Dr. Zareer Dadachanji

Working with algorithms for calculating 2-way auto-dealable prices for vanilla and exotic Foreign Exchange (FX) options.

I provide expert quant Consultancy and Training solutions in a flexible and cost-effective manner to a variety of financial services client types.

Working on a project for a German bank, I led a quant team in the design, development, testing and integration of a new financial analytics library. The library performed the mark-to-market valuation of a variety of financial instruments and calculated portfolio Value at Risk (VaR).

• Scoped use of quant analysis techniques for the detection of Unauthorised Trading (UT) • Developed a suite of anti-fraud analytics • Performed validation testing of third-party algorithms. • Led virtual team of UT analytics developers. Reported and explained UT analytics to senior management and helped to prioritise analytics projects. • Developed wide variety of analytics and tools, using a variety of different technologies: C#, IPython, Groovy (DSL), SQL (Impala), Excel, VBA.

I authored the 244-page book, "FX Barrier Options - A Comprehensive Guide for Industry Quants", part of Palgrave Macmillan's series "Applied Quantitative Finance".

I built a mixed Stochastic/Local Volatility (aka SLV or LSV) model (calibrators and calculators) for the pricing of Foreign Exchange (FX) derivatives. The calculators cover First-Generation Exotic options, Realised Volatility swaps/options and Implied Volatility derivatives.

I built the Foreign Exchange (FX) quant modelling and analytics library from the ground up.

I managed a team of quants based in London and Singapore in the development and delivery of up-to-date valuation and risk models for the FX option businesses of the bank.

Senior modeller and manager in the front-office quant team, the Global Modelling and Analytics Group (GMAG). I developed, and managed others in the development of, cutting-edge models for the valuation and risk management of derivatives. I specialised in Equity and FX.

Front-office quantitative analyst in FX and Equity. I developed derivatives pricing models and tools for the FX and Equity businesses, and carried out fundamental research into market dynamics.

Sole quantitative analyst in the hedge fund. I developed forecasting models and high-Sharpe-ratio trading strategies for statistical arbitrage on equity-based funds.

I performed development and testing work on several different projects for clients in the transport and energy sectors, using a variety of technologies, including C, UNIX, SQL, Oracle.

• Computational and theoretical physics in the Theory of Condensed Matter (TCM) group at the Cavendish Laboratory. • Supervisor in mathematics of about 10 students each year. • Member of Christ's College.

Physics Triple First