Dr. Viatcheslav Belyaev

Hedge Model Validation Principal, Allianz Life (MN) Validated Hedge Models, Strategies, Shocks. Made recommendations to improve them. Developed trading strategies, calibration algorithms and models. Made presentations “Swaptions, bonds and equites in HJM models” at QuantMinds 2018 International Conference at Lisbon, Portugal and “Swaption Prices in HJM model. Non-Parametric Fit” at “Global Derivative 2017” conference, Barcelona, Spain.

Developed and implemented calibration algorithms, hedging strategies for liabilities with embedded exotic derivatives for single equity and basket of equities and bonds. Implemented local, stochastic volatility and local stochastic volatility models for equities, FX, interest rate models (HW, HJM, LIBOR) and inflation. Price exotic equity and hybrid derivatives. Provided hedge efficiency analysis and back tests of hedge strategies. Designed, developed and prototyped Hedge Platform.