About Me

The Short Version: Link to heading

By training, I am an applied mathematician. My Resume.

The Long Version: Link to heading

Encouraged by one too many pop science books or documentaries I did an undergrad in math and physics. The plan (if you could call it that) was to:

1. Become a theoretical physicist.
2. ???
3. Save the world with my brilliance ...somehow. 

But the truth of the matter quickly set in.

When I got to the end of the line it seemed everyone was going into tech/software. That didn’t appeal to me. After reading Mandelbrot and learning about the original quants I instead set my sights on finance and economics. The idea of using my new mathematical and analytical skills for something closer to the human experience was very attractive to me. TMU (then Ryerson U) had just started a new Master’s program in Applied Mathematics where I could learn derivatives pricing. So I moved to “The Big Smoke” or “The 6ix” a.k.a. Toronto with the vague idea of becoming an options trader or something on Bay St.

While doing my M.Sc I discovered I really enjoyed the research and academic environment. Some of the topics that preoccupied me were what is the true nature of risk and what does it mean in a practical sense? Where does the risk-neutral measure come from and how do we measure the utility of risk measures? I was also interested in revisiting some classic topics, namely how to incorporate heavy-tailed distributions like the stables into risk models.

That led me to do a Ph.D. I was jointly supervised by an actuary (Dr. Edward Furman) and a more traditional finance researcher (Dr. Yang Shen). I’ll hopefully be expanding my thoughts more in blog posts on this site, but I think that using ideas and techniques from Act Sci for finance and vice versa can prove very fruitful.

As much as I enjoyed the academic world, it’s not for me at this point. It would, however, be nice to go back later in life. I miss teaching and even lectured at York while at TD. While wrapping up my studies I started planning my exit with some MITACS internships where I did some work on index modelling (this later formed a chapter of my PhD). After finishing my research I became a risk validation quant at TD Securities. I mostly worked on pricing for rate exotics, risk factor modelling and our backtesting framework. After TD I moved to New York where I now work on BP’s power trading floor as a Structurer. There I price various deal kinds (PPAs, load serve, HRCOs etc). One thing I like about my current role is the tangibility, using the same models and concepts that often seemed very abstract at the bank or university to turn say, a solar plant, into a financial portfolio to hedge. I also like being “at the tip of the spear”, as my boss would phrase it, of the energy transition.

This site is a place where I can deposit all my different projects in one place. I’m also hoping (for my wife’s sake if no one else’s) to convert the massive stacks of papers and notebooks I accumulated over the years into a more organized digital archive. Hopefully, I can work out some new paper ideas in the process. If you’ve made it this far, please enjoy.