Ph.D. (Physics), The City College of The City University of New York, May 1998.

M.S. (Computational Finance), The Oregon Graduate Institute of Science and Technology, Feb 2001.

From January, 2000 to December, 2000, I was a student in the Computational Finance Master's program of The Oregon Graduate Institute of Science and Technology (OGI). I was awarded the M.S. degree in Computational Finance in February 22, 2001.

During my studies in Computational Finance, I was able to apply already familiar analytical and numerical techniques in areas of quantitative finance ranging from Derivative Pricing to Risk Management. The work at Oregon also involved the application of Monte Carlo and Bootstrapping methodologies to quantify the so called Value-at-Risk (VaR) of financial instruments. We implemented and compared different approaches to price Derivatives including Monte Carlo, Finite Difference, Binomial and Trinomial Tree Methods. I also have the opportunity to learn and extensively explore the applicability of Times Series Analysis to Financial Market Forecasting, including volatility prediction via GARCH modeling. In addition, during my last term in the Computational Finance program, I participated on a research attempting the application of a statistical technique known as Independent Component Analysis (ICA) to analyze the interaction and term structure of some of the indexes that comprise the iShares MSCI Index Funds.

More specifically, course work experience in Computational Finance program includes

• Financial Time Series Analysis (emphasizing GARCH modeling in financial forecasting and volatility prediction).
• Advanced Numerical Computing in Finance (emphasizing analysis of stochastic differential equations and the pricing of derivatives via Finite Difference, Monte Carlo, Binomial and Trinomial Tree methods).
• Risk Management (emphasizing Value-at-Risk (VaR) computational models, including Historical, Monte Carlo, Del-Normal, and Bootstrapping methodologies.
• Other related courses include Options and Futures I and II, and Investment and Portfolio Management

This stage of my education allows me to enhance, strength and became very knowledgeable on a variety of computer software and programming languages including, C,C++,Matlab,Splus, and PERL. I also acquired a working knowledge on BARRA, a well know financial software.

Following are some interesting projects I participated during my adventure in Computational Finance:

Projects

• Relevant Team projects:
  • Built an optimal portfolio based on dot com companies, and computed its VaR using Historical, Monte Carlo, Delta-Normal, and Bootstrapping techniques. Optimization was performed using Matlab optimization functions and Differential Evolution constrained on minimizing risk, maximizing return, and maximizing a defined profitability function.
  • Presented a BARRA CASE STUDY showing the benefits of Diversification as a way of controlling investment risk exposures.
  • Analyzed and presented the paper "The Distribution of Stock Return Volatility" by Andersen, T. G., Bollerslev, T., Diebold, F.X., and Ebens, H. (1999).
• Relevant Individual project:
  • Wrote a C++ code to price Asian (put and call) Options via Monte Carlo simulation using geometrical and arithmetical averages. The program also reports the corresponding confidence interval based on the Student-t distribution. A Text User Interface was also written.
  • Built and maintained a support web site ( http://www.cse.ogi.edu/class/cse570/) for the course Principles of Modern Finance (CSE570). Associated with this page there is a Discussion Board I maintained for tutoring and help students of CSE570 with the Matlab assignments.
  • Analyzed and presented the paper "The Noise Trader Approach to Finance" by Shleifer, A. and Summers, L.H., Journal of Economic Perspectives(1990), Vol. 4, number 2, (19-33).

Research

Application of Independent Component Analysis (ICA). to the analysis of the interaction and term structure of the iShares MSCI Index Funds ( CSE610 Report).