Global Investment Bank

  • Provide strategic direction in multi phased development of Global Options Trading System.
  • Helped stabilize bank’s FX Options Trading System.
  • Provide user and technical support with the FX Options Trading System.
  • Designed FX Cash Automatic Synchronization system between Mysis OPICS, FENICS and Calypso.  Also provided QA knowledge to test implemented system.
  • Developed Dual Currency Deposit Pricing Module in Excel that interfaces with FENICS and Calypso.
  • Developed Multi Source Volatility Surface Generator for FX Options Desk.
  • Developed FX Options VAR system that interfaces with FENICS.
  • Built Trade Source Simulators in Java to test Automated FX Hedging system, receiving deals from various FX trading systems.
  • Using managed C++, integrated a Java pricing service to a C++ pricing tool.
  • Specified requirements in developing an FX Options P&L tracking system.
  • Developed financial algorithms in Java.
  • Met estimated milestones for the customer.

Global Financial Trading Group

  • Provided strategic direction and specifications (working with end users effectively) on developing an FX Options Pricing and Trade Capture system.
  • The system prices and captures certain strategies automatically.
  • This is a multi-tier enterprise system, developed in .Net/C# and has a cutting edge User Interface.
  • Validated pricing and developed certain financial search and rounding algorithms.
  • Developed user interface, financial valuation and date calculation engines.
  • Built RFQ FIX Adaptor to interface with several Volatility Quote Providing Investment banks.
  • Have been ahead of schedule in delivering components for the system.

Top 5 Largest USA Investment Bank

  • Provided strategic direction on FX Options Trading System.
  • Spearheaded effort to release support of digital options in multi-vendor integrated system that provides options pricing, trade capture, life cycle, accounting, credit risk and P&L capabilities.
  • Developed integration of VAR system with FENICS and Calypso for vanilla and exotic FX options.
  • Developed several Java customization features in Calypso to help automate the trading and life cycle of vanilla and exotic FX options.
  • Delivered prototype that permitted trading and sales team to more effectively collaborate on pricing FX options for bank’s customers.
  • Worked with trading and sales teams to setup new pricing models and create custom trading structures in Calypso.
  • Provided user and technical support with the FX Options Trading System, assisting on determining cause of several option pricing issues.
  • Met estimated milestones for the customer, achieving customer satisfaction.

Derivatives Exchange

  • Developed and Benchmarked High Speed Options Valuation Engine that calculates Price, Delta and Various Greeks.
  • Developed Implying Engine and Date Calculation Logic
  • Developed Deposit Rate Interpolator and Implying Engine

Quiet Light Securities

  • Extended existing index options trading system to support new product types at the CME, CBOT and CBOE and to address conditions in the market.
  • Enhanced entire trading suite (Windows/C++/Perl) to retain competitive edge.
  • Applied business domain experience and financial modeling to adapt volatility surface to new traded products.
  • Assessed 4-year in-house development effort and provided strategic direction.
  • Automated Risk Analysis and Trade Capture to handle greater number of trades & users and to support electronic exchange trading.
  • Met all estimated project delivery dates for the customer.

Hedge Fund Owned by Citigroup

  • Improved stability of bank’s FX Options Trading System.
  • Helped pin point errors in P&L analysis of FX Options portfolio.
  • Helped customer with how to effectively roll their cash and forward positions forward, along with risk managing their portfolio.
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