Senior Quantitative Developer Resume

SUMMARY

Over 8 years of professional experience in developing and implementing pricing and trading and risk models for a variety of financial instruments in fixed income, commodities, credit, equity, and derivatives.
Over 6 year of professional experience in developing and implementing a variety of interest rate models, volatility trading models, commodity trading models, calibration, and optimization.
Over 8 years of professional experience in C++, Java, C#, and VBA programming languages. Over 4 of professional experience Python, Perl programming. Strong experience in networking and multithreading programming.
Over 10 years of professional experience in quantitative analysis using statistical methods, stochastic calculus, linear and nonlinear optimization, time series analysis, and garch modeling, support vector regression, lasso regression, data and text mining.

PROFESSIONAL EXPERIENCE

Senior Quantitative Developer

Confidential

Responsibilities:

Develop statistical and time series models to predict high frequency equity, bond, and derivative prices based on research findings.
Develop advanced forecast models including varying parameter regression, lasso regression, support vector regression, and data mining methods to provide better and robust models.
Research and implement yield curve and commodity forward curve construction, implement interest rate and volatility models to price fixed income and equity index derivatives.
Provide necessary programs and implementation using Core Java, C++, MTLAB, Python, and Oracle SQL.

Senior Quantitative Analyst

Confidential

Responsibilities:

Worked in the Wealth Management team to provide quantitative research and algorithms for the portfolio construction and optimization process proprietary data.
Designed and implemented quantitative solutions for portfolio optimization, performance contribution, risk attribution using mean-variance, Black-Litterman, and Value at Risk, quadratic programming.
Designed and implemented pricing and risk models for equity derivatives, fixed income securities including corporate bond, convertible bond, and MBS using C++, R, and Excel VBA.
Provided statistical analysis on a variety of portfolio analysis and factor attributions.

Quantitative Analyst

Confidential

Responsibilities:

Researched vary large volume of high frequency trading transactional data using data mining and statistical methods.
Developed advanced models for transactional and margin risk.
Developed SQL queries on daily basis for both production and ad hoc needs from UDB and Sybase.
Designed and implemented advanced transaction and margin risk algorithm using advanced statistical and data mining algorithms, C++, and VBA.
Developed risk and monitoring reports using Java, SQL and Cognos.

Quantitative Developer

Confidential

Responsibilities:

Researched and implemented high frequency statistical arbitrage trading strategies using C++, Linear programming, and optimization algorithms.
Developed and implemented interest rate models, commodity models, and volatility models to price a variety of interest rate derivative products including Teeasury Securities, MBS, and currency swap, vanilla and Bermudan swaptions, repos, and other fixed income securities using C++, C#, Java, and VBA.
Supported the Treasury, MBD, Credit, and Commodity trading desk on quantitative modeling and pricing issues.
Developed credit derivative pricing applications to price and lookup MBS, ABS, CDO tranches using c++, Quantifi, and Intex API.
Designed and implemented grid computing architecture to run risk scenarios and trading GUI ussing C#, and Digipede.grid computing tool.
Researched and developed statistical arbitrage algorithms for securities trading using Matlab, R, MS SQL Server.

Senior Financial Engineer

Confidential

Responsibilities:

Implemented interest rate model and subprime mortgage valuation model including prepayment and default using VC++, Intex API, SAS, Matlab, Excel VBA, and Loan Performance data for the trading desk.
Implemented ABS, CDO pricing model and sampling algorithms using c++ for the trading desk.
Researched on ABS index ABX, House Price (CSI) index and future, rating methodologies of rating agency.
Developed in the pricing and risk analytics for whole loan mortgages, asset backed securities, and market value swaps using Excel VBA, VC++, C#, interest rate models, simulations, statistical analyses.
Developed different reduced form models for credit derivatives including CDS and synthetic CDOs.
Implemented algorithms for calculating PFE and counter party risk
Develop and implement mortgage analytics algorithm and reports using C++, C#, Sybase, and Crystal reports.
Prototype and implement new analytic and reporting system using TIBCO, JMS, JAVA, XML.