Quantitative Analyst

Minneapolis, MN * cell 612-***-**-** * *******@***.***

Experienced Quantitative Analyst with deep technical skills and broad functional knowledge in Model Development and Implementation. Known for outstanding contributions to numerous large-scale projects, such as Hedge Platform for Allianz Life. Demonstrated excellence in model development, application design, code development.

Professional Experience

Allianz Life, Minneapolis, MN September 2005 - May 10, 2018

Quantitative Analyst

Developed and implemented calibration algorithms, hedging strategies for liabilities with embedded exotic derivatives for single equity and basket of equities and bonds. Implemented local, stochastic volatility and local stochastic volatility models for equities, FX, interest rate models (HW, HJM, LIBOR) and inflation. Price exotic equity and hybrid derivatives. Provided hedge efficiency analysis and back tests of hedge strategies. Designed, developed and prototyped Hedge Platform. Made presentations “Swaptions, bonds and equites in HJM models” at QuantMinds 2018 International Conference at Lisbon, Portugal and “Swaption Prices in HJM model. Non-Parametric Fit” at “Global Derivative 2017” Conference, Barcelona, Spain.

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Provident Advizors, Wayzata, MN December 2003 – June 2005

Quantitative Analyst

Developed and implemented algorithmic equity trading strategies for large/mid caps and their derivatives. .

Best Buy, Minneapolis, MN September 2003 - December 2003

(contractor)

Provided statistical analysis of large data sets in SAS.

Morgan Stanley, New York, NY June 2001 – June 2002

(consultant from Compuware, Minneapolis, MN)

Developed tools for data manipulation and analysis. Provided support in production environment.

Medtronic, Minneapolis, MN June 2000- November 2000

(consultant from AeroTek)

Developed BAAN Front Office modules, Accounting Applications, Web and IVR servers, Decision Support Applications.

Technical Proficiences

Programming Languages: C, C++, VB, VBA, C#, Python

Bloomberg, Credit Swiss and Barclays market data tools

Mathematica, Excel, Access, SAS

Education & Academic Work

Institute Theoretical and Experimental Physics (Moscow, Russia)

Conducted experimental data analysis, developed and implemented algorithms to solve complex problems (C/C++, UNIX, Fortran, Mathematica/Maple, SAS, Mainframe, Windows, DOS). Worked as a visiting researcher in Jefferson Lab (Newport News, VA), Los Alamos National Lab (Los Alamos, NM), Saclay Lab (France). Led seminars for students of Moscow Institute of Physics and Technology. Published more than 40 papers in well-known scientific journals.

oPhD in Theoretical and Mathematical Physics, Institute of Theoretical and Experimental Physics, Moscow, Russia

oM.S. in Experimental Nuclear Physics, Moscow Institute of Physics and Technology, Moscow, Russia

Received American Alien of Extraordinary Abilities status for internationally recognized contributions in theoretical physics.

List of publications and references are available upon request

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