I'm currently working as a Software Engineer in the financial services sector where I design high performance applications in C++. My interests include:
- Numerical C++
- Software engineering principles for building robust and reliable software.
- Domain specific languages for derivatives pricing.
- Parallel programming using TBB, Cuda, and OpenMP.
7 Is there a step-by-step guide for calculating portfolio VaR using monte carlo simulations Jun 8 '14
7 Why does it take so many lines of code to price even the simplest of options with QuantLib Oct 5 '15