Projects
Selected work, with the problems, trade-offs, and implementation details behind it.
Python, numerical optimization, Treasury futures options
A study of risk-neutral densities from 10Y Treasury futures options, with martingale and no-arbitrage constraints for a new objective function.
- Extends the willow-tree idea from equity options toward a liquid interest-rate derivatives market.
- Uses capital-markets information and discretized risk-neutral nodes to study path-dependent pricing.
Python, VWAP, SHIFT, FIX protocol, GitHub
A second-place market-making strategy that used VWAP to predict trends and adapt order size.
- Led the team, delegated backtesting and research, and kept the group aligned through meeting notes.
- Built backtesting and algorithm components and acted as the point of contact for SHIFT and FIX issues.
VBA, Bloomberg, bond and FX derivatives
A risk-engineering trading contest covering zero-coupon bonds, forwards, calls, and puts on USDMXN.
- Wrote VBA to calculate Delta, Gamma, USD and MXN Rho, and Vega for traded instruments.
- Used current-events information from Bloomberg to anticipate a falling dollar and adjust delta exposure.
Python, APIs, Pandas, SQL, MSSQL, Azure SQL, Power BI
A data pipeline that cleaned gigabytes of API data, cached rate-limited requests, and moved analysis into SQL for Power BI.
- Removed unnecessary columns and changed data types to improve memory use.
- Added backoff and caching for repeated API collection, then synchronized SQL tables to Azure SQL.
Python, LangChain, retrieval-augmented generation
A chatbot over daily NBA subreddit posts and comments, tuned to understand community slang and nested discussion structure.
- Built a LangChain retrieval pipeline over the collected post and comment corpus.
- Used prompt engineering to make answers preserve the source community's terminology and context.