Financial Instrument Pricing Using C++
  Relevant Skills

Language Skills
Software Skills
Mathematics skills
Leadership and business skills
Books on Quantitative Finance Worked Through

Language Skills

Russian Native Speaker
German Fluent
English Fluent
Portuguese Read and Spoken (Basic)
French Read and Spoken (Basic)




Software Skills

Programming   C++: Proficient (templates/STL, some Excel automation), Java: Familiar (JDBC, Swing)
Data Processing   MS Excel: Knowledgeable (VBA, Pivot Tables, ODBC, OLAP), Matlab: Proficient
Databases   SQL, ODBC: Knowledgeable; PostgreSQL, MS Access: Proficient, Oracle (PL/SQL): Familiar
Statistics   Stata: Proficient; EViews: Familiar
Business Intelligence   OLAP and Data Mining Features of MS SQL Server 2000, 2005: Familiar
Web design   JavaScript, CSS, Dreamweaver/Fireworks MX, etc.: Proficient

Mathematics skills

I have been trained in the Russian mathematical school tradition, and have continued formal mathematical training to MSc level at the Swiss Federal School of Technology.

My main strengths in math are partial differential equations, especially parabolic (of which Black-Scholes is one), as well as methods of mathematical physics. At least as importantly, I have a grasp of a broad range of mathematical areas, from numerical methods to statistics, and can read my way into a new area quite quickly.

Leadership and business skills

Over the past five years, I have pursued a successful career as an independent consultant. This gave me a substantial experience of deadline-driven, customer-oriented work. I have designed and conducted numerous presentations and trainings, and supervised staff in the US and in Ghana.

This experience sets me apart from most recent PhD graduates, and will provide substantial value added to my employer.

Books on Quantitative Finance Worked Through

Options, Futures, and Other Derivatives, John C Hull, Prentice-Hall International, 2000 : 80% done, ongoing

C++ Design Patterns and Derivatives Pricing, Mark Joshi, Cambridge University Press, 2005 : Completed

Financial Instrument Pricing Using C++, Daniel J. Duffy, Wiley Finance Series, 2005 : 80% done, ongoing