Techonolgy Support Associate, Research
September 2011 — Present
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Technology Associate in the Hedge Fund Industry
Derived and implemented a model using Bloomberg, MATLAB, and Stochastic Calculus to price swaptions (options on a swap) based on an Arbitrage-Free Nelson-Siegel (AFNS) Pricing Model.
· Created MATLAB and MS Excel based tool used by Client Servicing Group to simulate interest rate volatility and
probability of interest rates breaching certain triggers.
· Programmed exhaustive project to collect daily price data for commodities on Dow Jones and Goldman Sachs Commodity
Indices and analyzed returns based on roll days.
· Developed Excel-based tool to generate daily basis reports for Treasury Futures based on research published by Lehman Brothers and Goldman Sachs.
Led team of four in planning and successfully rolling-out SAP Business One (comprehensive ERP Suite for small businesses)
across the company despite limited budget of $10,000.
· Upgraded company's network security by setting up enterprise-class router, firewall, and VPN access (for off-site access) on
shoestring budget of $1500.