fisheye camera footage that works with arbitrary camera brands.
    • Implemented video transcoding and back-up facility usability enhancements, dynamic subtitles, multi-threaded decoding, a dynamic logarithmic slider to easily jump or scrub in different video or media footage with various sizes that span large amounts of recorded time.
    • Participated in the design for the new generation of the core architecture of the application.
    Technologies: Linux, Windows, ActiveX, Technology, Video, Media, Qt 4, C++

  • Grid System Engineer

    2006 - 2008
    Rutherford Appleton Laboratory
    • Deployed and maintained the pre-production service of a scientific data grid.
    Technologies: Bash

  • Teaching assistant

    2003 - 2006
    Comenius University
    • Developed numerical algorithms in C++ to calculate convolutions , and Monte Carlo simulations.
    Technologies: C++

Experience

  • Customizable Virtual Machine and Scripting Language with Fast Binding to C and C++. (Development)
    https://github.com/marian556/cvm

    A fast numerical calculations VM language 15x quicker and safer than general-purpose scripting languages such as Python, and Lua for numeric algorithms, and only twice as slow as the same routine compiled in C. The program in this language can be treated as an advanced and safe configuration file, or high-level master program for other projects written in C or C++. It can call C and C++ functions and be a plugin or module in a master program written in C or C++.

Skills

  • Languages

    C++11, C++14, C++, C++17, Python, Visual Basic for Applications (VBA), A+, Bash, Python 3, C#, Excel VBA

  • Platforms

    Linux, Windows, Kubuntu Linux

  • Other

    Multithreading, Computational Physics, Mathematical Finance, Mathematics, GNU, Qt 4, Media, Video, Technology

  • Frameworks

    Qt, ActiveX

  • Storage

    MySQL

  • Industry Expertise

    Physics

  • Tools

    Microsoft Excel

  • Paradigms

    Agile

Education

  • Ph. D. (unfinished) in Econophysics
    2003 - 2006
    Comenius University - Bratislava, Slovakia
  • Master of Science degree in Mathematical and Theoretical Physics
    1998 - 2003
    Comenius University - Bratislava, Slovakia

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