| Goldman, Sachs, & Co
Vice President, FICC Research New York City, NY, USA June 1998-present |
Head of NY interest rate and foreign exchange
desk strategies.
Developed new pricing models for vanillas and exotics, worked with traders on risk management of portfolio of exotic options, active in day-to-day support of risk management system, structured tailored exotic derivatives, experience in emerging fixed income and derivative markets as well as traditional G7 markets. Extensive research into models which capture the volatility skew & smile in the vanilla market; examined their impact on exotic pricing and applied them to relative value trading. |
| Contango Energy International
Lead Financial Engineer Portland, OR, USA August 1996-June 1998 |
Lead designer of a front-office risk
management and trading system for the electricity and natural gas markets.
Built the underlying pricing engines and analytic core, designed the risk management reports, built much of the GUI user interface. Worked on the trading floor with the traders customizing the system and their reports. Extensive experience linking to middle- and back-office systems. |
| Queen's University
Physics Department Kingston, Ontario, Canada September 1992-August 1996 |
PhD in Theoretical Astrophysics.
Original research in the theory of gamma-ray radiation from neutron stars. Developed a new model for high-energy radiation from pulsars; numerically integrated charged particle paths through a model magnetosphere and tracked the radiation patterns. Investigated the spacial distribution of gamma-ray bursts under a generic model where the bursts are caused by interactions between neutron stars in the Galactic halo and comets ejected from stellar systems in globular clusters and the Disk. |
| Queen's University
Department of Engineering Kingston, Ontario, Canada September 1988-September 1992 |
BSc in Engineering Physics.
Generalist engineering program which focused on the underlying physics and mathematics. Courses in partial different equations, numerical methods and statistics, and extensive fundamental physics mixed with practical courses in the mechanical engineering department. |