Senior Quantitative Developer Finance Systems

AHARON TAM

**-** **** ****** *** C Fair Lawn New Jersey 07410

Phone: 201-***-**** Cell: 201-***-**** Email: ******.***.**@*****.***

Profile

Senior Quantitative Developer specialized in a wide range of Asset Classes including MBS, Fixed Income, Equities and Derivatives, with extensive experience in design, development and implementation of financial Services, Tools, pricing and Trading System for Front Office. Providing state-of-the-art solutions and strategies for complex problems.

Predictive Models Developments including Random Forest, Clustering (DBScan, Kmean), Feature Engineering

Result-driven Developer with Expertise in Analysis and Design in state-of-the-art technologies, relational databases, multithreaded services and message-oriented middleware to deliver fault tolerance applications running on both NT and Unix platforms.

Extensive knowledge in Real-time Prime Products, Simulations and Statistical Process Control and Analysis.

Excellent communication skills.

TECHNICAL SKILLS

Languages: Python 3.11.0/3.12.0 (Pandas, Numpy, Scikit, PyTorch), C++17/23, C# 7.0, .NET Framework 4.8/6.0,

VB/VBA/EXCE/Solver, JAVA 17/21/25, Visual Code, SHELL, PERL, PL/SQL, MS SQL, STL

ML/AI: Scikit-learn, PyTorch, Time Series Modeling, Clustering (DBScan, KMeans), Random Forest, RNN/LSTMs

Data Science: Feature Engineering, Model Implementation and Evaluation, Statistical Analysis

Platforms: Windows 2K, XP, NT, UNIX (Solaris 2.6, HP-UX 110), Eclipse-Juno, Netbeans 7.2, Microsoft Azure-TFS

Databases: SQL, Postgres, ORACLE 11g/10g/9i, MySql, SQLite, Sybase ASE 12.5/15, Toad, RapidSQL, DBArtisan

GUI: Blazor, Radzen, Javascript ES2/3, React 18, Angular 14/15, Material-UI, Awesome Font, WPF 4.0/4.5, snoop

MVVM Lite, DevExpress 18.2.8, ASP.NET/ React.NET

JavaScript, HTML5, Excel-DNA, PyXll, Jupyter Notebooks, Infragistic, Syncfusion 4.2, Swagger

Tools: Excel (advanced), xlwings, openxl, xlcalculator, formulas, Git, Jira. Visual Studio Code, PyCham

MS Visual Studio 2022, SourceTree/BitBucket/Git/GitExtensions, TFS, SQL Developer, SQL*Plus, Perforce,

Tidal/Cntl-M, Optimizations Methods: BFGS, NedlerMead; Math.NET/Accord/NAG/ALGLIB

Microsoft Server Management Studio, Visio. XPath. JetBrain Ultra ReSharper 2023, Jira 8.13, Crucible, SnagIt,

TeamCity, Jiras, CruiseControl. dotTrace 3.5 and Ants 8 Profilers. Azure DevOps.

DI/IOC/Castle Winsor/Ninject/Autofac/Spring, SVN, Bunduki, MySql Workbench

Development Tools: Github Copilot for AI Coding and AI Pair programming, including Claude Sonnet 4.6, GPT 5.4, Gemini

CI/CD: GitLab, TeamCity, Azure DevOps, Octapus Deploy, Jenkins

Reporting: Microsoft SSRS/SSIS, Tibco, Notepad++, Data Services, EXCEL/VBA Script, Sprint.NET

Middleware: Coherence Cluster, AMPS, WCF, Solace, Message Queues, Talarian Smart Sockets, Perfmon, FIX, ACE, Tuxedo

Design: MVVM, MVC, Rational Rose, UML, Spring.NET, JMX, Design Patterns, Design Principles, SOA, Multi-Tier

and Distributed Design Architectures. SpecFlow, FluentMigrator, IOC-Windsor Castle, IOC-Ninject, WinSCP,

Multithreading, TPL, Concurrent Processing for optimal performance.

