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itsmikefuller/README.md

I'm a Senior Software Consultant in the Capital Markets Group at Deloitte, a team of quants and tech specialists responsible for R&D of the firm's Economic Scenario Generator solution, XSG.

My current work on the XSG team focuses on the one-factor Hull-White interest rate model (HW1) and its implementation in our C++ / C# codebase. I am validating that scenario outputs are consistent following an expansion to the HW1 model's flexibility. Previously, I led research into optimising XSG's parameter calibration method for risk-neutral equity / interest rate models, using Python to test and implement alternative calibration methods. I regularly provide technical guidance and code reviews to junior members of the XSG team.

Outside of Deloitte, I am building out my first Python package, sdatools. The package contains various statistics and data analysis tools, built from the bottom-up, with a case study on calibrating a Total Return Index model. I will be adding more case studies in due course.

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  1. sdatools sdatools Public

    Python package containing statistics and data analysis tools

    Jupyter Notebook

  2. composite_polynomial_approximations composite_polynomial_approximations Public

    Composite Polynomial Approximations to the Sign and Sqrt Functions

    TeX

  3. shape-optimisation shape-optimisation Public

    Code snippets, figures, and report from my 2018 Rokos internship

    TeX