Quantitative skills

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SUMMARY: Quantitative researcher, developer and team leader with 20 years experience elaborating models and tools and designing and developing high performance computing systems in finance and physics


  • Expertise in building modern derivatives analytics for high-frequency electronic trading systems including pricing engines, implied volatility surfaces, implied rates, risk, calibration.

  • Expertise in computational finance and physics.

  • Expertise in equity derivatives products, vol prop analytics and tools, variance products (swaps, correlation, dispersion), stochastic volatility and jump-diffusion (including stochastic time change models). Experience with interest rate derivatives, swaps, FX and currency options.

  • Solid experience in designing financial software and leadership.


  • Operating systems: PC (Windows XP/Vista, Linux), UNIX (SUN Solaris, HP-UX, Free BSD, VAX, DEC, IBM), AS400 (OS/400), IBM-370 (VM), mainframe (VM).

  • Languages: C/C++/C# (UNIX and VC++, STL, design, Boost C++ libraries, ATLAS, Quantlib) Perl, Python, Unix shell (Born/Korn/C, familiar with Tcl/Tk), Visual Basic, Fortran, Java (server side programming), Assembler IBM/370.

  • Parallel computing: PVM, MPI, xpvm, multithreading.

  • Modeling and publishing: UML, Maple, Matlab, Mathematica, Reduce. Expertise in TeX/LaTeX.

  • Internet Technology: SQL, HTML/DHTML, XML and XSL, JavaScript/Jscript/VB Script, JSP, Servlets, ASP3.0, ActiveX, COM/DCOM/COM+, IIS, Apache, MS Personal Web Server, Netscape Enterprise Server, CGI programming

  • Databases: Informix 7/5 with esql, Sybase 10.2/11.0, MS SQL Server 2000/2003, MS Access, Excel, Focus, ADO2.5, OLEDB, ODBC, JDBC, CMDB, familiar with DB2, FoxPro. Knowledge of logical data design.

  • Communications: TCP/IP, socket programming, UNIX terminal programming

  • Planning Tools: Microsoft Project, UML.


Chicago Trading Company, Chicago IL 11/2008 –present

Director, Financial Engineering

Building a new generation of company’s analytical tools including volatility smile/surface, pricing engines, EMM etc for a number of desks (market makers, equity options and index options, dispersion, options on Eurodollar futures etc). Contribution is made by elaborating original or choosing a very recent and powerful models and schemes that are capable to work in parallel computers such as GPU or clusters. Special attention is paid to working with CUDA software to implement these tools at GPU.

Volant Trading LLC, New York NY 10/2006 – 8/2008

Head of Quantitative Strategies, partner

  • Together with partners ran a high-frequency electronic trading business. Responsible for the whole company analytics including pricing, hedging, risk management. Managed a quant team as well as supervised an IT team.

  • Personally elaborated and implemented algorithmic and computational parts of all quantitative and risk instruments of the firm including real time pricers, implied volatility curve fitting engine, portfolio optimization, risk evaluation, implied forward rates fitting engine, forward share bias report, calibration tools, test suites etc. All these instruments are highly effective to be used under a high frequency trading environment at the same time providing a better accuracy as compared with the standard methods. (Linux/Windows/C++/C#/VB/Python/Matlab/Mathematica)

  • Speaker at Computational Methods in Finance Conference, Waterloo, July 2007, 14th Annual CAP Workshop, 2007, Columbia University, Bachelier Finance Society Fifth World Congress London, 15-19 July 2008

Amaranth Group (hedge fund), Greenwich, CT 02/2005 – 10/2006

Senior Quantitative Engineer

  • Personally elaborated new FD method and built from scratch a pricing library (dll) which includes:

    • American option pricing engine (local vol model) with allowance for hazard rate, discrete and continuous dividends, takeover, financing;

    • Calculator of implied vol term structure given set of American/European options;

This method doesn’t require iterations and works at small volatilities whereas providing second order of accuracy in time and spot, and high performance when computing the option value and Greeks. The library substituted ITO33 package that was previously used by this multibillion-dollar hedge fund and became a main engine for the CB desk.

