Giuseppe F.
Quantitative Analyst @Conning
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WORK HISTORY
Quantitative Analyst @Conning
EDUCATION
SCSM - Mathworks. Scuola di Calcolo Scientifico con Matlab.
Matlab tools
Università degli Studi di Palermo
Bachelor's degree, Engineering/Industrial Management
UCL
JuliaCon 2018
University of Rome Tor Vergata
Master's degree, Mathematical Engineering
ABOUT GIUSEPPE F.
Mathematical Engineer ( Majoring in Mathematical Finance, Computer Science, and Statistics ). C/C++ skills ( Main Programming Language )STL - Boost - Posix - Multi-threading - Makefile - Open MP - UML - C++14 - OOP - C99 - Polymorphism - Inheritance - Overloading Operators Mathematical Finance Strong theoretical foundation of Stochastic Calculus - Stochastic Differential Equations - Linear and Nonlinear Derivatives Pricing - Nested Monte Carlo Methods - Finite Difference - Implied Volatilities Nonlinear Constrained Optimization - Jump-Diffusion Process - Stochastic Modelling - Commodity - FX - IR - Equities - Black-Scholes-Merton - CEV - Lattice Methods (Binomial/Trinomial trees)- Feynman Kac - Markov Process - Black-76 - Greeks - Portfolio Hedging - Volatility Smile - Exotic Options - Variance-GammaCredit Risk: Credit Valuation Adjustment ( CVA )- PD - LGD -EAD - VAR ( Value-at-Risk )- CDS - Expected Shortfall Interest Rates Models: Short Rates: Vasicek - Hull-White - G2 - Cox-Ingersol-Ross - CIR++- G2++ HJM instantaneous forward interest rates Forward Market Interest Rates:(Shifted) Libor Market Model or Brace-Garatek-Musiela model Python skills Anaconda - Pybrain - Theano - Tensorflow - IPython - Numpy - Scipy - Scikit-Learn - Polymorphism - Inheritance - Pandas - Sklearn - IronPython (through CLR and JIT)- CPython - Jython (through JVM) Machine Learning Convolutional Neural Networks - Random Forest - Regression - Time Series Analysis - Multivariate Statistics - Bayesian Statistics - Boosted Trees - Support Vector Machine - Trees - Adaboost - Clustering- ARIMA - EWMA - GARCH - ARCH - APARCH (Equities Market ) Knowledge of Matlab - Octave - Scilab SQL - R - Linux MS Office
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