Simon Jurina
Quantitative Researcher (AVP) @Lloyds Banking Group
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WORK HISTORY
Quantitative Researcher (AVP) @Lloyds Banking Group
London, GB
Front-office Quant Researcher building and enhancing production pricing/XVA libraries (C++/CUDA/Python; C#).• Production model development for complex CSA structures and funding/collateral valuation adjustments, grounded in a multi-currency semi-replication framework; rigorous derivations and integration into the XVA valuation stack.• Developed a two-factor Linear Gaussian Model (2F LGM / G2++) framework for joint IR–FX–inflation simulation; documented the model and key pricing implications.• Built Wrong-Way Risk correlation analytics at counterparty and risk-factor levels: KPI design, monitoring/reporting, and rollout into desk workflows.• Performance optimisation for large-scale CPU/GPU simulation workloads, delivering material runtime and cost improvements.• Developed an FRTB-CVA prototype (SA/BA components) and transitioned ownership to a senior colleague.• QR Pricing / LISA optimisation tool: implemented a C# query runner automating pricing calls; built matching adjustment analytics and associated Solvency II tests.• Rotation (Pricing Models Validation, Jul–Dec 2023): redesigned IR curve construction approach; produced RFR curves meeting smoothness and piecewise-constant-forward constraints.PhD Quant Programme:• Quant Finance Academy: stochastic calculus/optimisation, numerical analysis, ML, software engineering/architecture.• Python/C++ JBI training.
EDUCATION
University of St Andrews
Doctor of Philosophy - PhD, Mathematics, Computational/Geometric Group Theory
University of St Andrews
Master’s Degree, Mathematics
SKILLS
ABOUT SIMON JURINA
I’m a Front-Office Quantitative Researcher building and shipping production pricing and XVA models (C++/CUDA/Python; C# tooling). I specialise in taking rigorous theory from derivation to robust implementation at portfolio scale—model development, numerical methods, and performance engineering.Highlights• Production model development for complex CSA structures and funding/collateral valuation adjustments within a multi-currency semi-replication framework.• Cross-asset modelling R&D for joint IR–FX–inflation simulation using a two-factor linear-Gaussian framework.• Wrong-Way Risk analytics and monitoring (counterparty and risk-factor level KPIs/reporting).• Performance optimisation for large-scale simulation workloads on CPU/GPU.• Regulatory and desk tooling including FRTB-CVA and Solvency II matching adjustment analytics.PhD in Mathematics (University of St Andrews). Open to FO quant roles in rates/FX, XVA, and model/platform R&D.
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