Serge S.

Serge S., Ph.D. Applied Mathematics. Mathematical Olympiad Winner. 20 years of derivatives pricing (risk neutral, supply/demand, fundamental/technical) and market/credit risk experience; Fixed Income, MBS, CMO, ABS, FX, Muni, Emerging Markets, Equity, Commodities, Credit Derivatives, Algorithmic trading. Implemented in C++, Java, C#, C, FORTRAN, VB, Excel, SQL, Matlab, S-Plus, and Stata trading and risk management systems utilizing the best Software Development practices. Extensive experience including over 22 years working with Richard in developing over 240 quantitative analytic models including AI and Machine Learning. Contractor for Numerix, Bank of America Merrill Lynch Built US (CP, T-Bill, Prime, Fed Funds, Munis) and Emerging markets indexes. Fixed Income Derivatives, portfolio Optimization, Dedication, and Immunization Strategies. Designed Multi-dimensional Linear Path Space model and Monte-Carlo methods. Backward/Forward Inductions in implementations of Black-Derman-Toy and Black-Karasinski Interest Rate Models, Wrote models for Insurance securities (SPDA, GIC) Derivatives Implemented pricing of Callable and Index-Principal Swaps.