Greater New York City Area
My main responsibility was the development of pricing and risk assessment platform for large portfolios of cross asset derivatives. I designed and developed the following:
• High-throughput (>100 Gb/h) scalable logging system for microservices architecture. Initial POC was based on Apache Kafka and Hbase. Production version was done with Apache Cassandra and Apache Spark. Web UI was developed with jQuery.
• Distributed microservices architecture with high-performance shared data storage based on Cassandra NoSQL database in order to speed up pricing and risk assessment
• General purpose aggregator for numerical results based on a long-running process in Apache Spark and data storage in Apache Cassandra
• Redesigned pricing engine for FX and commodity derivatives
Technologies: C++, Scala/Java, Python, JavaScript, Apache Cassandra, Apache Spark