Risk Systems: Sophis, Murex Flex Api MX.3

Protocols: Google Protocol Buffers, base64 encoding, FIX 4.2, WinSocket, Http, RX-observables

Practices: Unit Tests NUnit, Mocking Rhino Mocks Moq, TDD, Domain Dirven Design. RTD Functions, OOP/OOD

Libraires: AI/ML: scikit-learn, numpy, scipy, pandas, tkinter, matplotlib, NetMath, Accord Math, Scott Plot

AI Assitance Copilot

EXPERIENCE

3/2025-Present – Mizuho North America.

Senior Quantitative Developer/Analyst – IPV, Independent Price Verification group

Designed and developed advanced MBS Cohorting and Pricing System for Mortgage-Backed Securities Pools based on attributes such as coupon-type, deriv-flag (IO-FIXED, IO-FLT_INV, NA-FLT_INV, PO etc.), vintage, geography, and loan characteristics.

Built automated price verification systems comparing internal valuations vs. market pricing with configurable tolerances.

Designed and put into effect Python-based scalable data pipelines to process and validate large-scale CUSIP-level datasets with 3-day matching logic.

Optimized data processing using multiprocessing and vectorized operations, reducing runtime by over 500%.

Integrated Excel models with Python (xlwings) to enhance usability for business users while maintaining backend scalability.

Dealt with Mortgage-Backed Securities - MBS (Agency/Non-Agency), CMOs, GNMA, TBA, Pool Analytics.

Price Enrichment, Story, Waterfall, Color-Hierarchy, STRU-Test, Z-Test, Market “Color” identifications such as BWIC, COVERS, RES,RE-OFFER, PriceTalk.

Cohorting: Designed and maintained engines for dynamic cohorting system supporting multi-dimensional grouping (Deriv-Flag, Coupon-Type, WAC, WAL, WALA, seasoning, geography). Enabled real-time segmentations and performance analysis for trading and risk teams.

Price Verification: Built end-to-end systems for daily price validation, exception handling, and variance analysis against benchmarks (Bloomberg, JPM, Dealer Runs and Internal Trades).

Tech Stack: Python (Pandas, Numpy, Pytorch), SQL, VBA, C++)

Delivered full auditability for compliance and reporting.

Leveraged AI Coding Assistance tools (GitHub Copilot) to rapidly generate framework, multiple prototype enhanced processing, Feature Engineering, pipelines and unit tests, cutting development time significantly.

AI Assistance heavily utilized Prompts, within the VS-Code IDE to instruct AI-Agents such as Claude Sonnet 6.0 and/or GPT-5, to read and identify external specifications requirments, alongside with supplying my own detailed specifications of the available resources, desired structures and expected target results, breaking complex logic into individual modules and sub-tasks and simplify them to allow the AI Agent to genrate the initial in-line code covering good portion of the desired code (>80%) and provided feedback to fix bugs found while running the applications, asking to either refine the code with auto-completion or use my own version of fixes and desired goals. Also used AI Assistnace outside the IDE, such as Microsoft Copilot within Microsoft Team, that utelized the internal LLM/RAG/LoRA to generate suggestions recorded within Mizhuo knowledgbase, emails and chats discussions.

Exprimented with predictive models for mortgage-backed securities (MBS) prepayment and pricing behavior using machine learning techniques including Random Forest and clustering (DBScan, KMeans).

Engineered features from loan-level and pool-level data (CUSIP, coupon, vintage, servicer) to improve model accuracy and cohort consistency.

Implemented unsupervised clustering for Cohorting and anomaly detection in MBS pools, improving price verification workflows.

Built time-series forecasting models to analyze spread movements and prepayment trends using statistical and ML-based approaches.

Designed rule-based + ML hybrid systems for duplicate trade detection and audit tracking across large datasets.

Leveraged Python (pandas, scikit-learn, PyTorch, PyCell, Formulas, XLCalculator) for data processing, model training, and evaluation.

Applied contrarian and recency-based pattern analysis to identify inefficiencies in structured product pricing.

Automated data pipelines and model outputs into Excel (xlwings) for trader and desk consumption.

8/2022-12/2024 - Natixis North Capital Market Inc.

Consultant – Swap Desk Front Office Analytics and Technologies.

