Dr. Fiodar Kilin

Angestellt, Product Owner. Hybrid Exposure Simulation Engine Methodology, Commerzbank AG

Bis 2009, PhD program in Quantitative Finance, Frankfurt School of Finance & Management

Frankfurt am Main, Deutschland

Fähigkeiten und Kenntnisse

equity derivatives
financial engineering
risk management
interest rate derivatives
Asset-Liability Management
IRRBB
fund derivatives
stochastic volatility
local volatility
structured equity derivatives products
hedging
exotic options
Monte-Carlo pricing
hedging gap risk
FRTB
Central Counterparty (CCP) Risk Management
CVA
arbirtage-free interpolation of the impled volatil
fast pricing of forward-start options
control variates
Brownian bridges
stochastic volatility with jumps
Fast Fourier Transform
hedging second-order volatility sensitivities (van
parallelization of the Monte-Carlo algorithm
dividend modelling
VaR calculations
parametrization of the implied volatility surfaces
Levy processes
jump modelling
Variance Gamma
finite differences
Levenberg-Marquardt method
Numerical Evoluition method
Barndorff-Nielsen-Shephard model
Hull-White model
LIBOR market model
Heston model
multi-factor stochastic volatility models
extrapolation of the implied volatilities in the f
Bates model
correlation products
autocallables
variance swaps
volatility swaps
correlation swaps
options on variance
cliquets
lookback options
asian options
basket options
rainbow options
discrete and continuous barrier options
options on funds
options on ETFs
options on CPPI
forward volatility modelling
forward skew modelling
model risk estimation
optimization methods
performance optimization of the calibration and pr
trading strategies
hedging strategies
static hedging
hedging barrier option when the spot is near the b
Fourier methods
model validation
backtesting
PDE solvers
Imagine trading system
C++
Numerix
Quantlib
Matlab
Mathematica
Excel
VBA
Access
Java
SQL
fractional FFT
publications in refereed journals and books
seminars and talks at international conferences
Team Building

Werdegang

Berufserfahrung von Fiodar Kilin

  • Bis heute 7 Monate, seit Nov. 2023

    Product Owner. Hybrid Exposure Simulation Engine Methodology

    Commerzbank AG

  • 10 Monate, Jan. 2023 - Okt. 2023

    Quantitative Developer

    Commerzbank AG

  • 3 Jahre und 6 Monate, Juli 2019 - Dez. 2022

    Vice President. Treasury / Group Strategic Analytics

    Deutsche Bank AG

  • 9 Jahre und 6 Monate, Jan. 2010 - Juni 2019

    Quantitativer Analyst

    Selbstständiger Berater

    Kunden: Deutsche Börse / Eurex Clearing, Commerzbank, Deutsche Bank, Landesbank Berlin. Projekte in Front Office, Treasury, Risikomanagement, Modelvalidierung, IT.

  • 5 Jahre und 9 Monate, Apr. 2004 - Dez. 2009

    Senior Berater

    Quanteam AG

  • 5 Monate, Dez. 2003 - Apr. 2004

    Praktikant, Quantitativer Analyst

    Sal. Oppenheim

Ausbildung von Fiodar Kilin

  • 3 Jahre und 11 Monate, Feb. 2006 - Dez. 2009

    PhD program in Quantitative Finance

    Frankfurt School of Finance & Management

    Thesis "Numerical advances in pricing forward volatility sensitive equity derivatives"

Sprachen

  • Englisch

    Fließend

  • Deutsch

    Fließend

  • Russisch

    Muttersprache

  • Französisch

    Grundlagen

Interessen

classical music

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