Quantitative Analyst Resume Profile Chicago, Illinois - Hire IT People

SUMMARY

Ahighly motivated quantitative analyst with comprehensive mathematical modeling and implementation skillsand in-depthknowledge of quantitative finance including Term Structure Models, Financial Derivatives, Risk Management, Time Series, Statistics, Probability Theory and Stochastic Calculus

HIGHLIGHTS

Proficient programming skills in C/C , Python, MATLAB, R, SAS, VBA/EXCEL and SQL
Experience with building advanced statistical methods in a big data environment
Research in developing risk and valuation models
Creative self-starter and great team-player
Expert level in Stochastic Calculus, time series,Brownian motion, PDE, ODE, Monte Carlo simulations, finite difference methods etc.
Able to work on multiple projects
Highly self-disciplined, detail-and results-oriented
Excellent interpersonal and verbal and written communication skills
Strong organizations skills good time management, capable under pressure

ACCOMPLISHMENTS

Developed a new methodology in pricing options with substantial improvements in pricing accuracy and computational cost

EXPERIENCE

Quantitative Analyst

Confidential

Studied all types of computational errors such as discretization, truncation and interpolation errors and controlled errors within the limits given.
Found the most appropriate values of parameters including dampening factor implemented in the CGMY model.
Priced equity derivatives in the CGMY model using numerical approaches such as the trapezoidal andSimpson's rules.
Applied Fast Fourier Transform FFT to simultaneously price numerous contracts with the desiredaccuracy.
Developed a new methodology to effectively price the contracts using Hilbert Transform approach which shows substantial improvements in pricing accuracy and computational cost.
Assisted managers on trade approvals and finance on price verification methodologies.

Quantitative Researcher

Confidential

Assisted in building proprietary options pricing models which show improvements in terms of pricingaccuracy and computing efficiency.
Assisted in developing algorithms for company's Multi-Asset Execution Management Systems MAEMS .
Implemented various financial derivative models in the quantitative analysis of private equity investments using C programming.
Created formal modeling of risk, return and trading cost profiles for equities and other firm-wide assets classes.

Credit Risk Model Validation Analyst

Confidential

Extensively tested the risk models including sensitivity analysis, stress testing, uncertainty analysis, back-testing, and bench-marking to challenge the models effectively.
Applied Gaussian Copula to model default dependence to evaluate risks in subprime RMBS structured portfolio.
Found inappropriate use of equity replication model in the counter-party credit risk exposure project, and debugged it.
Wrote comprehensive independent validation reports explaining the analysis performed and their results.

Confidential

University of Illinois at Urbana

Term structure models: applied Hull-White one-factor model and LIBOR market model LMM to price and calibrated a range of interest rate products such as European swaption, multi-look trigger swap, caption, Bermudan swaption, constant maturity swap CMS , and a real world CMS derivative results show that the LMM in general leads to better estimation of derivative prices than the Hull-White one-factor model.
Optimization: conducted Markowitz mean-variance analysis using Black-Litterrman returns using 10 years of data on S P 500 stocks and applied the Black-Litterman model to reconstruct portfolio allocation and studied the sensitivity of portfolio.
Risk management: developed and implemented the dynamic conditional correlation DCC models to forecast the future correlations among S P 500 stocks and optimized related portfolios.

Monte Carlo simulations: applied random tree method to price path-dependent options with high computational efficiency by creating a MATLAB application to perform Monte Carlo simulations.

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Quantitative Analyst Resume Profile

Chicago, IllinoiS

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