  • Personally elaborated new combined FD - quasi MC method and built from scratch a pricing library (dll) which includes:

    • Mandatories option pricing engine with allowance for hazard rate, discrete and continuous dividends, financing, takeover, hard and soft call, hard put. Same for convertible bonds.

All algorithms are parallel, make use of Windows shared memory to store pre-computed random distributions, are highly optimized for efficient pricing of single options and portfolios (beat pure MC methods) (VC++, Excel, VB, Matlab).

  • Personally elaborated a new variance and volatility swaps pricing library (dll) which includes:
    - FD methods for pricing Var/Vol Swaps and options on VS with discrete observations (Heston and Heston-Merton models)
    - Analytic methods for pricing Var/Vol S and options on VS in Levy models with known characteristic function and models under stochastic time change
    - Calibrator (FFT+ global optimizer) to calibrate these models to vanilla calls and puts.

      • Participated Quant Congress USA 2006, EFA 2005 conference,

      • Invited speaker of “The Variance-gamma & related Financial Models” conference (http://conferences.math.virginia.edu/vg/), Speaker of the "Global Derivatives 2006" conference (Paris, 2006), Computational Finance (Sydney, 2006).

      • Co-authored a design document “Amaranth Quantitative Analytics Platform. Requirements and Functional Specification”.

  • Interviewed senior and junior candidates.

Bloomberg L.P. (Equities/Fixed Income), New York, NY 03/2001 – 01/2005

Senior Quantitative Developer/ Project Manager
Quantitative research:

  • Designed classes and implemented pricer and calibrator for R3 model (stochastic skew model of Carr and Wu) using FFTW and FRFT (C++, Matlab).

  • Found problems in Carr-Madan FFT method being applied to VG model. Developed a new FFT method and wrote a paper (http://xxx.lanl.gov/PS_cache/physics/pdf/0503/0503137.pdf)

  • Wrote spec, made design and implemented functions for recovering implied volatility surface given the market data. (C/C++). Made simulation in C++ integrated with Matlab.

  • Made analysis and wrote a working paper “ASW revamp, and expansion of security coverage. Description of models and details of calculations”

  • Managed project “Historical ASW, OAS & Curve Spreads”. Created design, implemented the system that computes historical OAS, asset swap spread, spread to the treasury curve and spread to the swap curve and makes them available in the API, Bloomberg G, GP, HP, and HMS functions. (C/Perl/Informix). Wrote a test system that included computational part on Unix, (C/Informix) and analyzing part on PC (Perl, Access, Scilab, Matlab).

  • Made asymptotical analysis of the Heston model (small volvol) and wrote working paper “Perturbation analysis of the Heston's model”. Compared results with Lewis, 2000.

  • Made research and wrote a working paper “Boundary conditions for a finite-difference solution of the Heston model”.

  • Elaborated new methods to obtain a closed form solution for local vol option models (including time-dependent BS) for barrier options. Wrote a working paper “Closed Form Barrier Option Valuation with Smiles” (together with Peter Carr). Made simulation in Matlab and Mathematica.

  • Solving various PVM problems (patching pvmd deamon etc.) for Mortgage/OAS project (PVM, C). Optimizing implementation of parallel algorithms.

  • Interviewed senior and junior candidates (almost once a week).

  • Mentoring/helping other members of the team on new programming technologies, as well as on analytic and numerical methods.

Quantitative development:

  • Managed all stages of a project life cycle (see projects below): Participated in developing specs with Product Strategy Group, elaborated working plans (Microsoft project), design, provided meetings and collaboration with other groups involved, provided testing, maintenance and release into production. Hands-on development 60% of time.

