Business:

Market Generation: LSM regression coefficients, Monte Carlo simulations

Jacobian based optimizations for Interest Rate Delta, Interest Rate Kappa caplets and vols.

XVA, CVA calculators for fixed income interest rate products.

Technology

Using functional scala, akka for implementing risk calculations using bi-temporal database, idempotent, caching of pure functions (no side effects)

Optimizing Garbage Collection vs caching for high performance analytical calculations in Scala and Java

Implement C++ risk calculators along with regression tests, statistical tests, unit tests (gunit), performance bench marking (using gperf)

Distributed monitoring of distributed calculations using ideas from google's Dapper paper.

Instrumented all analytical code with minimal data collection and overhead, to create a detailed picture and performance characteristic of thousands of requests, to optimize for shortening the long tail.

Implementing REST services to manage hybrid cloud.

Design and implement modelling language to interface with CIRBA, Terrafarm, AWS Could specification.

Deploy POC versions of SAAS platforms using Kubernetes.

Implemented Red / Blue deployments for CI / CD using Ansible (modeled after Capistrano / Ansistrano)

Applying Linear Regression, Cohort Analysis to e-commerce industry.

Applying automation, PAAS and SAAS solutions to luxury e-commerce industry.

Excel/Google Sheets to fully deployed e-commerce platforms in just under 4 hours, including page layouts, images, products, inventory etc.

Automated inventory management, order management, vendor management.