• Solid background in mathematics, physics, computer science, informatics, and finance
• Extensive programming experience with C++/C (18+ years), C# (10+ years), and Python (3+ years) of building, refining, and maintaining scientific computing system
• Excellent experience in coaching and ...
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• Solid background in mathematics, physics, computer science, informatics, and finance
• Extensive programming experience with C++/C (18+ years), C# (10+ years), and Python (3+ years) of building, refining, and maintaining scientific computing system
• Excellent experience in coaching and leading a team to achieve aggressive goals with limited resource and presenting the results to the audience of different backgrounds
• Excellent experience in conveying complicated messages to diversified audience of different background
• Experience in other languages like Perl, Matlab, VBA, Java and Shell scripts
• Excellent development, testing and integration experience in a heterogeneous and real time environment by quickly grasping new concepts, translating domain knowledge into products, and collaborating with multiple teams
• Extensive research & development experiences in
o General account asset modeling: treasury, corp, muni, structured assets (RMBS, CMBS), CML, etc
o Derivatives pricing for various derivatives on equity, rate and FX & their Greek calculation (C++)
o Alternative asset modeling: commercial real estate, private equity, natural resource & infrastructure (Python)
o Third party financial analytics, FinCAD, Numerix, Murex, Moody’s analytics, MG-ALFA, AXIS, FactSet
o AWS: migrated in-house asset analytics to AWS
o Design and development of flexible framework to back-test and project the hedging/trading strategies
o GPU computing in liability modeling, exotic instrument pricing, & informatics with CUDA C
o Asset-Liability management & risk analysis (C++)
o Experience in trading support and risk management
o Stochastic-on-stochastic forecasting of liability and asset projection
o Volatility and interest rate model development and their calibration
o Machine learning: Bayesian theorem, GA, neural network, SVM and many clustering methods
o Development of novel global minimization & important sampling methods
o Design and development of hedge trading system to dynamically hedging market risk for VA block
o Develop plugins for Microsoft office by calling external third-party libraries in different languages
o Development of novel methods to study diffusion dynamics and multi-scale modeling
o Parallel & distributed computing
• Database design and optimization in MySQL and MS SQL
• Integration of MySQL, MS SQL, and Oracle database system into C#/C++/Python applications
• Experience of model refinement and assumption update
• Window (Visual Studio) and Unix operating systems and programming environment
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