Head of Quantitative Research

• 2011 - Present

OpenGamma provides analytics related to derivative: - In depth implementation of flow products (multi-curve, collateral, ETD, CSA discounting) - CCP, bilateral and prime broker margin - IM optimisation - Forward IM The foundations of OpenGamma are open source. The documentation can be found at http://strata.opengamma.io/ Head the quantitative research team. Develop and implement quantitative finance models. Special focus on: theory and practice of the multi-curve… Show more OpenGamma provides analytics related to derivative: - In depth implementation of flow products (multi-curve, collateral, ETD, CSA discounting) - CCP, bilateral and prime broker margin - IM optimisation - Forward IM The foundations of OpenGamma are open source. The documentation can be found at http://strata.opengamma.io/ Head the quantitative research team. Develop and implement quantitative finance models. Special focus on: theory and practice of the multi-curve framework; collateral framework; in-depth implementation of flow products; initial and variation margin for CCPs; efficient derivatives computation (algorithmic differentiation); coherent interest rate framework including multi-curve framework and smile; new market infrastructure, regulatory requirements (bilateral margin - capital - balance sheet impact); xVA

Advisory Partner

• 2014 - 2017

Backed by its experience in risk management and OTC and ETD Margining OpenGamma offers quantitative finance advisory services. The focus of those services is on new product design, margin methodology design, regulatory capital, cost optimization and quantitative aspects of changes in the OTC market. Recent engagements include: design of a new deliverable swap futures, design of a new STIR futures based product, development of tools to obtain regulatory approval, review of CCP margin… Show more Backed by its experience in risk management and OTC and ETD Margining OpenGamma offers quantitative finance advisory services. The focus of those services is on new product design, margin methodology design, regulatory capital, cost optimization and quantitative aspects of changes in the OTC market. Recent engagements include: design of a new deliverable swap futures, design of a new STIR futures based product, development of tools to obtain regulatory approval, review of CCP margin methodology, portfolio compression, regulatory capital reduction. Various workshop and in-house training.

Managing Partner

• 2017 - Present

muRisQ Advisory offers quantitative finance advisory services. Its services focus on model validation, derivatives pricing, product design, risk management strategies and related trainings. Multi-curve and collateral framework, Collateral discounting, Impact of CSA, Interest rate models, Exchanged traded instruments design, Variation and Initial Margin methodologies, LIBOR fallback and alternative benchmarks transition, Algorithmic Differentiation (AD). Regular guest speaker at… Show more muRisQ Advisory offers quantitative finance advisory services. Its services focus on model validation, derivatives pricing, product design, risk management strategies and related trainings. Multi-curve and collateral framework, Collateral discounting, Impact of CSA, Interest rate models, Exchanged traded instruments design, Variation and Initial Margin methodologies, LIBOR fallback and alternative benchmarks transition, Algorithmic Differentiation (AD). Regular guest speaker at practitioner and academic conferences on LIBOR fallback/transition and interest rate modelling. CQF lecturer. Show less muRisQ Advisory offers quantitative finance advisory services. Its services focus on model validation, derivatives pricing, product design, risk management strategies and related trainings. Multi-curve and collateral framework, Collateral discounting, Impact of CSA, Interest rate models, Exchanged traded instruments design, Variation and Initial Margin methodologies, LIBOR fallback and alternative benchmarks transition, Algorithmic Differentiation (AD). Regular guest speaker at… Show more muRisQ Advisory offers quantitative finance advisory services. Its services focus on model validation, derivatives pricing, product design, risk management strategies and related trainings. Multi-curve and collateral framework, Collateral discounting, Impact of CSA, Interest rate models, Exchanged traded instruments design, Variation and Initial Margin methodologies, LIBOR fallback and alternative benchmarks transition, Algorithmic Differentiation (AD). Regular guest speaker at practitioner and academic conferences on LIBOR fallback/transition and interest rate modelling. CQF lecturer. Show less

Visiting Professor

• 2015 - Present

Honorary status for individuals of an equivalent academic standing to that of Professor at UCL. Department of mathematics. Supervise master projects and PhD thesis in mathematical finance. Participate and speak at seminars. Lecturer for a master course on interest rate modelling (H1 2019).

