This is the story about financial mathematics and how I fell into the financial area and what I found there.

As an introduction of myself I decided to restore an interview with me, which originally was taken by Oleg Chirukhin (@olegchir), and published on during my work at Deutsche Bank about a year ago. As a name of this publication was taken my quote:

“They asked me to familiarize myself with the calculation of the one indicator, and then provided to me few sheets fully filled by integral and second derivatives”

Which is actually a perfectly described area of my interests and responsibility for the last almost 4 years. And this is that I am always happy to speak about, share my knowledge and explore new details in this area.

So what is it all about?

That is the story about developer who dive into the developing solutions for risk management, structure product calculation, various calculations for derivatives such as greeks, IV, PnL and lot of else, and as result fell in love with area which, in general, is named quantitative finance so hard, what moved at walk distance area to the heart of finance on Albion. For sure previously I was interested in finance, but mostly in general terms like which deposit should I chose and calculation how much money I spent during the month. And work experience was based on a general software developer skill set with C++, Java, Spring, concurrency, software architecture patterns and other well known terms and technologies. But at the moment when I started working at a brokerage firm and developed a risk management application I realised what that is the area where I would like to evolve. So after 4 years I am still here, and have not any thoughts to change it.

Basically people who work with financial models may be named The Quants, and a lot of books and films highlight props and cons of this area and consequences which are achievable by playing with math and blind believing in the models. Long-Term Capital Management, Bearn Stearns, Lehman Brothers and a lot of other companies and even the financial system of the countries and whole world can be collapsed because of this.

But it leads us to the popular discussion about the branches of quantitative finance known as P versus Q. There exist two separate branches of finance that require advanced quantitative techniques: the “Q” area of derivatives pricing, whose task is to “extrapolate the present”; and the “P” area of quantitative risk and portfolio management, whose task is to “model the future”.

And I am still somewhere in the middle and from time to time being part of one or another branch by working for various companies like one of the largest brokerage firms at the country, worldwide systemically important bank, or modern fast growing neobank. To be honest, I can’t call myself a Quant because I haven’t created any new models, or achieved hundreds of thousands of dollars by trading on the derivative market. But I implemented other people’s models in software, which I was responsible for, and I do trade derivatives. And I do know how to calculate risk, how to play with options and at the same time keep a delta neutral position for portfolio and why this still will not be a safe haven. Which is a little ironic, because I was developing and was responsible for a risk management application named Haven.

In further publications I will try to highlight details about derivative market, trading, and risk management in terms how it works inside and why we really need all of this as general users.