Senior Quantitative Developer, responsible for the development of Tools and Applications for Natixis America Swap Desk.

Designed and developed Family of Curves, Tools, Services for the Desk, implementing Curve Management, Yield Curve, Convexity Adjustment and Analysis.

Implemented and put into effect Convexity Adjustment Engine based on Short Swaps Terms optimization.

Used MathNet and Accord Math Libraries to achieve Nonlinear Multivariate Optimizations, using various methods such as Nedler Mead, BFGS objective functions.

Implemented proof of concept in python using the In-House ARM Quant Library, Ported Python code to C# Framework.

Designed and implemented Kalman Filter to enhance Desk Risk mitigation and Hedging.

Put into effect Yield Curve Validation Service including Forward Curve Comparison End of Day and Realtime comparison.

Worked on Curve Manager Project and displays results on Curve Manager UI using Microsoft Blazor Technology utilizing Radzen and Syncfusion Blazor Library.

Worked on Data Analysis tools, using time series from InfluxDB and Graphana to analyze Yield Curve behaviors such as SOFR, IOS, CSA, LIBOR

Implemented Drop Box Email Service to allow bulk reliable email delivery of any size and shape of emails.

4/2021-6/2022 Jefferies Financial Group

Consultant – JDOE and Risk Based Capital Technologies.

Senior Developer/Analyst, responsible for the development of Tools and Applications for Jefferies Derivatives Order Entry (JDOE), Swap and ETF Risk and Trading systems – Option Matrix.

Designed and developed Enhancement to EQF P&L Attribution C# Service including an efficient and systematic Analysis

for the Firm Positions and Risk for Derivatives, Swaps and ETF businesses.

Designed and put into effect Vol-Surface adjusted price updater fed to the Firm VaR models for Risk Valuation and Reporting using C# Services and Interfaces.

Put into effect an enhancement to JDOE Master Add-In for Exotic Model Schema Booking using C# Excel-DNA platform.

Added Enhancement features for The Case Converts C# Windows Service reporting Trades as they become Active and Non-Active Trades as collected from Bloomberg.

Dealt also with communications implementation of C# WCF Services and in-house Framework/Platform for Publish/ Subscribe interfaces.

Implemented Numerix C# Service to import and export adjusted prices (e.g., corporate action) and Volatility Surface onto SQLite For Firm Wide Risk FO using EQF API and Numerix Financials Risk and Data using WinSCP SFTP implementing request/ response communication model. Used EQF API to fill up vol-surface gaps for Adjusted Ref-Spot Prices for VaR models – Fail Safe

Design enhancements to Case Activ Service to create the Security Master Set of Instruments using Activ Financial and Bloomberg Data for Options, ETF, Indices and Equities world-wide, a Service with configurable Schedulers in various regions for Pre-Loads, Security Master, ETF and Option Intraday updates. Providing list of preferred Exchanges for optimal liquidity of underlying’s. Main emphasis was on Refactoring and Streamlining (easy to understand) the Service and its Schedulers and provide performant scalability to allow the firm to trade in UK and EMEA.

Implemented Splitter Feeds to downstream clients such as Dodd Frank and CMRS for Risk and Reg. Reporting using C#.

Enhanced Database Schema changes include utilizing SQL Server Service Broker Queuing mechanism to allow other downstream applications to get notifications of critical updates in Market Data Ref Data.

9/2019-4/2021 Millennium Partners

Consultant Senior Developer – Treasury Margin Technologies.

Senior Developer/Analyst, responsible for the development of Source and Uses - Cash-Harvester, Margin-Harvester and Carp

Designed and developed various tools for the Margin Application Platform including an efficient and systematic Analysis for the Firm total Margin Monitoring and Reporting – one of the unique platforms in the industry.

Implemented and put into effect models for Users, Operation and Traders.

Implemented Endpoints for universal access to invoke computation and retrieve results for end users and portals.

Using Spec Flow platform for unit testing and Integration Testing.

Main Technology C-Sharp, Visual Studio Loading and Parsing Counter Party excel daily inputs and put together Net Liquidity, Pure IM (Internal Margin) and Excess Deficit.