Honorary Senior Lecturer

• 2013 - 2015

Head of Interest Rate Modelling

• 2008 - 2011

Headed the front-office interest rate quantitative modelling group and the quant developers group (team of 15 quants and developers) for Dexia Group. Researched, developed and implemented models to trade and risk-manage interest rate and inflation products. Directed the bank level implementation of a coherent interest rate framework including multi-curve framework and smile. Conducted research and publish in international journals on interest rate derivatives. Developed a multi-curve… Show more Headed the front-office interest rate quantitative modelling group and the quant developers group (team of 15 quants and developers) for Dexia Group. Researched, developed and implemented models to trade and risk-manage interest rate and inflation products. Directed the bank level implementation of a coherent interest rate framework including multi-curve framework and smile. Conducted research and publish in international journals on interest rate derivatives. Developed a multi-curve framework. Speaked at academic and practitioner conferences. Show less Headed the front-office interest rate quantitative modelling group and the quant developers group (team of 15 quants and developers) for Dexia Group. Researched, developed and implemented models to trade and risk-manage interest rate and inflation products. Directed the bank level implementation of a coherent interest rate framework including multi-curve framework and smile. Conducted research and publish in international journals on interest rate derivatives. Developed a multi-curve… Show more Headed the front-office interest rate quantitative modelling group and the quant developers group (team of 15 quants and developers) for Dexia Group. Researched, developed and implemented models to trade and risk-manage interest rate and inflation products. Directed the bank level implementation of a coherent interest rate framework including multi-curve framework and smile. Conducted research and publish in international journals on interest rate derivatives. Developed a multi-curve framework. Speaked at academic and practitioner conferences. Show less

Head of Quantitative Research - Deputy Head of Interest Rate Trading (latterly)

• 2002 - 2008

Founded and headed the front-office quantitative analysis team. Researched, developed and implemented models. Developed and implemented IT libraries for IR trading and risk management. Conducted research and publish in international journals on interest rate derivatives and risk management. Spoke at academic and practitioner conferences. Deputy head of interest rate trading (IR derivatives and money market, team of 12 traders). Designed bank level risk management strategies for… Show more Founded and headed the front-office quantitative analysis team. Researched, developed and implemented models. Developed and implemented IT libraries for IR trading and risk management. Conducted research and publish in international journals on interest rate derivatives and risk management. Spoke at academic and practitioner conferences. Deputy head of interest rate trading (IR derivatives and money market, team of 12 traders). Designed bank level risk management strategies for the front-office. Managed the global risk exposure of the interest rate option book. Market-made on structured IR products.

Deputy Head of Treasury Risk (latterly)

• 1999 - 2002

Spearhead the market risk management and middle-office functions. Manage a team of 8 analysts and assistants. Improve methodologies (stress test, VaR, liquidity). Validate IR and FX models. ALM committee member.

Risk manager

• 1999 - 1999

Risk manager for corporate bond portfolio and FX desk. Develop new VaR computation system. Published an article on VaR in Journal of Risk. Risk manager for corporate bond portfolio and FX desk. Develop new VaR computation system. Published an article on VaR in Journal of Risk.

Research scientist

• 1996 - 1998

University lecturer and research scientist. Published in international journals and spoke at conferences. Visiting fellow at Scuola Internationale Superiore di Studi Advanzati (Trieste, Italy - September 1996-March 1997), Scuola Normale Superiore di Pisa (Italy - April 1997-June 1997) and University of Chile (Santiago, Chile - August 1997-October 1997). University lecturer and research scientist. Published in international journals and spoke at conferences. Visiting fellow at Scuola Internationale Superiore di Studi Advanzati (Trieste, Italy - September 1996-March 1997), Scuola Normale Superiore di Pisa (Italy - April 1997-June 1997) and University of Chile (Santiago, Chile - August 1997-October 1997).

Research and teaching assistant

• 1990 - 1996

Taught at undergraduate level (1500 teaching hours). Carried out research leading to a PhD. Published in international journals. Spoke at scientific conferences. Taught at undergraduate level (1500 teaching hours). Carried out research leading to a PhD. Published in international journals. Spoke at scientific conferences.