Development/Quant Research team within Structured Equity Products. Tasks: enhancement and maintenance of software systems used for valuation of vanilla and exotic equity products, risk analysis, scenarios.
Achievements:
1. Market data synchronisation between JP Morgan and Bear Stearns systems.
2. Integration of JP Morgan quant libraries into Bear structuring and risk management software.
3. Participated in creation of real time risk management system. I created a number of fast security loaders for Security cache and developed Market Data cache.
4. Developed Structured product which allows fast creation of new val functions based on any combination of existing products and quants’ models. This framework ensures that all greeks are accumulated correctly and the new product can be developed and used for pricing and booking in the risk management system quickly.
5. Developed functionality which allows calculating quoting price for certificates using standard valuation engines which reduces quoting machines’ workload.
6. Migration of all products within equity derivatives to a new way of storing fixings in the central repository, which allowed to:
a. significantly reduce risk of applying incorrect fixings;
b. simplify the corporate action process;
c. reduce the space taken by trades and audit data in the database;
7. Participated in creation of automatic barrier monitoring.
8. A large number of various enhancements for the PnL and risk management system, such as new reports, data viewers, importers, performance improvements, safety check, bug fixing.
9. Supported (1st, 2nd and 3rd lines) the risk management and valuation systems used by all equity derivatives desks globally.
10. Set up team’s Wiki for keeping technical documentation, production support reports, description of standard procedures and information for traders and middle office.

Research and Development team. The company is the leader in realistic pedestrian simulation. Tasks: auto-navigation of people in non-familiar environment, simulation performance improvements, simulation engine refactoring.
Achievements:
1. 50-70% improvements in simulation speed achieved due to serious revamp in underlying data structures and employed algorithms, high and low level optimisation.
2. Advanced script-based filtering mechanism.
3. Enhanced analysing module, which started to provide new analysis metrics, enhanced graphs, completely new level of colouring, tracking and filtering of entities based on script filtering.
4. Refactoring of the simulation engine, simplifying inter-project dependencies.

1. I worked in a team of three to develop Internet-banking system for corporate clients, which gave possibility for clients place orders for FX exchanges, tack their execution and communicate with traders.
2. A system of handling SWIFT messages with elements of document workflow, in which messages were originated, passed necessary approvals and were exported to SWIFT. The system also stored all incoming and outgoing SWIFT messages.
3. Report generation tool for the Cash department. This tool made possible to automatically aggregate reports for Cash department at all levels of company’s infrastructure, e.g. from small branches to regional centres then to county centres and then in the central office.