jeremie dayan

Team lead and full stack engineer, developing and deploying our main product, Trace, using React, Typescript, GraphQL and PostgreSQL on AWS cloud (Fargate, RDS, Serverless). I have also a customer facing role, acting as a pre-sale engineer and customer project dev lead. Stratumn is a network technology company that partners with large organizations to secure their critical processes. Stratumn’s Proof of Process Technology enables traceability, transparency and data integrity, thus reducing costs and complexity of the interactions between partners, customers, auditors and regulators. The solution offers a common audit trail, secured by blockchains and cryptography, where stakeholders can collaborate without revealing their private and confidential data.

* Developped Strategic Capital Optimization Engine to reduce bank’s RWA exposure, Basel I & II impacts * Integrated a database oriented booking system to the front-office pricer * Responsible for daily profit and loss calculation and reporting

* Implement large-scale risk engine dealing with thousands of different market data types and numerous books of trades * Improve test systems to ensure efficient and rigorous checks on library, allow easy test generation and better consistency accross data sources * Design and code the Generic Hybrid Framework: generic and scalable modelling framework, integration into a greater derivatives risk system * Engineered a generic multifactor tree pricing schema based on quadrature technique and polynomial interpolation, using recurring template pattern (testing speed, accuracy, memory requirement) * Developed internal risk framework applied to complex hybrid models for faster and smoother risks, offers alternative to classical bump revaluation risk generation methodology * Managed support team (two people including myself) for Emerging Market Hybrids and Exotics trading desk

* Full stack software engineer in the Derivatives Pricing team, supporting DLIB function. * Conception and deployment of C++ back-end services with large scale and scalability in mind. * User interface design and data layer management in JavaScript. * Enhance current production pipeline using Jenkins Job Builder to improve reliability of tests and minimize operational risk. * Overseeing development and release of new credit asset class capability within DLIB.

stochastic calculus, stochastic process, statistics, PDE and numerical analysis, Monte-Carlo, stochastic optimization