hirotoogawa
Quantitative Analystyg
Quantitative Analyst with extensive experience in pricing and validation of derivative products on cryptocurrency, interest rate, FX, and hybrid. Strong programming skills in C++, Python, and more.
Recently, I contributed a pricer of perpetual futures in open-source derivative pricing library (QuantLib)
Recently, I contributed a pricer of perpetual futures in open-source derivative pricing library (QuantLib)
Experience: 11 years
Yearly salary: $18,000
Hourly rate: $70
Nationality: 🇯🇵 Japan
Residency: 🇲🇾 Malaysia
Experience
Quantitative Analyst, Model Validation
Australia and New Zealand Banking Group 2015 - 2021
• Validation of single- and dual-range accruals on CMS, CMS spread, and LIBOR with quanto features • Validation of stochastic local volatility/local volatility/vanna-volga models for FX barrier/rebate, and Bermudan options. • Benchmarked FX model of barrier and rebate options against market prices • Developed an automated batch tool for validation testing and set up CI (Jenkins)
Quantitative Analyst for IR, FX, EQ and Credit derivative trading desks
Daiwa Securities 2014 - 2015
Desk support, developed tool for scenario simulation, and CVA/FVA charge calculation.
Quantitative Analyst
Daiwa Capital Markets Europe Limited 2011 - 2014
• Created a new model of CMS, IRR (cash settled) swaptions • Calibration and its adjustment of exotic models for IR and IR-FX hybrid products • Explored a new copula for CMS spreads • Vanilla and exotic models in a stressed (low/negative rate) environment • Improved numerical precision and optimisation in an implied normal volatility routine
Quantitative Analyst of Japanese Government Bond
Daiwa Securities Capital Markets 2010 - 2010
Developed a VaR calculation tool.
Quantitative Analyst
Daiwa Securities Capital Markets 2010 - 2011
• Improved a payoff-smoothing technique for consistency • Provided trader support for derivative desks and migration of derivative books to a new system
Trader Support of Credit Derivatives
Daiwa Securities Capital Markets 2009 - 2010
• Developed tools for position management • Modelling of pricing of credit derivatives (FtD, CDO)
Skills
quantitative-analyst
quantitative-researcher
c-plus-plus
english
japanese