Schlagwörter
Skills
Summary
Mathematician with experience in analysis, design and implementation of data driven and machine learning orientated applications. Deep theoretical and practical experience with financial engineering and information retrieval.
Experience
Mathematician with experience in analysis, design and implementation of data driven and machine learning orientated applications. Deep theoretical and practical experience with financial engineering and information retrieval.
Experience
- Learning-to-Rank
- Boilerplate removal
- Near-duplicate detection
- URL filter using cross-entropie und logit-classifier
- Similarity search based on topic model
- Link analysis of web graph (PageRank, TrustRank)
- Risk capital calculations (internal and for regulator) as well as embedded value.
- Analysis, monitoring and enhancements of hedging strategies. Calculation of cash-flow simulations, option pricing, Greeks etc.
- Model point compression of huge insurance policy portfolios applying large scale clustering techniques (vector quantification approach)
- Product analyses for CPPI based insurance products: Monte Carlo projections for profit-testing and risk-capital assessment.
- Implementation and calibration of stochastic market models (interest rate HW-1-factor, LMM-1-factor, equity-model) for risk neutral pricing of life insurance products as well as stochastic projections for ALM.
- C/C++, R, Python, SQL, Java, JavaScript, Perl, Shell-Programming, SIMD/CUDA, numerical and machine learning libraries like lapack, scikit.learn
- Linux system administration, Solr/Lucene, Git, Jupyter, LaTeX
Projekthistorie
I'll be happy to send you my cv.
Ich sende ihnen gerne mein Profil zu.
Ich sende ihnen gerne mein Profil zu.
Reisebereitschaft
Weltweit verfügbar
please request availability