Reporting results to Senior Management daily.

Performing calculation via various Endpoints websites.

Implemented Prime Brokerage/Repo/ISDA/Vertical Futures Source and Uses processing.

Enhanced Database requirements using Fluent Migrator, enhancing Treasury Database with tables/sql/indices

6/2018-8/2019 Citadel Securities

Consultant – Front Office Technologies – Option EMM and ETF EMM Trading Systems.

Senior Developer/Analyst, responsible for the development of STARBOARD Option Trading Systems, and Market Axess Bond and ETF System.

Designed and developed various tools for the STARBOAD Option Trading Platform including Contract Selector, an efficient and accurate Option Contract Selector tied up to Trade Entry and Trade Pricer that allows traders to pick/choose/remove Trades – Creating and implementing Spread Pricer Strategies including Theoretical Values allowing the Traders to analyze, share ideas and efficiently trade Strategies right from the Trading System platform using C# DevExpress WinForms, WPF and PyWeb. Communication with backend via Socket Plus messaging.

Allows Docking and Booking Trades using build-in ICE-CHAT to brokers and indicating Sold and then Book trades to Post Office/Foghorn and Valhalla downstream Firm-Wide Compliance and Booking system using REST API

Worked hand-to-hand with traders to apply required changes and enhancements to the trading system, bug fixes and make the system highly efficient and performant. Implemented Exec Browser that allows to review execution modify counter parties and commissions.

Designed and developed Excel Add-Ins for the ETF Trading Desk which utilizes Excel-DNA library. Provided RTD User Defined functions (UDF) – Cell based, and Matrix/Table based that allows Traders to view, analyze and strategies Position Blocks and perform large block of ETF/Bond trades. Connected to Ref Data to that brings into view Fair Value and Market Value prices per ISIN/U-key of underlying baskets and bonds. Implemented RX-Observables to deliver results in the most efficient way possible.

Implemented Catalog Services that allow traders to define and simplify connections to WebSocket based resources and easily select and view results and perform functions on the content including Filtering/Pricing and aggregations.

Technologies used: C#, Python, Excel

5/2016-5/2018, Wells Fargo

Consultant – Front Office and Capital Market Technology – FX, Commodity Equity Derivatives; Risk and Pricing applications.

Senior Developer/Analyst, responsible for the development of XVA/CVA UI and Services for Credit Valuation Adjustments, P&L Risk Valuation, and pricing.

Designed and developed Views/View Models for Trade Management/Engine Configuration Repository/Eligibility WPF screens for EOD, Intraday Credit Valuation for FX, Equity and Commodity books applying Default Probability Curves on valuations of books and portfolios. Developed screens from configuration parameter editing and settings through Menus for customized invocation of pricing. Implemented Front End based on Infragistics controls for WPF4.0 such as XamDataGrid/TreeView. Utilized WCF proxies and services to communicate with backend Cache Coherence and AMPS Cache subscription to send and receive requests to the Java Calculation Engine.

Enhanced Legal Entity functionalities. Designed and developed Legal Hold functionality which prevents books from being removed from the system while under litigation. Legal Hold onto SQL Server 2010, communicating with the data store via WCF proxy and services. Exposing Legal Hold per trade under hold. Drag and Drop capabilities, Configuration data comparers.

Designed and developed Risk Data Snapshot screens viewing specific Equity Data Snapshot residing on the Coherence Cache to allow user to further investigate pricing results and underlying books and portfolios. Allows exporting data to excel and xml files and send via emails.

Implemented Debug-Info interface to allow users to explore internal data and request between client and server.

Implemented Generic Parameter Views and View Models throughout. Implemented Attached Behaviors to customize export behaviors to Excel. Maintained separate View Models for Client and Shared common GUI components. Adhered to MVVM Lite standard within all aspects of the projects. Utilized unit testing for Scenario analysis to examine system behavior throughout. Viewers and Alerts notifications.

Implemented WCF transport level security between clients and servers, using before and after actions (service, security and operational) behaviors.

Explored new Fluent Design and enhanced User Experience.

