James Stephens
Derivatives Quant
- Role
- Vice President at First Citizens Bank
- Location
- Raleigh, NC, US
- LinkedIn followers
- 500 followers
About James Stephens
I am an experienced derivatives quant with particular expertise in rates exotic options model risk. I add business value by helping banks maximize the range of derivative products offered for a given level of informed, negotiated, model risk appetite.My research interests are in (reflected, backward) stochastic differential equations. At a basic level, these provide a deep link between probability and partial differential equations, thus extending the Feynman-Kac formula. At an applied level, these provide flexible modeling frameworks for both optimal control and stochastic games.(A popular example of the latter is a derivative with both dealer and holder early termination features.)Previously, I was a hardware performance modeler at IBM working on the design of processor / front-side bus / memory-controller complexes. Before that, I was a software performance developer at various software shops. Details omitted below, but available upon request.
Experience
Vice President
Nov 2024 — Present · Raleigh, NC, US
Model risk quant. Head of Derivatives Validation.
Education
North Carolina State University
Bachelor of Science - BS, Philosophy
North Carolina State University
Doctor of Philosophy - PhD, Applied Mathematics
University of Hull
Junior Year Abroad, Philosophy
North Carolina State University
Master of Science - MS, Applied Mathematics
Skills
- Applied Mathematics
- Quantitative Finance
- C++
- Python
- Probability Theory
- Stochastic Processes
- Stochastic Calculus
- Stochastic Differential Equations
- Partial Differential Equations
- Risk Management
- Linear Algebra
- Project Management
- Mathematical Analysis
- System Performance
- Hardware Architecture
- Matlab
- Linux
- Public Speaking
- Numpy
- Scipy
- Git
- Matplotlib
- C/C++ Stl
- Processors
- Cache Coherency
- Memory Controllers
- Multithreading
- Portfolio Management
- Portfolio Optimization
- Asset Allocation
- Technical Presentations
- Competitor Intelligence
- Negotiation
- Cython
- High Performance Computing
- Latex
- Programming
- Java
- Sql
- C
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