[Mainframe1952] Excellent VBA/Excel developer with derivatives exp available-open to relocate

[Roger]

D ear Partners,

I have Ashutosh VBA/Excel/SQL Developer available immediately for your client requirements. Has worked for  Lehman Brothers, Deutsche Bank, Ernst and Young etc.   He is in NJ right now and is willing to relocate.  Pl. let me know if you have any positions for him. 

 

Location: NY

Relocation: Open

Availability: ASAP

 

Pl. submit to your direct clients only

 

WORK EXPERIENCE

Lehman Brothers, New York                                                                                                                         

Commodities Derivatives Trading (Natural Gas Desk), Associate

·   Excel-based pricing of vanilla structures (options, straddles, spreads, fences) and structured products (binaries, European knock-outs, costless collars) using Black-Scholes option pricing models

·   Conceptualized and implemented VBA-specific functions to convert block-sized Excel-based cell calculations into a single command. This greatly improved functionality and speed of trading sheets

·   Created risk tool using VBA and Flex-Reports (proprietary front-end system interacting with SQL Server 2005 database) to query various risks (delta, gamma, vega, theta) of the New York desk for risk reporting to senior management

·   Pulling in trade details in Kinetix and Flex-Reports (proprietary front-end system interacting with SQL Server 2005 database) for daily PnL attribution

·   Daily Historical data analysis: Created analytical tools in Excel and VBA to facilitate downloading and analyzing financial futures and options prices from internal database to obtain historical volatility, implied volatility and correlation matrix using VBA macros

·   Monitoring of option greeks  for the vanilla pricing book by creating different strike-maps created using Pivot Tables in Excel

NON-VBA tasks at Lehman Brothers

·   Operational tasks : Risk reconciliation, trade capture/booking, interaction with operations group

·   Working with sales team to provide quotes and marks for commercial clients and hedge funds

·   Maintaining and uploading the (ATM and skew)volatility curve using broker quotes

·   Volatility analysis: Daily calculation of breakeven volatility and historical volatility for every contract to identify gamma trading opportunities in the natural gas space

 **My new email is [EMAIL PROTECTED]**

-- Best Regards

Roger Banerjee Business Development Manager CAMO Technologies, Inc. Phone: 732-602-8886 ext 26 Fax : 732-602-8887 Website: www.camotechnologies.com; www.proteans.com   Address: AspenCorporatePark, 1480 Route 9 North, Suite 301, Woodbridge, NJ07095     CAMO Technologies ( a CAMO Group company, publicly listed in Norway) is widely recognized as a dynamic Outsourced Product Development and Strategic IT Consulting service provider. With over 20 years of experience in the software product development, CAMO enjoys certified business partnerships with companies like Microsoft, IBM and Sun. A Certified Microsoft Gold Partner & 550 employees worldwide, the company has 5 ISO 9001:2000 certified DevelopmentCenter in Bangalore, India and 1 in New Jersey, USA.   The information contained in this e-mail transmission is confidential and may be privileged. It is intended only for the addressee(s) stated above. If you are not an addressee, any use, dissemination, distribution, publication, or copying of the information contained in this e-mail is strictly prohibited. If you have received this e-mail in error, please immediately notify us by telephone (+1 732 602 8886), or e-mail the sender and delete the e-mail from your system. If you do not want to receive our emails please let us know so that we may delete you from our email list. CAMO Technologies and subsidiaries ("CAMO Group") do not accept liability for damage caused by this email. and may monitor email traffic.

 

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