Technologies used: C#, Java, Python

8/2013-4/2016, Credit Suisse

Vice President/Development – EMG Jane, Front Office Global Risk Valuation and P&L Calculation

Senior Analyst/Developer, responsible for development of Services for P&L Signoff, Risk Valuation, Calculation Engine

Designed and developed enhancements in EMG Jane platform which provide Risk Scenarios, Valuations and Reporting and tools for signoffs.

Worked extensively with Channel Workbench Framework - a flexible tool that defines and runs multiple jobs on remote servers based on configured workflows and tasks and also allows to debug server code with ease - using EMS.

Implemented various new Valuation Models such as Buy and Sell Back and NDF instruments.

Implemented Data Dumper for Oracle Reporting Cubes such as Custom Valuation of instruments such as FX Forwards FX Options, FX Swaps and NDF for hedging purposes. Dealt with wealth of issues regarding FX Fixing especially.

Consultant – Prime Finance Risk & Control Technology, Front Office IT - Equity P&L and Risk Valuations.

Senior Analyst/Developer, responsible for development of Services for P&L Signoff, Risk Valuation, Calculation Engine.

Designed and developed Gears P&L Attribution Service which provides Explained P&L and Scenarios Analysis for variety of products such as Equity, Index Future, NDF, Equity Derivatives, Prime Swaps and Convertible Bonds.

Performed Risk Valuation for these instruments and its dependent components in the system using GMAG Quant Library and the MOB, Market Object Builder Library.

Persisted for reuse of Static and Dynamic Market Environments, Dependency trees of the Market Data snapshot,

Developed interfaces to interact with Coherence Cluster Caches using Microsoft Rx listener to execute attribution instructions. Implemented and utilized Coherence invocables. Extensive work with both C# and Java.

Adhered to Unit Testing methodologies for maximizing code coverage of unit tests.

Provided Integration testing capabilities to ensure non-breaking data flow and logic of the components in the system. Designed and developed POC, for IRM – Intraday Risk Monitoring using C# for LINQ type data retrieval and embedded Iron Python for dynamic ad hoc Calculations.

Implemented Service Configuration setups for various regions and environments using Nant scripting.

Worked on ForeFront Prime Swap Risk and Signoff System

Analyzed and provided solutions to BAU Jiras; involved in all SDLC aspects of the project.

Extensive work with SQL Server 2008 R2 queries, store procedures, tables and C# GUI and server code.

Technologies used: C#, Python, Java, Excel, C++

4/2013-8/2013, Morgan Stanley

Consultant – ISGT - Equity Derivatives; Risk Management and Viewing and Signoff Alerts.

Senior Analyst, responsible for the development of GUI components for Risk Viewer Application – providing Risk Managers view of their Portfolios and Strategies globally and allow them to signoff their total P&L exposures.

Designed and developed the RV Entitlement and User impersonation in Signoff screen and Portfolio Selector Screen to allow Senior Managers to view selected portfolios and Strategies. Improved application performance by providing advanced techniques of data format and caching. Performed unit testing for all developed features.

Implemented Risk Management measures and metrics using Murex Flex Api to enhance portfolio risk valuations.

Worked on RV GUI Data Dictionary Editor which connect RV to its dynamic source of feeding using Pub/Sub mechanism for which each Column provided with unique field Id, Short Description, source, format.

Designed and developed GuiAdmin to monitor regional users, and their alerts and logging activities.

Designed and developed the application using WinForm/WPF with Infragistics UI control using the Microsoft 4.0 and C#.Net framework, utilizing Unity Container for all modules in the system. Provided each GUI field with its own source of feeding and allowing users to grab the individual feeding and run it separately from the main GUI.

Encapsulated and separated the Presentation logic into MVVM framework, and Business logic into modules and Services.

6/2012-10/2012, Barclays Capital

Consultant - Fixed Income Rates; Risk, Pricing and Clearing Development Group

Senior Analyst, responsible for the development a Windows Service for the analysis of IR Swaps Eligibility – with the capability to handle a variety of requests over Solace, IBM MS queues and HTTP protocols and publish the results over the same media.

