Yuri O. Solodukhov

Leninsky Prospect. ***-*-***, Moscow,

Russia, 117421

+7-968-***-****

+1-347-***-**-**

e-mail: acgu4e@r.postjobfree.com

Experience

**/**** – 04/2013 Promsvyazbank Moscow, Russia

Head of Derivatives Sales and Trading/Asset Manager. Was responsible for proprietary and

customer flow of the Bank in FX options which involved trading decision making, execution and trade

booking, mostly in EM but also in G10. Supervised the implementation and integration of third parties

trading systems on the front, middle and back office levels. Supervised the establishment of risk limits

by the risk management department.

Directly supervised employees on the trading floor. Was involved in the indirect supervision of the

risk management and the IT units of the bank as the Project Manager for the general management

project of “bringing the expertise of the employees and the infrastructure of the bank to the world

level”.

On the Asset Management side catered to the stockholders needs in terms of investments and protection

of investments, supplied own investment ideas and was in charge accepting/rejecting third parties

investment ideas.

09/2011 –09/2012 General Invest Moscow, Russia

Part-time Consultant. Analytics write-up, consulting services.

07/2008 –07/2011 Timber Hill / Interactive Brokers Group New York, NY

Project Manager/Quantitative Analyst /Algorithmic Trader. Organized business operation of the

interest rate and commodities option and futures trading desk interacting with CME group, ICAP and

IT departments within Timber Hill. Developed and implemented market making algorithms, various

time series analyses, curve construction, risk and PnL explain tools, relative value tools for options of

different expirations. Oversaw the trade flow and performed trade flow analysis and directed both

electronic and pit trading. Directed the firm advance in market maker ranking on CME/CBOT.

Responsible for PnL generation and attribution of it to the CEO and top management. Had around 10

people under personal management.

05/2007 – 05/2008 Credit Suisse New York, NY

Trader, Associate, USD LIBOR interest rate swaps. Priced and hedged various swaps deals, hedged

positions in broker markets, worked orders in broker markets, along with the more senior traders was

directly responsible for the generation of the PnL. Participated in the PnL attribution for the higher

management. Simultaneously developed a new trading (market making) system for Credit Suisse to

price matched maturity swaps for the off-the-run treasuries, treasury futures, IMM swaps, switches,

butterflies and defeasance schemes. Also developed risk and PnL predictor tools and participated in the

construction of the USD curve in the aftermath of the August 2007 credit crisis.

04/2005 – 05/2007 Credit Suisse New York, NY

Associate. As a member of the Ph.D. Risk and Quantitative analysis team (RQA) which reported to the

Head of US Fixed Income completed two 1-year rotations through different trading desks at Credit

Suisse. Worked directly with traders providing liaison between them and the quantitative modeling

group (GMAG) of Credit Suisse.

As the most senior associate of the group directed a group of junior associates on several desk projects

and evaluated their performance. Conducted interviews with potential candidates (around100

interviews).

Interest Rate Products. Developed and built a pricing and risk model for TBA (mortgage-based agency

futures) and TBA options, worked on theta-gamma and swaptions-caps relative value strategies and

optimal hedging strategies.

Energy Trading/Credit Trading. Priced structured deals: Energy: Asian options, spark spread options,

credit exposure and optimal control for pump units. Products included natural gas (including basis),

crude oil, electricity, and weather derivatives; Credit: CDS, CLN, credit indices. Worked closely with

the sales, trading and risk management teams. Developed trading strategies.

09/2000 – 02/2005 Massachusetts Institute of Technology Cambridge, MA

Research Assistant. Developed highly efficient numerical methods for partial differential equations.

Applied to parameter dependent problems these methods can significantly reduce the computational

time if it is required to solve those problems repeatedly for different values of the input parameters.

Thesis describes those methods and their application to heat transfer, acoustics, and elasticity problems.

06/2001 – 09/2001 M.I.T. – Sloan School of Management Cambridge, MA

Research Assistant. Performed a quantitative study of equilibrium of dynamic economy by solving

four-dimensional Hamilton-Jacobi-Bellman PDE under the direction of Professor A.Pavlova of the

Sloan School.

09/1999 – 08/2000 Cybiko, Inc. (a subdivision of Abbyy Software) Moscow, Russia

Software Engineer. Programmed applications in C++ and coordinated software development projects

at Cybiko, Inc. These projects included development of a graphical engine for 3D simulation, user

applications and computer games.

07/1998 – 06/2000 Basert, Ltd. Moscow, Russia

Research Associate (part-time). Developed mathematical methods and models and software programs

for data processing and analysis. Collaborated on projects including drag reduction and heat

intensification in fluid flows, the study of blood flow in human aorta.

Education

09/2000 – 02/2005 M.I.T. – Sloan School of Management Cambridge, MA

Ph.D., Mechanical Engineering Department

Major: Computational Sciences. Coursework: partial differential equations, numerical methods,

simulations, optimization and stochastic control, linear programming, fluid mechanics, heat transfer,

thermodynamics.

GPA: 4.9/5.0.

Minor: Graduated from a 2-year Sloan School Financial Technology Option program. Coursework:

finance theory, quantitative investment management (taught by A.Lo), numerical valuation of

derivatives, stochastic processes in application to finance. GPA: 5.0/5.0.

09/1994 – 06/1999 Moscow State University Moscow, Russia

Equivalent of M.Sc. degree, majored in Applied Mathematics and Mechanics. Coursework:

probability theory and stochastic processes, linear algebra, calculus, functional analysis; thesis on

numerical methods for partial differential equations of fluid dynamics, graduated with honors, GPA:

4.9/5.0.

Programming Skills

Programming languages: extensive use of C++, C, SQL, Perl, Matlab, Visual Basic, AutoCAD,

Maple, NAG, PETSC

Operating Systems: Windows, Linux/Unix, Mac OS X

Other

Languages: Native Russian, fluent English. As an undergraduate, worked as an English-Russian

interpreter and translator.

Leadership: Former president of the MIT Boxing Club.

Interests: Basketball, boxing, cinematography, house building. Played for the Moscow State

University Basketball Team, four-time winner of the Collegiate Championship of Russia

(1996-1999). Light heavyweight boxing champion of Moscow State University.

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