Experience

Santander Asset Management

• Spain
• Financial Services
• 300 - 400 Employee

• Quant Analyst

  • Aug 2013 - Present



Santander

• Spain
• Banking
• 700 & Above Employee

• • Jun 2005 - Aug 2013

  Development and maintenance of libraries in C++ and Python to valuate derivatives on interest rates. In particular:• Semi-analytical valuation of CMS and other convex payoffs.• Construction of volatility surfaces: stochastic basis model, SABR calibration (normal and lognormal versions) and arbitrage free volatility smiles.• Implementation of one factor Markov Functional Model for general payoffs.• Use of analytical adjusters for HW one factor model for callable range accrual.• Development of tools in Excel for traders and structurers to price and hedge exotics.• Analytic valuation of asiatic options, securitization swaps.Involved in all the necessary procedures to get the final version of the code in production: validation, generation of market data, quality assurance tests. Show less

• • 2009 - 2010

  The general purpose of this team is to monitor and facilitate the development of the business in Interest Rates, synchronizing the different areas (Risk, IT, Front Office, etc).

• • 2007 - 2008

  Work planning and priority management of eight people team.



Universidad Autónoma de Madrid

• Spain
• Higher Education
• 700 & Above Employee

• Profesor Ayudante Doctor

  • 1995 - 2005

  Taught classes to students in Statistics, Probability, Calculus and Algebra in Mathematics, Biology, Computer Engineering and Enviromental Sciences degrees. As a researcher, my research lines were Stochastic Differential Equations, Finantial Mathematics, Harmonic Analysis, Semigroups and Orthogonal Polynomials. Took part in nine research projects (three of them with European funding) and in a great number of conferences. Collaborated with several professors from Universidad de Barcelona, University of Edinburgh, Wroclaw University, Universidad de Ma ́laga, Universidad Nacional del Litoral. Twenty five research papers in leading journals. Show less