London, England, United Kingdom
๐ก๐ถ๐ฐ๐ต๐ผ๐น๐ฎ๐ ๐๐๐ฟ๐ด๐ฒ๐๐ | Head of Quants | C++/Python | Real-Time Pricing & Risk | Fixed Income, Credit & Rates. Over two decades, I have pioneered and scaled quantitative finance, algorithmic trading, and real-time risk management platforms that set industry benchmarks across the US, EMEA, APAC, and Latin America. My mission: to empower institutions with next-generation analytics, transforming decision-making, accelerating product delivery, and unlocking sustainable alpha in high-stakes markets. Iโve delivered measurable impact at Citigroup, UBS, Bank of America, Deutsche Bank, SocGen, HSBC, Mizuho, Commerzbank, ANZ, and XP Incโdeveloping derivatives pricing engines, yield curve and credit models, AI-driven systematic trading frameworks and low-latency analytics that support ultra-fast portfolio risk management across asset classes. ๐ง๐ฟ๐ฎ๐ป๐๐ณ๐ผ๐ฟ๐บ๐ฎ๐๐ถ๐ผ๐ป๐ฎ๐น ๐๐บ๐ฝ๐ฎ๐ฐ๐ ย โข Architected global analytics platforms at Mizuho: sub-millisecond yield curve calibration, compile times reduced from four hours to seven minutes, enabling a lean team of four to outperform groups five times larger. ย โข Elevated technical culture at XP Inc: trained the entire quant team in production-grade C++, embedding engineering rigor and metrics-driven development for rapid market deployment. ย โข Optimized real-time risk systems: cut global deployment cycles from days to under 30 minutes, enhancing oversight, speed, and regulatory-grade reliability. ย โข Built high-performance leadership teams delivering exponential adoption, innovation, and measurable ROI. ๐๐ฐ๐ฎ๐ฑ๐ฒ๐บ๐ถ๐ฐ & ๐๐ป๐ฑ๐๐๐๐ฟ๐ ๐๐๐๐ต๐ผ๐ฟ๐ถ๐๐ My thought leadership reaches 40,000+ LinkedIn followers, 10,000+ newsletter subscribers (The Edge), and a global Quant YouTube audience. ย โข Oxford Postgraduate (Distinction; MSc Financial Strategy with Machine Learning) ย โข Author of Low Latency Interest Rate Markets ย โข SSRN Top 0.01% researcher (#353 of 2.39M+). ๐๐ฒ๐ฎ๐ฑ๐ฒ๐ฟ๐๐ต๐ถ๐ฝ ๐ฃ๐ต๐ถ๐น๐ผ๐๐ผ๐ฝ๐ต๐ Technology alone does not transform marketsโteams do. I practice servant leadership, fostering collaborative, knowledge-sharing cultures that scale talent into future leaders and drive strategic growth. As a pilot in training, I bring the discipline, precision, and calm required to navigate complex systemsโwhether in trading floors or the cockpit. ๐ฉ Partner with me to advance AI-driven quantitative finance, algorithmic trading, and systematic trading strategiesโdelivering innovation, market resilience, and lasting competitive advantage. For more info visit: ๐ป๐ถ๐ฐ๐ต๐ผ๐น๐ฎ๐๐ฏ๐๐ฟ๐ด๐ฒ๐๐.๐ฐ๐ผ.๐๐ธ
Fixed Income, Interest Rates, Credit Derivatives Strategic quant leader specializing in rates, fixed income, and credit, driving innovation in ultra-low latency pricing, real-time portfolio management & risk, and advanced analytics. As a dedicated servant leader, I have built and nurtured a high-performance team culture focused on growth, collaboration, and technical excellence, empowering quant leaders ready to scale XPโs capabilities. Key Achievements & Responsibilities: โข Extended XPโs quant analytics library for fixed income and credit analytics, and expanded the rates offering, including proprietary yield curve, bond curve, and credit curve calibration models, delivering accurate pricing and real-time risk support. โข Designed and implemented advanced Adjoint Algorithmic Differentiation (AAD) risk algorithms and a portfolio risk system using the Jacobian approach for precise, ultra-fast calculations critical to trading. โข Spearheaded a C++ training program, transitioning the core quant team from Python to performant production quality C++ code through pair programming with comprehensive documentation. โข Leveraged AI and large language models (LLMs) to accelerate complex quant tasks and automate workflows, reducing development time and increasing accuracy. โข Developed and launched new products, including Quanto CDS (QCDS), Credit Contingent Extinguishable Swaps, Bond TRS, Asset Swaps, Bond Futures with CTD Switch Options, and structured products. โข Enhanced library quality with rigorous tests and framework improvements to ensure robust analytics performance. โข Delivered targeted training to trading, sales, structuring, and support teams, driving adoption of new quant techniques. - Fostered a servant leadership culture promoting teamwork and ownership; team members are now strong leaders poised to grow the business. โข Expanded quant analytics and services, directly supporting revenue growth, client wins, and price discovery in the new onshore BRL credit sector.