  • Created and integrated into the entire system a new widget which monitors Market/Trade Recap. Widget is highly customizable, handles various exchanges, market makers, condition codes, securities, and is generic enough. The widget also monitors extended hours for Nasdaq (pre and post data in Form T trades) and static ticks when market is closed. The widget is incorporated into Bloomberg functions BQ, NW and Launchpad, and now is used as a prototype by other groups of developers. Created a new design for Launchpad implementation (Abstract Factory, new widget classes), that provides high reusability of the code and now suits as a basis for developing middle-tier layer library for the Department (C/C++, DCOM, GTK+/Glade/Gob, CMDB, Informix)

  • Proposed an idea, created design (Abstract Factory, visitors, new widget classes) and written implementation of the system that allows programmers to automate creation of property boxes for Launchpad components. Developed DTD and XML schema of the box, which structure now is set up as an XML document. Designed (Singleton + abstract factory) and written C++/libxml parser (Windows & Unix) that reads this XML and generates C header file. Programmers now have only to include the header file into their .gob, and the property box is created automatically. Written a supplement to Glade to save its work in an XML format compatible with the parser. (VC++/C++/STL, XML/DTD/schema, GTK+, GOB, Glade, libxml)

  • Created design of a new Bloomberg system which is supposed to collect Earnings Estimates and display them in real time at Bloomberg terminal; new functionality and options are added as compared with the existing FC, IBES and Multex systems. Written technical reviews of the current state of the industry, made designing solutions, written specifications. Made research on a new architecture of the system, written technical and strategic proposals.

  • Designed and developed offline and interactive consensus calculator (C, Fortran, Perl, CMDB, Korn Shell, Perl).

  • Designed global aggregates calculator. Prepared a description of the project, written technical documentation.

  • Designed and implemented new Bloomberg terminal function EEB – interactive earning estimates screens, widgets, toolbars, graphs, real-time information (C/C++, windows controls (DCOM), Unix shells, Perl, CMDB)

  • Investigated few mathematical algorithms currently used by Bloomberg to calculate consensus parameters and fixed bugs (statistics, numerical mathematics, C++).

  • Moderating department seminar on GTK+, consulting the department programmers on debuggers, controls and design issues.

Thomson Financial (IBES/First Call), New York, NY 03/2000 – 03/2001

Systems Programming Manager

  • Managed team of eight in developing and maintaining: custom reports for clients (Sybase, Informix, MS SQL Server, SQR, C/C++, ASP, CGI, Shell scripts); local and remote databases, NT-based front-end and Unix-based backend. Developed Specs, working plans (Microsoft project), design, provided meetings and collaboration with other Departments, provided testing, maintenance and release into production, created reports to upper management and strategic plans. Hands-on development 50% of time. Hired 2 developers and managed stuff of eight with 100 percent retention. Trained 3 developers on Internet Technologies and Unix programming (Perl, C++).

  • Personally designed and developed interactive source management system used for all Unix-based projects, department internal web site which includes: employees’ assignment and report system and technical documentation. Developed architecture of 2 new products (new web-based front-end and continuous kernel). Wrote 2 proposals on future strategy.

  • Verified and improved few statistical models used to represent stock market data (EPS). Made quantitative analysis of the data.

Information Builders, Inc., New York, NY 01/1999 – 03/2000

Application Developer

  • Ported a server part of EDA-4.2 server from UNIX and VM to AS400. Personally responsible for design, research, implementation and making engineering decisions. TCP/IP, Web-programming (C, CL, Perl, Fortran, JavaScript, HTML, Unix Shell, Focus), CGI scripts, sockets, multithreading environment.

University of California LA, Department of Chemistry and Biochemistry 03/1998 – 12/1998

Visiting Scholar

  • Based on an approach of statistical physics, developed a mathematical model of nucleation in diffusion chambers. Developed algorithms and numerical methods to solve the equations derived. Created software to apply this model to the chambers modeling (C/C++, Fortran, graphical software). Made simulation and quantitative analysis.

Institute of High Performance Computing and Databases 06/1996 - 03/1998

Director of Operation and Research of the Moscow Branch

  • Managed team of 40 in developing and maintaining projects (see below).

  • Worked on creation of a distributed supercomputer cluster Moscow-St.Petersburg and its application to problems of high-performance computing and digital libraries (see http://mcsa.ac.ru/rdlp/idex.en.html). Designed the architecture of the cluster. Developed parallel algorithms of solving the Boltzmann equation and various CFD problems.

  • Personally developed, implemented and supported mathematical models and software package for chemical physics (C/C++, Fortran). Designed and supported Internet domain http://www.mcsa.ac.ru (including networking, hardware and software pats) (HTML, JavaScript, CGI, C, Perl). Designed a banking system for online payment. (C, SQL, Assembler).

