Aleksandr Samarin

Developing a mathematical pricing algorithm that will help to gain profit via trading on Moscow Exchange.

Research on a project of developing pricing algorithm for digital options. Designed and implemented personal advanced algorithm, based on EM clusterization and statistical estimators from extreme value theory. The project was completed in Python (pandas, numpy, seaborn) and now is used in practice.

Implementation of different numerical methods in a low-latency system (C/C++, Git, Jira). Maintenance of applications that compute fair prices and greeks of European and American options according to tree models, Black-Scholes formulae and other mathematical models. Development of curve fitting algorithms. Communication and negotiation with colleagues from different countries (in English). Business trips to Stockholm, Sweden.

Working within a team on task "Development of optimization module of loading ATM machines". That included development of predictive model of cash demand and model of optimization of maintenance cost (C/C++, Qt, SQL). Project was completed in time and rated "excellent".