Пригласить
Отклонить
Рассмотреть позже
Отправить письмо
Ещё
 
Мне нравится
Резюме 30595531
21 ноября 2016

Financial analyst / Derivatives Trader / Market Risk Manager

По договоренности
не имеет значения
не имеет значения
40 лет (7 апреля 1976), мужской, высшее образование
Москва
Готов к командировкам, гражданство: Россия
Работал
Общий рабочий стаж — 16 лет

июнь 2013 — н.в.
3 года и 8 месяцев

Financial Analyst specializing in US listed stock options

(Полная занятость)

Beryl Bay Advisors, г. United States of America.

Created from scratch the option trade selection process for the Short Volatility Portfolio and proposed ideas that resulted in a 61.7% return for the model portfolio from the start of 2014 to the end of March 2015, greatly outperforming the S&P 500 return of 14% during the same period.

As a result of research into options' markets, created a unified relative value analysis and risk management system that produces trade ideas for both buy-and-hold (and sell-and-forget, to earn income) less active traders that prefer to trade infrequently and also for active traders (e.g. options trading desks) that are able to manage risk on an intraday basis.

Designed and calibrated per-stock models used to compute the fair value of options on the respective stocks. Implemented procedures for collecting intraday stock prices and then using them to compute more accurate estimates of price volatility. Devised a process for daily model-based revaluation of all options on all supported stocks.

Produced ideas about stocks whose volatility is to be sold to earn income and stocks whose volatility may be bought without sacrificing income (based on realized volatility being greater than implied) to hedge against extreme moves of the entire market.

март 2002 — сентябрь 2011
9 лет и 7 месяцев

Trader of options and stocks on exchanges in the US

(Полная занятость)

Relative Value Asset Management, г. United States of America.

Traded options on the most liquid US stocks with the intention of betting on volatility (that is, on magnitude rather than the direction of stock price moves). Also traded currency futures.

Profited from 2002 to 2009 (except 2005) and only felt the impact of the world financial crisis in 2010. Total return 133% from 2002 to 2009 (11.2% per annum).

Developed and implemented models used in deciding whether a given option is underpriced or overpriced.

Researched a variety of GARCH models, transitioning later to stochastic volatility models with or without jumps in the stock price and/or the variance process.

Implemented innovative algorithms following the latest publicly available research: Monte-Carlo simulations to calibrate stochastic volatility models, the Fast Fourier Transform method for pricing of European options under stochastic volatility models, a combination of Monte-Carlo simulations with a volatility grid to price American options, a multinomial tree method for pricing options under various GARCH models

Wrote software in Java and C++ for Windows and Linux to collect and analyze historical and real-time stock and option prices and propose trade recommendations.

Designed a 13 GB MySQL database to store historical market data, intraday time series and option pricing results under GARCH and stochastic volatility models.

сентябрь 2000 — июнь 2001
10 месяцев

Associate, Relative Value Group, Global Markets Division

(Полная занятость)

Deutsche Bank AG - Hong Kong, г. Hong Kong.

Designed attractive structured transactions and intermediated between traders and salespeople.

Covered a product range from interest rate and credit to FX and equity structures for all of Asia. Invented ways for investors to earn above-market returns and for liability managers, to pay below-market interest on their borrowings.

Marketed credit-linked notes, first to default baskets and CDO structures. Sold asset swaps, credit default swaps, structured forex-linked and equity-linked investments, G3 and Asian local markets interest rate products, bringing $3 million total revenue.

Prepared indicative pricing, designed termsheets and deal contracts.

август 1998 — июнь 2000
1 год и 11 месяцев

Associate, Swaps Trading Fixed Income, Currency and Commodities Division

(Полная занятость)

GOLDMAN SACHS GROUP, INC. - New York, г. New York.

Responsible for structured interest rate derivatives. Conducted all aspects of the business, including new customer trades, hedging, day-to-day book maintenance, risk and P&L estimation and analysis.

Independently priced and executed trades.

Structured and traded over $7 billion notional of customer trades such as knockout swaps and caps, cancelable swaps, structured notes (range, callable capped or inverse floaters) and swaps against adjustable rate mortgages.

To hedge the interest rate and volatility risks, traded US government bills, notes and bonds, interest rate swaps and LIBOR (Eurodollar) futures, interest rate caps, floors and swaptions.

Designed term sheets; distributed quote sheets for benchmark structures to encourage new trades and to increase awareness of desk capabilities.
Helped banks and money managers to build intuition about derivatives.

