Manager Management

H A R E L J A C O B S O N

*******@*****.***/ +972-**-***-****

Qualifications 6+ years of profitable trading and risk management experience at a leading proprietary trading firm, using quantitative methods.

Deep knowledge of various markets, including Foreign Exchange, Interest Rates, Commodities and Credit.

Development of algorithmic research and trading models in FX market

Proficiency includes: Option Theory, Volatility Surface Analysis, Algorithmic trading and VBA/R/Python/SQL programming.

Employment

History

Barak Capital LLC, Tel Aviv 2010- Present [City, ST] Portfolio Manager/Trader

Management of a medium size (25mm USD equivalent) FX/Interest Rates derivatives portfolio, using various quantitative methods for research and risk management. Produced Sharpe Ratio of 2 on average (with low dispersion) over the last 4 years.

Development of profitable volatility trading strategies (Including Volatility Arbitrage/Relative Value/Pair trading, delta hedging frequencies and high order exposures)

Implementation of top-tier risk management and analysis techniques

Assisted the firm’s Risk Management team introducing complex structures and pricing models into its system.

Helped mentoring junior traders

Highlights:

Developed and traded Statistical/Volatility Arbitrage model in FX volatility market.

Developed an algorithmic trading model to manage (and optimizing) options’ book risk (delta risk)

Implemented fast Monte-Carlo engine for Risk Management and Complex Derivatives pricing.

2

Implemented various volatility models (Heston, Stochastic/Local Vol, Vanna Volga).

SuperDerivatives, Tel Aviv 2007-2010

Product Specialist

Provided support for various types of clients (Asset Managers, Hedge Funds and Hedge Fund Administrators). Answered and investigated clients' queries regarding derivatives pricing and modeling (in FX, Rates, Equity, Commodities and Credit markets).

Communicated client needs to the R&D teams (worked closely with the quantitative analysts to address clients' issues and requests).

Provided bespoke valuations for complex/hybrid products

(structured notes, callable bonds and correlation based products)

Education Bachelor of Economics and Business Administration 2009 Academic College of Tel Aviv – Yaffo

(subsidiary of Tel Aviv University), Tel Aviv, Israel Certifications Financial Risk Manager (FRM by GARP)

Currently studying for CFA Level 1 exam

Military Service F-16 Jet Engine mechanic 2000-2003 Israeli Air Force

Recommendations and track record will be given upon request

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