Experience

Vola Dynamics LLC

• United States
• Financial Services
• 1 - 100 Employee

• CEO and Founder

  • Mar 2016 - Present

  New York Super-fast, robust, and sensible analytics for options pricing (vanillas and vol derivatives), fitting volatility surfaces, risk, scenarios, and volatility dynamics. We now provide THE reference valuation and risk infrastructure for the options industry; the world's most sophisticated prop shops, hedge funds and banks are our clients.



KCG Holdings, Inc.

• Capital Markets
• 100 - 200 Employee

• Head of Options Quant Team

  • Jun 2008 - Jan 2015

  Built options market making analytics library and quant team from scratch. Silver Medal at the second Getco International Table Tennis Tournament, Singapore, 2010.



Deutsche Bank

• Germany
• Financial Services
• 700 & Above Employee

• Director

  • Jan 2007 - Feb 2008

  Revamped volatility modeling infrastructure.



Wells Fargo

• United States
• Financial Services
• 700 & Above Employee

• Director

  • Jun 2003 - Dec 2006

  Built equity derivatives quant team and flow and exotic quant library from scratch, covering all quantitative aspects of the ED business.



Goldman Sachs

• United States
• Financial Services
• 700 & Above Employee

• Vice President

  • Jan 2000 - Jun 2003

  Designed first modern arbitrage-free volatility curves and surfaces and relevant fitting algorithms; allows super-fast and robust calculation of local volatilities. Designed new VIX formula that CBOE adopted. Flow and exotic equity derivative modeling.



Columbia University

• United States
• Higher Education
• 700 & Above Employee

• Research Scientist

  • Sep 1998 - Dec 1999

  Simulation of QCD using improved lattice schemes and calibration methods, leading to orders of magnitude speed-up.