NY Summer intern in the Information Technology Mortgages
group. Implemented variance reduction methodology in
Monte Carlo simulation for increasing the accuracy of
price/OAS valuation.
11/94-02/95 Darrel Dark Consulting
Consultant. Co-developed and implemented a novel interest
rate model. Implemented credit risk valuation models.
06/94-09/94 J.P Morgan & Co
Summer intern in the derivatives research department.
Worked on developing a draft version of the credit
derivatives model.
PROFESSIONAL SKILLS:
• Modern financial models including interest rate models, credit risk models, and mortgage backed securities, FX, fixed income, equity and commodity derivatives, 6 development notes on mathematical finance.
• Statistics: linear and non-linear estimation, non-parametric (bootstrap) methods, time series analysis, etc. Probabilities and stochastic methods: stochastic differential equations, diffusion processes, point processes, branching processes, etc. Numerical methods: numerical integration of SDE, Monte Carlo methods, finite difference methods, etc.
• Programming in C, ALP and Mathematica, UNIX operation system.
DISTINCTIONS AND HONORS:
1996 – Member of the New York Academy of Sciences
1996 – Reelected as Associated Member by the Scientific Council of Lebedev Institute of Modern Physics, Russian Academy of Sciences.
1991-1995 – Invited talks at 5 international scientific conferences and numerous research institutes and universities worldwide.
1993-1994 – A member of Stanford University Committee on Research
1993 – Elected as a Junior Researcher by the Scientific Council of the Lebedev Institute of Modern Physics, Russian Academy of Sciences.
1989 – Soviet Youth Organization award for excellence in studies.
1097-1990 – Elected one of four student’s members of the Scientific Council of the Department of General and Applied Physics of Moscow Institute of Physics and Technology
Pre 1984 – A winner of All-USSR Olympiade in Physics (1984), Russian Republican Olympiades in Physics and Mathematics
(1982-1984). – Golden Medal recipient for excellence in high school studies (1984).
EDUCATION:
1992-1996 Stanford University Stanford, CA
Ph.D in Theoretical Physics, Physics Department.
