John Zalles

About John Zalles

Financial software developer with more than 19 years of experience in the financial…

Experience

1. Financial Software Developer

   Numerix

   Mar 2022 — Present · Miami, FL, US

   Led the development, testing, and enhancement of quantitative models and methods in C++ within the Numerix CrossAsset XL framework. This platform facilitates the structuring, pricing, and administration of diverse financial derivatives and structured products within the Microsoft Excel environment, covering Fixed Income, Credit, Equity, Commodities, FX, Inflation, and Hybrids.• In my recent role, some of the key initiatives I undertook included implementing restrictions on the use of LIBOR fallback/transition curves when pricing a settle-in-advance FRA, developing a new Compound Overnight Futures Option Instrument object, and integrating a new Rolling Bond Index object. Furthermore, I enhanced the Zero Rate Shift Bump object by introducing a new input feature for smoothing out tent shocks at start or end points. Additionally, I upgraded the CapFloor Analytic object to accommodate duplicate fixing dates and revised the calculation methodology of the Greek Rho in the Commodity Future Analytic object. I also rectified issues related to linear and flat extrapolation in Yield Curve construction from Discount Factors and expanded the Commodity Average Price Option Analytic to include the calculation and output of Greek Theta.

Education

• Universidad Gabriela Mistral

  Master of Business Administration - MBA, Finance

  2004 — 2005

• University of Miami

  Master of Science - MS, Mathematical/Quantitative Finance

• Universidad Gabriela Mistral

  Bachelor's degree, Business Administration and Management, General

  2000 — 2004