Senior Software Engineer, XVA Quantitative Analyst, QUANTITATIVE DEVELOPER

Project: Commodities Exotic Options Migration to Murex
Contract: Oct 2016 - Dec 2017

Migrating path-dependent exotic commodities products from excel spreadsheet to Murex. Successfully
redeveloped existing Scala models in Java for model validation purposes. Designed and implemented a
communication API leveraging using Google Flatbuffers protocol and TIBCO EMS, and seamlessly
integrated the model with Murex using the Flex API. Replicated excel sheets with Murex simulation
views to display prices and risk.

Project: Computer Vision and Artificial Intelligence for Airports
Permanent: Jul 2015 - Jul 2016

Analysis and Development of efficient computer vision solutions for London Heathrow, Stansted, and
Dubai airports.

Selected Responsibilities and Achievements
* Restructured the team and project scope to focus on product strengths.
* Reporting to CTO and product managers and support client on product issues.
* Speedup of enterprise code base written in C++ by 250%.
* Implemented image edge detections and deep learning in CUDA C++.
* Introduced continuous integrations and regression tests using Jenkins and Google testing
framework.
* Engineered a cost-effective software embedded alternative to win both Heathrow and Dubai Bids.

Project: Scalable Risk Analytics for FX and EQUITIES
Contract: Jan 2015 - Jul 2015

Achievements
* Distributed parallel pricing engine on Amazon Cloud AWS.
* Fast multithreaded multi-curve bootstrapping framework.
* Derivatives pricing engine in Java and CUDA C++.
* Monte Carlo simulations framework in Java and CUDA C++.
* JNI interface for Java7.
* XLL interface for Excel.

Project: FRONT OFFICE MODEL INTEGRATION INTO MUREX 3.1.26 and QUANT LIBRARY ENHANCEMENT
Contract: Sep 2013 - Jan 2015

Achievements
* Model integration and maintenance for both rates and credit desks.
* Custom simulated and analytical sensitivities integration.
* Datamart reporting and batch processing.
* Simulation views creation and management.
* Accurate batch auditing and profiling.
* IBM Symphony grid deployment and configuration.
* Efficient Java & C++ architectural redesign.
* Automatizing front office regression tests.
* UAT, raising change requests, job scheduling, etc.

Integrated Instruments
* Credit Default Swaps (Upfront - Forward starting).
* Risky Loans.
* Default Swaptions.
* Credit Maturity Default Swaps.
* Credit Indices.
* Credit Index Options.
* Nth to Default basket.
* Interest rate DV01, Credit Delta, Recovery Rate, Jump to Default, Theta, Gamma.

Project: GREEN FIELD HIGH PERFORMANCE CVA RISK ENGINE
Contract: Sep 2011 - Jul 2013

The original SA-CCR engine evaluated the whole portfolio in sixteen hours and needed to rerun in the
event of failures. My role was to reengineer a fault tolerant distributed risk solution. The overall
evaluation time was brought down to under fourteen minutes.

Achievements
* Implemented a fast XVA engine with 3k paths per stopping date written in C++, JAVA6 and CUDA
C.
* Integrated the new analytics with Symphony Platform and TIBCO Grid server.
* Results aggregation and publication for validation in Python.
* Decommissioning of circa 4000 Xeon CPU cores.

Implemented Instruments in CUDA
* Plain Vanilla Interest Rate Swaps.
* In Arrears Interest Rate Swaps.
* Interest rate Caps and Floors.
* Constant Maturity Swaps.
* European Swaptions.
* Bermudan Swaptions.

Project: BESPOKE ENTERPRISE SOLUTION SOFTWARES
Permanent: Jul 2010 - Aug 2011

Enhance navigational accuracy of unmanned aerial vehicles for Piaggio Aerospace using low latency ML
on Xilinx FPGA. C++, Verilog & VHDL.