Description
Full Time (10 Weeks)
Supervised by: Dennis O’Callahan, Tiago Silva
VIX Smoothing via Series-Level Filtering Algorithm
- Developed the Series Level Filtering algorithm in Python to smooth highly granular VIX index levels for pricing options on the index
- Participated in general algorithm design, analysis, and production deployment discussions with the Product Maintainence team
iBoxx Fixed Income Broad Based Index Test
- Automated scripts to run the iBoxx Broad Based Index test, and generate live, on-demand reports, about the constitutents of the index and whether it satisfies various SEC index regulation requirements
- Developed a self-designed package in Python to query the SEC EDGAR database to access key financials from 10K, 13Q, 10Q, and various other regulatory filings
Knowledge
- Numerical Computing
- Data Science
- Simulation Modeling
- Computational Finance
- API Development
- Software Engineering
Skills
- Python
- Excel
- SQL