Inst. of Theoretical Astronomy, Russian Academy of Science, St.Petersburg, __ 05/1991 – 05/1996

Leading research fellow

International Institute for Problems of the Asteroid Hazard, Deputy Director

  • Responsible for astrophysics research and computing departments.

  • Project on simulation of clusters’ formation in a cometary comae using numerical analysis, FD and Monte Carlo simulation and analytical approach of statistical physics.

St. Petersburg Technical University, St. Petersburg, Russia 09/1988 – 04/1991

Senior researcher in Computational Physics

  • Investigated ion-induced and photo nucleation in vapor-gas mixtures in high-speed streams and diffusion chambers.

  • Developed end-user interfaces for technical applications (Fortran, C). Rewritten packages from IBM/370 (mainframe) to PDP11 and PC (Assembler, C, Fortran).

  • System support and programming for clients of IBM/370; developed system packages (JCL, Assembler, PL/1).

  • Translated software documents. Given lectures and labs on Computer Science and numerical methods (C, Fortran, Assembler for IBM370, numerical methods) for the University students.


Rutgers University, New Jersey, Department of Mathematics 01/2007 – Present

Adjunct Professor

  • Teaching an original course on computational finance. Given lectures, seminars and labs. Supervising PhD students.

Moscow Aviation University, Department of Applied Mathematics and Physics 03/1996 – Present

Full Professor

  • Given lectures, seminars and labs on numerical methods in physics, quantitative analysis, computational physics and general computer science at the Moscow Aviation University. Supervising PhD students.


Course on pricing and trading correlation and dispersion

Quant Congress USA


Training on FpML



Certified C++ programmer, score 83%



Training on Focus DB administrating and maintenance

Information Builders, New York


Dr. of Science in computational physics

St.Petersburg University


B.S. in Economics

Moscow Politic University


Ph.D. in computational physics

Moscow Aviation University


M.S. in Applied mathematics and physics

Moscow Aviation University


PUBLICATIONS AND GRANTS: 1 book on chemical physics in “Series on Advances in Mathematics for Applied Sciences - Vol.44” (see http://www.wspc.com.sg/books/mathematics/3325.html) and 130 papers including articles in peer-reviewed journals and proceedings of international conferences on math finance, chemical, molecular and computational physics (available upon request). Obtained 14 Russian and International grants, Principal investigator in 12 of them.
PARTICIPATION IN SCIENTIFIC MEETINGS: Co-chairman of the All-Union scientific seminar on nucleation, 1985-1987. Since 1979 took part in 11 All-Union and 27 International Conferences on rarefied gas dynamics, molecular and chemical physics, physics of aerosols, chemical engineering, quantitative finance.

Last presentations given at the conferences: The variance gamma and related financial models, University of Virginia, Charlottesville, 2005, Global Derivatives & Risk, Paris 2006, Quantitative Methods in Finance, Sydney 2007, Computational Methods in Finance, Waterloo 2007, 14th Annual CAP Workshop, 2007, Columbia University, Bachelier Finance Society Fifth World Congress London, 15-19 July 2008.


  • Member of ISDA (since 2005), EFA (since 2005).

  • Member of the International Committee on Nucleation and Atmospheric Aerosols (since 1996), the American Chemical Society (since 2001), the New York Academy of Sciences (since 1994), the Russian Physical Society (since 1995).


Electronic journal "Physics and chemical methods in gasdynamics" http://www.chemphys.edu.ru/About.html - EditorialBoard


Journal of Banking and Finance, ACME journal, Quantitative Finance, Journal of Chemical Physics, Fluid Mechanics.


Subcommittee on telecommunications of the Russian-American Committee on scientific and technological collaboration (the Gore-Chernomyrdine Committee) – 1996-1997

Supercomputer Council of the Russian Ministry of Science and Technologies – 1996-1997

Subcommittee on digital libraries of the Russian Foundation on the Technological Development – 1997-1998.


  • First prize, All-Union student competition for the best research in CFD 1975

  • Second prize, Moscow physics Olympiad 1973

  • Third prize, Moscow Physics and Technical Institute Olympiad 1973

REFERENCES: Available upon request.

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