jamilrza

Synthetic Equity Delta One Macro - synthetic desk-aligned index futures delta risk calculation automation initiatives ● Built MSCI index rebalance engine proposing the Long/Short trades (L/S) to neutralize delta risk arising due to future index corporate actions. Achieved 98% reduction in delta risk slippage on MSCI reconstitution exposure replication. ● Reduced unexplained delta risk on MSCI total return futures books by 90-95% by building dividend reinvestment calculator using MSCI indices ex-date data feeds. Integrated dividends calculator into MSCI TRF books auto-hedger. ● Developed a historical back-tester for identifying unexplained dividend post-ex-date delta slippage arising from missing JPY dividend confirmations using MSCI-provided late dividend confirmations data feeds. Securitized Structured Products – structured products payoffs modelling, pricing, and risk reporting initiatives ● Developed clients aggregated principal amount reinvestment reporting tool using a likelihood-based ranking (see below) of forthcoming early redemptions on auto-call barrier crossings. Enabled GS preemptively approach clients to retain their principle by re-investing in similarly structures. Result: sales revenue increase of 5-8%/qtr. ● Bult a multi-asset barrier options survival likelihood estimator using one-step survival approach (Glasserman, 2001) and Importance-Sampling Monte Carlo simulation as part of the early redemption scenario analysis reporting. ● Lead structured products payoff modelling and validation framework as part of the integration of the stochastic local volatility pricing engine into GS Marquee for electronification of the equity-linked structured products market making. ● Routinely supervised off-cycle and summer interns. Received outstanding annual appraisal for people development. ● Promoted to Vice President/Executive Director level in Dec 2019

Developed desk tools for parametrization of the SABR-based volatility surface calibration for swaptions pricing and scenario analysis. Enabled desk strats to perform on-demand or/and batch risk analysis scenarios on trading books.

● Developed semi-automated warrants issuance services for the listed warrants market-making platform in close collaboration with EMEA flow trading desk heads. Contributed to warrants market share expansion in Q1’18’. ● Developed index futures pricing module for instruments publicly distributed on Euronext, & German exchanges. ● Enabled traders and middle office to action upon forthcoming expiries or knock-out barrier hit events in real-time by building warrants lifecycle observation interactive blotter. Reduced front-to-back trade processing time effort by 80%.

Technical lead in the R&D team designing a deep learning-based object detection system for industrial and mining sectors. ● Built an image ingestion distributed system to handle images volume up to 1TB/day. Reduced client catalog processing times from 10hrs to 2hrs. Achieved B2B engagement growth rate by 10%/m with the largest UK retailers. ● Enabled semi-automated image tagging by designing N-Gram-based topic classification algorithm using NLTK.

Backed by US DARPA, UKRI and British angel investors, Samos Analytics was a spin-off from SCL Group (UK). I was the lead software engineer in the team of 10. The team worked on solving choice overload by forecasting behavior preferences using statistical analysis of human sentiment data.