Quant IT Development, Schwerpunkt Investment Banking, Equity Derivatives, Trading

4/2004 – offen

• IT concepts & software development in structured products und equity derivatives division, risk management systems Sophis Risque & Front Arena, quant IT development:
o stochastic volatility calibration distributed framework
o p&l reports & p&l explanations tools
o volatility & market data update distributed grid with impact calculations, flexible market data scenarios tools
o p&l reports snapshots & archiver
o (semi) automatic hedging supporting tools: delta, vega, epsilon
o different data flow interfaces from/to Sophis (e.g. Front Arena)
o realtime barrier monitoring tool, barrier hits delta changes calculations
o fixing delta, theta delta scenarios
o COM infrastructure for all Sophis/ Front Arena related application & tools on trading floor. Unique technology to bind Front Arena into Excel formulas realtime
o 32/ 64 bit inter- process communication for VBA6/ Excel
o trading supporting tools for fixings, fixings monitoring & monitoring infrastructure
o Sophis client GUI extensions
o exercise/ assignment processing on expiries
o brokers connectivity interfaces (cscreen, vectalis)
o parametric volatility fitting & publishing system based on realtime options quotes
o public markets e-trading platform implementation
o FIX based interfaces/ trading system TradeWeb, Dertitrade, RFQhub, CScreen

• C++, VB(A), C#, Excel and Access, SQL, ORACLE, mySQL, MQ series (IBM Websphere), WPF, WCF, .NET, XML/JSON
• direct on-desk support & IT development in front office / trading floor in trading, structuring and financial engineering

C#, C++, VBA (Visual Basic for Applications)