Provided trade analysis for derivative clients.

Ключевые навыки
Preparing and conducting presentations,
Public Speaking,
Securities, futures and derivatives markets, financial modeling, risk management,
Investment Banking,
C++, Java, Apache Tomcat
HTML5, JavaScript, MySQL, Relational Databases, Ruby On Rails
Web development,
Scientific programming,
Server-side programming
MS Excel, Linux
Учился

по 2012

Уровень образования: Неполное высшее. Факультет: Mandarin Learning Center - years of study: 2011-2012. Специальность: Advanced to creating and delivering presentations in Chinese on matters of economics and business. Форма обучения: Дневная/Очная.

по 1999

Carnegie Mellon University - www.cmu.edu - Pittsburgh, PA, USA Уровень образования: Высшее (магистр). Факультет: Graduate School of Industrial Administration. Специальность: Master of Science in Computational Finance. Форма обучения: Вечерняя.

по 1998

Carnegie Mellon University - www.cmu.edu - Pittsburgh, PA, USA Уровень образования: Высшее (кандидат наук). Факультет: Mellon College of Science. Специальность: Ph.D. in physics. Форма обучения: Дневная/Очная.

по 1997

Carnegie Mellon University - www.cmu.edu - Pittsburgh, PA, USA Уровень образования: Высшее (магистр). Факультет: Mellon College of Science. Специальность: Master of Science in Physics. Форма обучения: Дневная/Очная.

по 1995

Moscow Institute of Physics and Technology, Dolgoprudny, Russia Уровень образования: Неполное высшее. Факультет: Faculty of General and Applied Physics. Специальность: Solid state physics, 1992-1995: accepted by CMU, I left for the USA after completing MIPT's 3rd year. Форма обучения: Дневная/Очная.
Знает и умеет
Английский язык свободно владею, китайский язык базовый
О себе

GMAT (a USA-based international pre-MBA test) Score: 760 – above 99% of test-takers

XXIII International Physics Olympiad, Finland - First Prize

Пригласить
Отклонить
Рассмотреть позже
Отправить письмо
 
{% dialog.title %} {% dialog.price %} 
Вакансия появится на первых страницах поиска сразу после оплаты.
Бесплатные обновления сохранятся в полном объеме, сроки размещения вакансии не изменятся.
Сразу после оплаты вам будут доступны: имя, электронная почта, телефон и другие контакты
Пожалуйста, обратите внимание: возврат денег за обновление вакансии невозможен.
Возврат денег за покупку невозможен
Внимание: возврат денег за апгрейд до турбовакансии невозможен.
Апгрейд до турбовакансии осуществляется согласно
правилам размещения вакансии.
Хочешь машину
как у соседа?
Узнай, где он работает
с помощью SuperJob!
Подробнее
№ 30595531 обновлено 21 ноября 2016, 13:38
Financial analyst / Derivatives Trader / Market Risk Manager
По договоренности, готов к командировкам
Мужчина, 40 лет (7 апреля 1976)
Гражданство Россия
Москва
Опыт работы 16 лет
Financial Analyst specializing in US listed stock options
3 года 8 месяцев
июнь 2013  — н.в.
Beryl Bay Advisors, United States of America, полная занятость
Created from scratch the option trade selection process for the Short Volatility Portfolio and proposed ideas that resulted in a 61.7% return for the model portfolio from the start of 2014 to the end of March 2015, greatly outperforming the S&P 500 return of 14% during the same period.

As a result of research into options' markets, created a unified relative value analysis and risk management system that produces trade ideas for both buy-and-hold (and sell-and-forget, to earn income) less active traders that prefer to trade infrequently and also for active traders (e.g. options trading desks) that are able to manage risk on an intraday basis.

Designed and calibrated per-stock models used to compute the fair value of options on the respective stocks. Implemented procedures for collecting intraday stock prices and then using them to compute more accurate estimates of price volatility. Devised a process for daily model-based revaluation of all options on all supported stocks.

Produced ideas about stocks whose volatility is to be sold to earn income and stocks whose volatility may be bought without sacrificing income (based on realized volatility being greater than implied) to hedge against extreme moves of the entire market.
Trader of options and stocks on exchanges in the US
9 лет 7 месяцев
март 2002  — сентябрь 2011
Relative Value Asset Management, United States of America, полная занятость
Traded options on the most liquid US stocks with the intention of betting on volatility (that is, on magnitude rather than the direction of stock price moves). Also traded currency futures.

