Project Manager, Quantitative Analyst, Risk Manager, Trader, Asset Manager, System/Business Analyst

• Moscow Government IT Department: Working on building a digital profile of Moscow city
• Center for Specialized System Equipment: Application of conceptual programming to cyber security.
• Private consulting practice: Advising (graduate) students on Machine Learning, Computer Linguistics, Computational mathematics, Mechanics

Developed and directed an AI/ML project in cyber-security which consisted in analyzing data flows to determine cyber attacks and other anomalies in the network’s behavior. In particular developed method to identify network host or its duplicate based on its network behavior using ML methods including those developed by me personally as well as existing packages.

Directed the analytical part of an interest rates trading project including curve building (LIBOR, SOFR, FF, OIS, swaps) and volatility surface construction and identifying favorable market conditions.

Consulted companies who worked in crypto space in the aspects of ICO of new tokens. Simultaneously developed full project for trading, risk management and market making for local crypto exchange.

Head of Research, Partner. Was in charge of theoretical and experimental research for TLJT (Tornado-like Jet Technology) - a patent-protected technology developed and owned by Inventors Network for heat and mass intensification and drag reduction for fluid flows. TLJT has been successfully applied in aeronautics, train and car industry, as well as in medical area. Based on my finacial vackground was partly responsible for interaction with potential investors.

• Was responsible for proprietary and customer flow trading of the Bank in FX options which involved trading decision making, execution and trade booking, mostly in EM but also in G10.
• Supervised implementation and integration of third parties trading systems on the front, middle and back office levels.
• Supervised establishment of risk limits by the risk-management department.
• Proposed and implemented asset management strategies to Treasury Department.

Personally prepared analytical materials and provided investment advice from global standpoint.

• Organized business operation of the interest rate and commodities option and futures trading desk interacting with CME group, ICAP and IT departments.
• Developed and implemented market making algorithms, various time series analyses, curve construction, risk and PnL explain tools, relative value tools for options of different expirations.
• Oversaw the trade flow and performed trade flow analysis and directed both electronic and pit trading.
• Directed the firm advance to the top 5 market makers ranking on CME/CBOT.
• Responsible for PnL generation and attribution of it to the CEO and top management.

USD LIBOR interest rate swaps. Priced and hedged various swaps deals, hedged positions in broker markets, worked orders in broker markets, along with the more senior traders was directly responsible for the generation of the PnL. Participated in the PnL attribution for the higher management. Simultaneously developed a new trading (market making) system for Credit Suisse to price matched maturity swaps for the off-the-run treasuries, treasury futures, IMM swaps, switches, butterflies and defeasance schemes. Also developed risk and PnL predictor tools and participated in the construction of the USD curve in the aftermath of the August 2007 credit crisis.

As a member of the Ph.D. Risk and Quantitative analysis team (RQA) which reported to the Head of US Fixed Income completed two 1-year rotations through different trading desks at Credit Suisse. Worked directly with traders providing liaison between them and the quantitative modeling group (GMAG) of Credit Suisse. As the most senior associate of the group directed a group of junior associates on several desk projects and evaluated their performance. Conducted interviews with potential candidates (around100 interviews). Interest Rate Products. Developed and built a pricing and risk model for TBA (mortgage-based agency futures) and TBA options, worked on theta-gamma and swaptions-caps relative value strategies and optimal hedging strategies. Energy Trading/Credit Trading. Priced structured deals: Energy: Asian options, spark spread options, credit exposure and optimal control for pump units. Products included natural gas (including basis), crude oil, electricity, and weather derivatives; Credit: CDS, CLN, credit indices. Worked closely with the sales, trading and risk management teams. Developed trading strategies.

Developed highly efficient numerical methods for partial differential equations. Applied to parameter dependent problems these methods can significantly reduce the computational time if it is required to solve those problems repeatedly for different values of the input parameters. Thesis describes those methods and their application to heat transfer, acoustics, and elasticity problems.

Performed a quantitative study of equilibrium of dynamic economy by solving four-dimensional Hamilton-Jacobi-Bellman PDE under the direction of Professor A.Pavlova of the Sloan School.

Software Engineer. Programmed applications in C++ and coordinated software development projects at Cybiko, Inc. These projects included development of a graphical engine for 3D simulation, user applications and computer games.

Developed mathematical methods and models and software programs for data processing and analysis. Collaborated on projects including drag reduction and heat intensification in fluid flows, the study of blood flow in human aorta.