Quantitative Analyst | Software Engineer
Mathematician at heart, quantitative finance technologist by trade. I leverage diverse experiences in academia, derivatives valuation, market risk, and quantitative development to bring a generalist’s perspective to quantitative finance and software engineering.
Professional Experience
DXC Luxoft
Senior Software Developer | Sep 2024 – Present
Risk Engine Engineer role in the counterparty credit risk (CCR) modelling and analytics team within R&C model development group.
Syberry
Financial Software Engineer | Sep 2023 – Sep 2024
Development of a financial platform for a hedge fund client.
- Quantitative developer bridging the gap between hedge fund risk managers and software engineers.
- Developing risk management platform that pipes and transforms trading data.
- Responsible for integration of vendor risk management system into the platform, efficient orchestration of asynchronous API calls and resources.
- Working directly with client’s risk manager and CRO on specifying the business needs and requirements.
Technologies
- Backend: Python, Dagster, FastAPI, Pytest, Pandas, NumPy, SQLAlchemy.
- Databases: PostgreSQL, DuckDB.
- Infrastructure/pipelines: Amazon Web Services, Terraform, Terraspace, Docker, GitHub Actions.
Bank of New York Mellon
Senior Specialist, Model Development | Jul 2022 – Sep 2023
Independent specialist at Risk and Compliance department (MO). Market Risk team responsible for modeling of VaR and SVaR, comprehensive test scenarios and portfolio sensitivity exposures.
- Developing and maintaining market risk models — VaR, SVaR — and stress testing frameworks implemented in C++.
- Calibrating and benchmarking vendor pricing models (Murex risk management system).
- Designing, creating and analyzing risk-related reports and ad hoc analyses for front office and risk management.
- Responsible for Market Risk RWA projections submission for CCAR 2023.
- Coordinating development projects with IT, Validation and Risk Management.
- Developed a method for directly comparing interest rate sensitivities between FO and MO systems using different conventions and curves setups.
- Re-implemented legacy C++ volatility surface builder in Python without performance loss.
Technologies
- Internal risk models: C++.
- Vendor pricing system: Murex.
- Databases: MS SQL.
- Tooling: Python, Quantlib, VBA.
Credit Suisse
Quantitative Analyst | Nov 2018 – Jun 2022
Junior analyst at Credit Derivatives division, part of global front office QuantStrats department (700+ quants, developers and data analysts).
- Development and maintenance of an in-house valuation framework used across bank’s systems (COM C++ and .Net). Contributions to valuation models and market data object builders used in pricing.
- Providing direct support to traders and Middle Office in ad hoc investigations on valuation, risks and technical issues.
- Extending and creating COM-addin-based Excel pricing sheets used by Trading and Product Control.
- Assisting with calculation and analysis of risk profiles, PnL reports, transition impact assessments of trade portfolios.
- Represented the company by giving lectures and taking part in campus recruitment programs.
- Coordinated resolution of strategic process of calculating Collateral Adjusted Valuation for the xVA desk.
Structured Notes
Credit Suisse issued structured note products (corporate bonds with derivatives attached to payout).
- Contributed to structured notes valuation model framework implemented in factorized C++.
- Updated credit curve models and utilities to be compatible with OIS discounting in preparation to LIBOR cessation (F#).
- Extended trading pricing sheets with logic needed to price instruments with compounding rates financing (Excel, COM-addins, .Net extensions).
- Collaborated with quantitative developers from in-house risk management system project on addition of new market data builders (C#).
Longevity Derivatives
Longevity-based (insurance policies and pension schemes) financial derivatives.
- Migrated existing legacy tools to 64-bit environment.
- Provided technical support to Product Control in their monthly tie-in processes.
Technologies
- Pricing framework: F#, C++, COM.
- Risk Managment: C#.
- Trading tools: Excel, VBA.
- CI/CD: Perforce, TeamCity.
Academic Experience
Wrocław University of Science and Technology
Teaching Assistant | Oct 2024 – Present
Teaching computer science for Mathematics students.
University of Wrocław
PhD Candidate | Oct 2016 – Jan 2019
Researched evolution equations involving non-local unbounded operators. Focused on applications of functional and harmonic analysis. Main ‘hero’ of my research was the fractional Laplacian operator — jump-diffusion analogue of the classical Laplacian.
Also interested in hydrodynamic models and applications of PDEs in physics (porous medium modelling, flocking models, quantum mechanics).
Unfinished.
Junior Researcher | Apr 2017 – Jan 2019
Participated in the Polish National Science Center research grant Nonlocal parabolic problems: regularity, blowup, pattern formation. Principal Investigator Prof. Piotr Biler.
Teaching Assistant | Mar 2017 – Jul 2018
Non-linear Functional Analysis, Ordinary Differential Equations, Honors Ordinary Differential Equations.
University of Warsaw
Research Intern | Dec 2016 – Mar 2017
Visiting position during CrossFields PDEs semester organised and sponsored by The Simons Foundation.
Collaboration with Raphael Dunchin, Piotr B. Mucha and with Jan Peszek in the research on fractional Euler alignment system (hydrodynamic flocking dynamics).
- Regular solutions to the fractional Euler alignment system in the Besov spaces framework published in Mathematical Models and Methods in Applied Sciences Vol. 29, No. 01, pp. 89-119
Teaching Assistant | Jan 2017 – Mar 2017
Analysis 1, Analysis 2.
Education
University of Wrocław
Msc in Theoretical Mathematics | Oct 2014 – Sep 2016
Thesis topic: “The anomalous diffusion and fractional Laplacian on the half-line” written under the supervision of Prof. Grzegorz Karch.