Computational researcher, published articles on/in:

Machine Learning / Data mining Signal Processing Variable selection Gaussian Processes Information theory Wavelets packet decompositions Genetic algorithms Joint Markov Blanket theory

ICANN, ECML / PKDD IEEE ICDM, AAAI, ...

Developed a library of option pricing models in C++: Monte Carlo: Risk Neutral Pricing - using strategy pattern, - anti-thetic sampling (using decorator pattern)

Binary Tree pricing: Cox-Ross-Rubinstein, Jarrow-Rudd, Trigeorgis, ...

Path Dependent option pricing,

Basket options,

Partial Differential Equations (Finite Difference Methods) - Explicit Euler, - Implicit Euler, ...