Ciaran Cox32 Romsey Close, Hockley, Essex, SS5, 4XJ

(Commutable to London, waiting to move to London)Mobile: 07557122632 Email address: ciaran_cox@ymail.com

Interested in the pricing, hedging and calibration of financial models using advanced C and CUDA-based parallel software for advanced computational mathematical trading algorithms.

Education

September 2014 to September 2015

Brunel UniversityMSc (Hons) Financial MathematicsPredicted merit-distinctionModules: Financial Computing 1 (A+), Option Pricing Theory (A), Probability and Stochastics (A), Financial Markets (B+).Pending modules: Financial Computing 2, Interest rate theory, Portfolio theory, Mathematical theory of dynamic asset pricing.

September 2011 to June 2014 Brunel UniversityBSc (Hons) Financial MathematicsUpper second class honours (2.1)Top modules: Stochastic Models (A+), Mathematical Finance (A).

September 2004 to June 2011 Greensward AcademyBTECA levelsAS Levels

GCSE

IT (Merit).Mathematics (C), Accounting (B).Mathematics (B), Accounting (A), General studies (C).10 GCSE’s A to D including Math (A) and English (C),OCR Science (Pass).

Project Work

Potential master’s thesis: Pricing of bond options, interest rate derivatives and swaptions using the Vasicek model, and then calibrating the unknown parameters with the respective market prices using multi-dimensional newton quasi method to give the implied parameters. Once calibrated, other illiquid derivatives can be priced, or compare the change of parameters over time with liquid derivatives to see if the product is under or overvalued, hedging algorithm follows.

Open MP financial computing assignment (achieved 99%): Used my interpretative skills in transforming a mathematical procedure into a multi-threaded computer program, by using advanced C and Open MP programming skills.

Pricing options with trinomial trees (dissertation achieved A-): Priced European, American, Barrier and Double Barrier Knockout call and put options, by simulating multiple Geometric Brownian Motions (GBM) for expected option payoffs. Risk-neutral discounting via the trinomial tree was applied to the payoffs to give price of the option contract. Option Greeks were computed via the trinomial tree and the Black-Scholes equation along with the implied volatility. Delta hedging was done with market data under a user specified delta tolerance with an introduction to transaction costs. All stock and option data was collected from the Bloomberg Terminals and all computations were done in Matlab.

Numerical methods assignment (achieved A+): Priced Geometric Average Rate Asian option and an Asset or Nothing option by approximating their partial differential equation using finite differences, with relevant initial and boundary conditions. Computations were done in Matlab.

Ciaran Cox32 Romsey Close, Hockley, Essex, SS5, 4XJ

(Commutable to London, waiting to move to London)Work experience

Summer 2014 Jota Aviation (Office Assistant) Wired and installed new computer systems. Help with day to day activities of maintenance, fixing airplanes,

guiding airplanes when moving and office refurbishment. Organization of company accounts and general book keeping.

Summer 2013 Citrus Event Staffing (Bar Staff) Serving customers enforcing challenge 25. Ensuring a constant supply of beverages to be served to the public. Worked nights preparing and packing away for the festivals.

Summer 2011 Talk-Talk Sales representative Representing the organization when communicating with the public

at their homes, explaining the products, services and prices Talk-Talk had to offer.

Learnt key principles and methods for showing, promoting, and selling products and services.

Additional skills

IT: Use of Microsoft Office for reporting in Word, if mathematical reports are needed LaTeX will be used for a professional mathematical layout. Bloomberg terminals for transferring asset data into excel then into Matlab for computations and plots. Basic knowledge of SPSS for categories, charts and correlation. Microsoft Publisher and PowerPoint for leaflets and presentations. C programming in Linux for more control of the algorithm than Matlab allows, moving onto multi-thread solving with Open-MP. Solving problems across multiple computers using MPI with nested Open-MP per computer if computationally efficient. CUDA C programming for computing on graphic cards allowing for 2D and 3D parallel techniques for optimisation. Also been introduced into multiple graphic card programming using Open MP environment.

Forex trading: Completed a course in currency trading with Learn to Trade. Covered a variety of strategies for start, intraday and end of day trading, covering cycles, trend, resistance, support, and risk management along with a few trading strategies.

Communication: I feel I can work well within a team and I am also able to work using my own initiative. I am reliable, trustworthy and I am good at time keeping. I am prepared to further myself with training as required.

Awards and achievements: Grades 1-3 on the piano, gold certificate for junior math challenge, trophies in golf competitions.

Hobbies:

Mathematical research; financial modelling with jump processes, interest into quantum computing and using sentimental analysis to estimate asset’s opening market price.

Other hobbies include classical piano, DJ, golf, gym and football.

References: References available on request.