Design and developed Windows Services to handle Compliance and Eligibility Analysis Requests via WCF,

IBM MQ and Solace using Microsoft Framework 4.0 and .NET C# under Spring.NET framework.

Designed and implemented Rule based engine to process LCH, CME, KRX and MC Eligibility business rules.

Communicated with TMS – The firm Trade Management System to receive economic data of Swaps GMT format.

Processed GMT and FpML/XML and XML CLR message type formats for Trades and economic data.

Designed and Implemented, Protocol Buffer messages in order to compress the resultant data.

Implemented Eligibility Persistence Result data on SQL Server 2008.

Implemented Tables, Store Procedures, Functions and constraints.

Designed and developed batches for End of Day services deployed on AutoSys for night processing.

Retrieved EOD Trade Downstream Data, analyzed its Eligibility and saved its Results on DB for GMT and CLR Trades where results persisted on SQL Server 2008.

Implemented GUI components for integration and Unit testing of the service functionalities.

9/2006-4/2012, Citigroup

Vice President/Development –as part of North America Fund Derivative Systems Equity Group

Senior Analyst, responsible for the development of FDS – Fund Derivative System - for managing and Trading Structured Product where the underlying collateral are typically hedge funds and which was used by variety of business desks Hybrid, FX, HK, Fund of Hedge Funds, Trading, Due Diligence, Trading and MO. Provides Ad Hoc Scenario Analysis where the Federal Fed Rate used as a reference. FDS also provides a platform for Market Data update through Web Services and reporting using client supplied templates. Worked on implementing computations for Deal Haircuts and Deal NAV, Indices weights and Investment Guidelines reports distributed to internal and external clients. Compute Prices and publish them onto Bloomberg

Design and developed under Windows and Microsoft Framework 4.0/3.5 using C#.NET and ASP.NET

Developed FDS as 2-Tier application with WinForm GUI and Sybase as the Back End.

Extensive use of .NET WinForm client GUI with heavy use of native grids along with Syncfusion 4.2 Bounded Grids, XML, networking and multi-threading classes.

Designed and developed Screens for analyzing deal hierarchy and compositions, fund detail strategies and ratings.

Designed and implemented flexible Deal fund importing and validation.

Utilized Historical Returns and Market Data under Sybase ASE 12.5/15

Utilized Dynamic Compilations built-in FDS to provide Deal State Valuation and pricing.

Interfaced with quant library using Deal State Code and logic that traders could customize.

Implemented template-based report using flexible interface of fields, hierarchy and Model Control View concept.

Implemented Hedge Ratios computation for QIS - Quantitative Investment Strategies Group.

Designed and Implemented Historical Data Tables, Stored Procedures, Functions and Views on SQL Server for QIS processing. Retrieved EOD Market Data into and from these tables for QIS Algo processing.

Designed and implemented backend process for analyzing VA products

Designed and implemented WPF GUI for front end Reporting implementing various User Controls such as custom Data Grid and custom Ribbon utilizing MVVM framework

Designed and implemented Silverlight 4.0 Application for VA ad – hoc Reporting leveraging MVVM framework.

Designed and implemented the DDL, Store Proc, views and functions for VA database using SQL Server 2008

Implemented batch processing for analysis and reporting using SQL Server store proc.

Wrote Web Service using WCF to obtain Bloomberg Market Data for ETF, and Futures using Bloomberg API.

Computed Firm ETF and Future based Indices and published them on Bloomberg using PriceLink II API.

Utilized XSLT to display VA HTML pages and data on web browser.

Vice President/Development – as part of North America Flow Rates Group

Senior Analyst, responsible for the development of Research Analytics Tools for Swap and Treasury Trading systems. Worked on brand new Fire/Arrow Trading system replacing legacy Mace system. Performed All analytical work for Relative Value Pricing, Swap-Box Pricing. Worked with Research on implementing Trading Ideas and implementing Analytic Libraries; for Swap Curve, Asset Swap and Treasury Curves. Utilized 2 factor model for the Swap Curve fitting.

Design and developed under Windows and Linux systems.

Utilized Historical Data using KDB+.

Interfaced with TibRV for Market Data and other services.

