don goldman

Provide analytics consulting to Derivatives, Risk Management and related industries.

This is my own corporate umbrella while I worked on my algorithmic trading system. I have also used it to do consulting work, designing and building an optimization system to assess risk and determine optimal allocation of capital to hedge funds inside a fund of funds portfolio

* We were in the process of creating a new company, a Derivatives Valuation spin-off, from DPM when DPM was acquired by Mellon Bank at which time we lost our funding. * I use a combination of Matlab, Visual Basic, Excel and C to build the pricing models/delivery mechanism. This is all hands on mathematics and programming. Building out the model platform myself then hiring and training junior quants to leverage myself. * Hired and trained two quants * Valuation is a full soup to nuts process from model building thru data acquisition and validation. Model cross testing, calibration. * Priced structures ranging from currency barriers to complex equity barriers embedded in structured notes, Asian options on commodities, generic swaps and swaptions, bond options, credit sensitive structures, basket options, etc. * DPM is a fund administrator interested in risk transparency and independent valuation of hedge funds

* One of the principals of the company * On management committee * Client presentations * Developed team which consists of quants, client services, systems programmers personnel * Design, Development and Operation of large scale monte carlo based Measurisk Risk Engine is responsibility of my group * Developed all FAS Derivative pricing * Design/Modeling of the financial analytic side of the risk engine * All production of risk reports on risk engine level managed and operated through my group * Defined all the algorithms under Measurisk’s analytic engine including the monte carlo code, option valuation code, equity factor model, bootstrapping, analytic VaR Analytic Stress testing, etc. * Wrote Measurisk white papers on merger arbitrage, distressed securities convertible modeling, binomial one and two factor modeling, FAS - derivatives pricing - risk management, Measurisk equity factor model, Swap pricing and yield curve bootstrapping.. * Created special modeling approaches for convertible arbitrage, merger arbitrage and distressed securities.

* Early developer of option calculators and animation for the beginning PC market * Developed PC-based option calculators. * Created animation software for the home PC market.

* One of the original boutique Wall Street research groups * Developed a PC-based Deutschmark trading system for use on the Philadelphia exchange. Analyzed EEC (European Economic Community) currency exchange rate system for arbitrage strategy. This led to an understanding of what became later known in the industry as the core anomaly. * Worked on creation of risk-side profit-side trading theory. * Developed a broad range of option models for early exotics.

State University of New York at Stony Brook","Courses and qualifying exam - Ph.D. in Applied Mathematics"]