Manager Assistant C++ Analyst Experience Engineering

Florencia Ortiz

** *** ***** ********, ** *****. Phone: 646-***-****. Email:

*********@*****.***

Objective Manager of Quantitative Derivatives using C++

Education MS in Statistics Columbia

University (September 2004 to May

2006) GPA 3.52/4

MS in Computational Finance OGI

School of Science and Engineering

at OHSU (September/2002 to

September/ 2003) GPA 3.55/4

Investment Projects Diploma

(February/1999 to October/1999)

Institute Technologic of Superior

Studies from Monterrey, ITESM.

Master Degree in Economics

Institute Technologic Autonomous

of Mexico, ITAM (September/1992

to January/1994).

BA in Actuary Science National

University of Mexico.

(August/1991)

Skills Experienced in C++ to calculate

the price European and American

options, money market

instruments, futures, swaps,

caps/floors, bond options,

callable bonds, inverse floaters,

range accruals and swaptions

including Monte Carlo simulation,

stochastic calculus techniques

and numerical methods to solve

partial differential equation.

Build the risk-free curve for

discounting and predicting.

Applied principal component

analysis and other quantitative

techniques to various equity

datasets to recommend and

implement trading strategies

Experienced with mathematical and

statistical modeling and

programming (Visual Basic, C++,

MATLAB, Splus, SAS, R and others

very useful Statistics tools).

Knowledge of statistical

methodologies and ability to

effectively present analytical

results in a simple format and

extensive background in

econometric modeling

Work AXA Equitable

Experience Quantitative Analyst. August/2005

to May 2011

Dynamic Hedging Department.

Develop of hedging strategies to

mitigate the risks embedded in

variable annuity guarantees.

Create and price options trading

strategies, futures, swaps, total

return swaps, and swaptions.

Research and Development.

November 2008 to May 2011

Develop independent models for

comparison with those under

validation.

Complete model reviews using VBA

and C++.

Back-testing alternative models

to evaluate and compare the

performance with historical

simulations using C++ API and

XLLs with VBA.

Communicate key findings with

trading, front office model

developers, product controllers

and risk managers.

Calibration of models using

different methodologies of

optimization.

Develop of calibration models of

interest rates with fast

performance and accurate results

in C++ API and XLLs with VBA.

Trading and Operations. September

2005 to November 2008

Manage an account of 10 billions

dollars and trade between 300MM

and 800MM per week. Create VBA

macros and monitor different

spreadsheets to execute the

trades: 1) the trading grid to

generate the recommendation trade

and the trading grid analysis

spreadsheet to check the expected

option value versus the real

option value; 2) the trading

position system to hedge the long

term put option value using

domestic and foreign futures

contracts, options, swaps, total

return swaps, variance swaps and

swaptions;

Monitor the historical position

system to track the behavior of

hedging strategy and compute P/L

position.

Roll over of futures contracts

for each quarter.

Create macros to monitor the

basis risk of hedging using C++

API and XLLs with VBA. Update and

analyze: 1) the mid-day,

settlement and closing prices for

multiple futures contracts and

track their returns to compare

them with the different asset

returns that belong to the

company; 2) the historical and

implied volatility of different

markets; 3) the monthly P/L

report.

Institute Technologic Autonomous

of Mexico, ITAM

Teaching Assistant. January/99 to

December/01

Gave tutorials (in-class and

tutorial center) and some

lectures in basic and advanced

Statistics (60- 120

students/class)

Pemex Gas y Petroquimica Basica,

PGPB (National Oil Company)

Risk Research Modeler. July/95 to

May/02

Measured, monitored and hedged

the risk in natural gas prices

using different position risk

profiles. Simulated the Geometric

Brownian Motion, the mean

reversion process with jumps

using VBA. For all cases,

simulated the risk neutral and

the real probabilities. Created

risk neutral simulations for

derivatives pricing and real

simulations in order to compute

Value at Risk and to hedge the

risk using VBA.

Permanent Resident of the United

States of America

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