* Morgan Stanley, ( Quantitative Analyst, Counterparty Credit Risk Analytics - Contributions to model development of the Exposure Calculation system in the context of IMM. - Reviewed and tested IR analytical pricers used for potential exposure calculation: IR Swaptions (Phisi- cally/Cash settled, zero-coupon), CMS Swaps/Caps/floors. - Reviewed and tested the American Monte Carlo framework. - Implemented RNIMM methodologies for commodity and IR products (Python). - Contributions to the initial Margin models used for collateral management.
Quantitative Analyst, Quantitative Risk Management - Member of the development team of the CMBX product. - Implemetation of C# Quant Risk library for derivatives pricing and Initial Margin calculation (Equity, Credit, Commodities). - Statistical Modelling of underlying risk factors (Future curves, implied volatilities, credit spreads, etc). - Implemented a general framework for estimation and simulation of non-gaussian CCC ARMA-GARCH models by Maximum likelihood. - Implemented Clewlow-Strickland type models to simulate forward curves.
Fidelity National Information ServicesOctober 2015 - January 2017
Support/development of a C++ cross-asset library used for independent exotic derivatives pricing. - Implemented from scratch a Copula model to engineer Crossed FX smiles. - Implemented Delta/Strike vol parametrization according to FX conventions.
Equities & Commodities Valuation MethodologiesSeptember 2014 - September 2015
* UBS Investment bank Equities & Commodities Valuation Methodologies - Engineering of fair value adjustments and independent price testing methodologies for IPV. Products: Basket/Asian options, VolTargets, CPPI, etc.
- Review of the Front-Ofce pricing models and their parameter marking methodologies. Preparation of model risk review documentation.
Pricing Model ValidationNovember 2011 - August 2014
Performing in depth model risk reviews of Front-Ofce Equity derivatives pricing models. - Development of an independent library for benchmarking and testing purposes (Matlab/C). The library implemented different pricing techniques as Monte Carlo, Finite differences, Longstaff-Schwartz; differ- ent models as Black-Scholes and LocalVol models; and it was able to price complex payoffs and features: Autocallables, discrete/continuous barriers, asians, lookbacks, baskets, quanto options, etc.
Institute for ResearchSeptember 2004 - September 2010
Statistical modelling of electricity load and spot price time series. - Developed automatic estimation and forecasting tools of time series models: Seasonal-ARIMA, dynamic regression, GARCH, State Space, Kalman filter, Neural networks. Developed estimation framework of regime-switching models based on the Expectation-Maximization algorithm. - Matlab, C, C#, PL/SQL, SQL Server. - Publications and works can be found at http://www.iit.upcomillas.es/people/amcruz.
Tester and developer of an application aimed to maintain communication equipments. - The application was developed in Java (J2EE). I was part of a large team of developers (more than 30), involved in all stages of the software life cycle.
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