Work Experience¶
Quantitative Financial Software Engineer (Old Mutual Life Assurance Company South Africa - Treasury & Financial Markets, 2021/06 - present)¶
C# full stack work (ASP.NET, Entity Framework), creating and maintaining REST web applications deployed via Docker on the Azure cloud - Developing liquidity and funding managment software to enable users to easily price instruments and organize data efficiently, minimizing labour intensive processes. Conducting build out and maintenance of our ExcelAddin as well as other moderinisng inititives, including development of internal Python packages using pythonNet to allow python to interface with our C# systems. Researched and implemented industry standards using tools like uv and ruff to uphold a consistent and easy to understand workflow and OpenAPI to automatically generate client ppacakges and minimize manual developer work hours.
Python data science work - Led overhaul of cumbersome excel based reports, notably in group’s funds transfer pricing model, and productionised to allow automated genertion of reports on a more frequent basis (Daily, Monthly). Implemented this via Ploomber Pipeline which also enabled better handovers more robust change control process via Git. Other Python work includes spearheading implementation of Python web applications via Django and Django Ninja and researching applicability of hypermedia frontend frameworks (e.g. HTMX) to serve as a leaner more hassle-free alternative to our current Aurellia/React frontends
Internal Processes - Directed much of the upskilling/learning/presentation sessions on the above and other internal procedures to improve process flow and documentation, additionally mentored others on best practices and technical concepts, culminating in producing written learning materials and setting up the broader team’s technical wiki (using JupyterBook) so that recording errors and their solutions, as well as a smooth onboarding process stands not as an afterthought, but instead, a fully integrated front of mind priority.
Education & Qualifications¶
MPhil Mathematical Finance (University of Cape Town) 2020/01 - 2021/01¶
I completed the Master of Philosophy in Mathematical Finance programme, at the African Institute of Financial Markets and Risk Management housed within the Commerce faculty at the University of Cape Town. Courses taken covered Statistics, Measure Theoretic Probability, Stochastic Calculus, Numerical Methods and Simulation, Calibration, Financial Instruments and Risk Management.
BScEng Mechatronics Engineering (University of Cape Town) 2016/01 - 2019/12¶
I graduated with a Bachelor’s of Science (Engineering), in Mechatronics Engineering, awarded with honours by the Electrical Engineering department of the University of Cape Town at the end of 2019. