Oleg Ushakov

Developing counter party credit risk evaluation methodology for interest rate swaps, FX options, CDS, CLN, CDO and commodity swaps using PFE (Potential Future Exposure) approach. Implementing the methodology utilizing semi-analytical approach and Monte-Carlo simulation (Cox-Ingersoll-Ross model and Hull-White model calibrated in NumeriX) in Matlab and VBA. Developing stochastic model for FX rate dynamics (RUB/USD, RUB/EUR, RUB/CHF) taking into account specificity of emerging market (pegged exchange rate).

Development of software for pricing basket of barrier and digital FX options. Downloading of date from BLOOMBERG information system in stand alone application; Calculation of the implied volatility surface for FX options; Calculation of fair price of plain vanilla options (call and put); Evaluation of fair price of barrier and digital options;

Analysis of noise induced and chaotic processes in nonlinear systems with feedback. Planning, performing of experiments and computer simulations, theoretical analysis of stochastic differential equations

Analysis of noise induced and chaotic processes in nonlinear systems with feedback. Planning, performing of experiments and computer simulations, theoretical analysis of stochastic differential equations

Non-linear interaction in silicon nano-clusters