MATLAB, Research

• Dong et al. model the risk-neutral process by implying risk-neutral densities from equity options and transitioning between nodes
• In theory, any liquid options market could imply a willow tree for pricing path-dependent derivatives on a risk-neutral process
• My thesis work studies how this idea can be used to price exotic interest rate derivatives, with ideas from HJM and credit markets

Python, SHIFT

• Won second place by implementing a market making strategy, using VWAP to predict market trends and adjusting order size
• Led the team and delegated tasks to my teammates, such as backtesting and research, and took notes during meetings for reference
• Set up infrastructure on GitHub and acted as point of contact when IT issues arose related to a bug with SHIFT and Fix Protocol

Excel, VBA

• Participated in a trading contest with other students in Risk Engineering class for bonds, forwards, calls, and puts on USDMXN
• Wrote VBA code to calculate Greeks for each type of instrument traded: Delta, Gamma, Rho for both USD and MXN, and Vega
• Used macro information from current events on Bloomberg to correctly predict a falling dollar and adjust my delta exposure

Python, Pandas

• Cleaned gigabytes of raw data from an API to remove unnecessary columns and changed their types to fit better in memory
• Created backoff infrastructure to call from the API repeatedly and accumulate data without hitting rate limits while caching it
• Converted the analysis from Pandas dataframes to SQL tables, synced to an MSSQL Server on Azure SQL for use with Power BI

Rust, GitHub

• Rewrote the architecture, optimizing squeezing identical lines, removing bloated formatting machinery, and caching operations
• Improved performance by creating a flamegraph of application usage and profiling functions that bottlenecked common usage
• Maintained the repository over a long period of time by answering issues and fixing bugs that arose from my new architecture