Executive Committee Board Member - Non-Executive Director (NED) As an Executive Committee member and Non-Executive Director, I provide strategic leadership driving academic excellence and robust financial stewardship at one of the UKโs foremost educational institutions. Leveraging cross-disciplinary governance expertise, I help steer sustainable growth and ensure the school meets evolving standards in education and inclusion. Key Responsibilities & Leadership Contributions: โข Shape and oversee the schoolโs strategic direction, aligning academic performance with long-term financial health. โข Chair the Resources Committee, driving rigorous budgetary oversight and optimal allocation of resources to maximize educational outcomes. โข Serve as Vice Chair of the Teaching & Learning Committee, championing pedagogical innovation and continuous curriculum improvement. โข Act as Link Governor for SEND (Special Educational Needs and Disabilities), ensuring inclusive policies and resource provisions meet diverse student needs. โข Lead Head Teacher performance management, fostering leadership excellence and accountability at the highest level. My governance approach emphasizes collaboration, strategic foresight, and operational rigor, supporting Aylesbury High Schoolโs reputation as a beacon of educational quality and innovation.
FX & Rates Trading Focused on FX and Rates trading, with specialization in emerging markets, risk-free rate (RFR) curves, IBOR reform, and cross-currency (Xccy) pricing and risk, I played a key role in evolving HSBCโs quantitative analytics infrastructure to support dynamic trading needs. Key Contributions & Responsibilities: โข Extended the C++ analytics library to broaden FX options capabilities to include rates products, enhancing cross-asset modeling flexibility and speed. โข Developed and maintained pricing and risk models for emerging market and LATAM non-deliverable Xccy swaps, supporting new market penetration and risk management strategies. โข Implemented fast swap risk sensitivities using Adjoint Differentiation (AD), significantly improving calculation speed and granularity critical for live trading. โข Led test-driven development initiatives, building automated unit test suites to ensure pricing and risk accuracy, robustness, and regulatory compliance. โข Played a vital role in migrating pricing and risk functionalities from legacy platforms (Global Calypso, Summit, Murex) to in-house analytics, reducing operational dependencies while improving agility and control. โข Collaborated closely with trading desks, risk teams, and technology partners to align analytics solutions with business objectives and regulatory requirements. This role demanded a blend of quantitative modeling excellence, software engineering rigor, and stakeholder communication to deliver impactful analytics solutions in a fast-paced global markets environment.
Electronic Rates Trading Reporting to Heads of Trading and Global Markets, I transformed a fragmented Quant analytics library into a centralized service powering trading and risk analytics globally. I reshaped the bankโs global quant capabilities, boosting resilience, cutting costs, and reinforcing market leadership. Leadership & Quant Management: โข Led quant business growth, budgeting, and stakeholder management, delivering projects ahead of schedule and under budget. โข Automated workflows to cut costs and speed delivery without sacrificing quality. โข Unified siloed quant teams, consolidating for cost savings and operational synergyโelevating analytics to world-class standards. Strategic Planning & Expansion: โข Executed strategic analyses of Japanese megabanks, gaining a competitive quantitative edge and expanding product and market coverage. โข Forged growth strategies adding Fixed Income, Credit Derivatives, Inflation, FX, Equities & Interest Rate Derivatives support, while expanding globally to London, New York, Hong Kong, Singapore, and Tokyo. โข Integrated Oxford Universityโbased algorithmic trading capabilities, embedding AI & ML (Scikit-Learn, TensorFlow, Quant-Lean) automating RFQs, hedging, price discovery, and cross-selling. Quant Models & Analytics: โข Delivered pricing & risk models for swaps (OIS, IRS, tenor basis, xccy basis, asset swaps), bond stripping, credit modeling, and derivatives pricing. โข Implemented ultra-low latency yield curves (<1 ms) for high-frequency trading. โข Pioneered real-time bucketed risk analytics using Jacobians & AAD, supporting IBOR reform curves (SOFR, ESTR, RFRs). Quant Library & Engineering: โข Built a greenfield, low-latency C++ analytics library with Java, C#, R, Python, Murex, Excel APIs. โข Leveraged parallel programming and build automation (Git, BitBucket, Bamboo, IncrediBuild) to optimize performance and lower costs. โข Championed test-driven development with >85% coverage ensuring robust, high-quality analytics.
Exotic Credit, XVA - Pricing Public Finance Initiatives (PFI) This role demanded deep quantitative expertise in hybrid modeling, advanced computational techniques, and bespoke risk analytics supporting highly regulated, illiquid financial instruments in the public finance sector. Key Achievements & Responsibilities: โข Led pricing and risk management for complex, illiquid hybrid Public Finance Initiatives linked to public utilities including police, hospitals, water boards, nuclear power, and state-backed utilities. โข Developed financial models in C++ for long-dated inflation and credit-linked notes, managing a sensitive portfolio of 100 trades valued at EUR 5 billion. โข Designed and implemented cross-asset exotic pricing and risk models using advanced mathematical tools including martingale theory and stochastic calculus. โข Built hybrid Cox-Ingersoll-Ross (CIR), Hull-White, and credit models coupled with Monte Carlo simulation to price structured exotic products. โข Established Longstaff-Schwartz CVA frameworks and cost of capital calculations integrating credit valuation adjustment and funding costs. โข Delivered bespoke exotic product pricing such as "Target Redemption Inflation-Linked Pay-As-You-Go Credit NtD Window Swaps," addressing highly complex payoff structures and risk profiles.