Profited from 2002 to 2009 (except 2005) and only felt the impact of the world financial crisis in 2010. Total return 133% from 2002 to 2009 (11.2% per annum).

Developed and implemented models used in deciding whether a given option is underpriced or overpriced.

Researched a variety of GARCH models, transitioning later to stochastic volatility models with or without jumps in the stock price and/or the variance process.

Implemented innovative algorithms following the latest publicly available research: Monte-Carlo simulations to calibrate stochastic volatility models, the Fast Fourier Transform method for pricing of European options under stochastic volatility models, a combination of Monte-Carlo simulations with a volatility grid to price American options, a multinomial tree method for pricing options under various GARCH models

Wrote software in Java and C++ for Windows and Linux to collect and analyze historical and real-time stock and option prices and propose trade recommendations.

Designed a 13 GB MySQL database to store historical market data, intraday time series and option pricing results under GARCH and stochastic volatility models.
Associate, Relative Value Group, Global Markets Division
10 месяцев
сентябрь 2000  — июнь 2001
Deutsche Bank AG - Hong Kong, Hong Kong, полная занятость
Designed attractive structured transactions and intermediated between traders and salespeople.

Covered a product range from interest rate and credit to FX and equity structures for all of Asia. Invented ways for investors to earn above-market returns and for liability managers, to pay below-market interest on their borrowings.

Marketed credit-linked notes, first to default baskets and CDO structures. Sold asset swaps, credit default swaps, structured forex-linked and equity-linked investments, G3 and Asian local markets interest rate products, bringing $3 million total revenue.

Prepared indicative pricing, designed termsheets and deal contracts.
Associate, Swaps Trading Fixed Income, Currency and Commodities Division
1 год 11 месяцев
август 1998  — июнь 2000
GOLDMAN SACHS GROUP, INC. - New York, New York, полная занятость
Responsible for structured interest rate derivatives. Conducted all aspects of the business, including new customer trades, hedging, day-to-day book maintenance, risk and P&L estimation and analysis.

Independently priced and executed trades.

Structured and traded over $7 billion notional of customer trades such as knockout swaps and caps, cancelable swaps, structured notes (range, callable capped or inverse floaters) and swaps against adjustable rate mortgages.

To hedge the interest rate and volatility risks, traded US government bills, notes and bonds, interest rate swaps and LIBOR (Eurodollar) futures, interest rate caps, floors and swaptions.

Designed term sheets; distributed quote sheets for benchmark structures to encourage new trades and to increase awareness of desk capabilities.
Helped banks and money managers to build intuition about derivatives.

Provided trade analysis for derivative clients.
Высшее образование
1999
Carnegie Mellon University - www.cmu.edu - Pittsburgh, PA, USA
Магистр
Graduate School of Industrial Administration
Вечерняя форма обучения
Master of Science in Computational Finance
1998
Carnegie Mellon University - www.cmu.edu - Pittsburgh, PA, USA
Кандидат наук
Mellon College of Science
Дневная/Очная форма обучения
Ph.D. in physics
1997
Carnegie Mellon University - www.cmu.edu - Pittsburgh, PA, USA
Магистр
Mellon College of Science
Дневная/Очная форма обучения
Master of Science in Physics
Неполное высшее образование
2012
Mandarin Learning Center - years of study: 2011-2012
Дневная/Очная форма обучения
Advanced to creating and delivering presentations in Chinese on matters of economics and business
1995
Moscow Institute of Physics and Technology, Dolgoprudny, Russia
Faculty of General and Applied Physics
Дневная/Очная форма обучения
Solid state physics, 1992-1995: accepted by CMU, I left for the USA after completing MIPT's 3rd year
Навыки и умения
Иностранные языки
Английский (свободно владею), китайский (базовый).
Профессиональные навыки
Preparing and conducting presentations,
Public Speaking,
Securities, futures and derivatives markets, financial modeling, risk management,
Investment Banking,
C++, Java, Apache Tomcat
HTML5, JavaScript, MySQL, Relational Databases, Ruby On Rails
Web development,
Scientific programming,
Server-side programming
MS Excel, Linux
Дополнительные сведения
GMAT (a USA-based international pre-MBA test) Score: 760 – above 99% of test-takers

XXIII International Physics Olympiad, Finland - First Prize