Price Calculators using Microsoft Visual C++/STL/Boost, KDB+, q-scripts.

2/2005-9/2006, CREDIT SUISSE

Vice President/Development – Global Derivatives Research Group

Senior Analyst, responsible for the development of Research Analytics Tools for Proprietary Traders/Researchers. Working on mathematical models and Analytical Functions for LOCuS system, the main Research and Analytic system of Credit Suisse. LOCuS is a web-based system providing access to Market Data, Analytics and Trading Ideas. It is a versatile Derivative Pricing/Research Tool. Supporting a variety of fixed income products and instruments, including FX, EMG, US Treasuries and Foreign, Structured Products and Mortgage-Backed Securities ABS/MBS.

Design and develop Price Calculators using Microsoft Visual C++/STL, MS SQL.

Develop and enhance Interpreter Language using Parsers and Lexical Analyzers to parse and execute Analytical formulas.

Analyze Historical Data and Pricing models for Fixed Income Instruments such as Bonds/Swaps/Credit Risk

Published results in XML formats as well as Spread Sheets

Worked on Core Analytics such as; History Calculator, PortfolioMarker, NTRT, Security Analytics Being Multithreaded COM Servers.

Developed new functionalities for PortfolioMarker, implementing modeling tools and functions, making use of Zscore for Rich/Cheap analysis, RollingDistributions, Regression Residue.

Used Visual C++ 6.0, COM/ATL and MS-SQL Server 2000 on Windows XP.

Implemented Weighted Monte Carlo simulation to calibrate Asset-Pricing Models and computing Minimum Entropy for Derivatives using Matlab-Optimization Tools and C++ BFGS models.

7/2004-1/2005, Analytics Consulting Group for Barclays Capital

Consultant - Fixed Income Development Group

Senior Analyst, responsible for the development of PriceEngine and Calculation Manager. Working closely with the Business optimizing Pricing models and Trading Strategies. Designed and developed an improved version of Trading Strategy for 10 Year Treasury Bond Future Intraday Trading system. Monitor performance of Pricing and Risk that helped in the Hedging part of the Strategy. Published the P/L results and Risk factors on the Talarian Cloud Infrastructure.

Designed developed Calculator Nodes in the Pricing Engine Graph using Microsoft Visual C++/STL, MS SQL.

Created visual tools to assess back testing results.

Implemented Real Time monitoring of Talarian Price Engine Traffic.

Implemented Throttling Algorithm to enhance Real Time Pricing.

Designed and developed Perl programs to extend the Price Engine Graphs.

Designed and put into effect, Latency Monitoring system.

1/2003-6/2004, NATIXIS

Consultant - Equity Derivatives Products

Senior Analyst, responsible for the development of Equity Derivatives Products, Barrier Options, Basket Trading and Index Arbitrage Trading strategies. Worked closely with Traders and Quantitative Analysts on building Pricing and Trading Models. Specialized in Sophis and Murex Flex Api Risk Management systems specifically in generating Greeks, Volatility Analysis and VWAP analysis. Working on both Windows and Unix platforms. Using Windows VC++ for the front-end development and Perl for both Unix and Windows applications. Retrieving prices from several market data providers. Implementing Strategies for Portware Execution system using Java.

Designed developed and enhanced Pricing models and integrated them into the Risk Management System using Microsoft Visual C++/STL, Oracle.

Worked on implementing derivative models into the Sophis System including Black-Scholes, Cliquet, Docs.

Enhanced The VaR reporting in Sophis System.

Implemented and put to work Real-Time quotes using Tibco Rendezvous services on sun servers.

Designed and developed algorithms executed on Portware Trading System using Java J2SE under Eclipse IDE

Implemented Java plug-in for EOD for Portware Trading System.

Designed and implemented Quote Server using Reuters RFA and SFC API’s

Designed and developed trade execution router to Portware Engine using FIX protocol.

Developed SQL Scripts for accessing Risk and VaR databases using Oracle 8.1.7 database

Developed Unix shell scripts and Perl scripts to perform night batch computations.

Designed and developed XML feed files for VegaKT End of Month portfolio valuations.

Implemented

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