Work:
Quantitative Analyst - Chicago, IL
University of California-Berkeley - Berkeley, CA
Postdoctoral Research Fellow
University of British Columbia - Vancouver, BC
Postdoctoral Research Fellow
University of Wisconsin-Madison - Madison, WI
Doctoral Student
Argonne National Laboratory - Lemont, IL
Automated Deduction Intern
Education:
University of Wisconsin-Madison - Madison, WI
PhD in Mathematics
Ohio State University - Columbus, OH
BA in Mathematics
Skills:
PROGRAMMING: C/C++, Matlab, Perl, PHP; STOCHASTIC MODELING: Heston, Dupire, Jump-Diffusion, multi-factor affine-yield models, HJM, BGM/LMM, SABR, Schwartz-Smith; OPTION PRICING: risk-neutral valuation, analytic techniques, binomial tree methods, Monte Carlo simulation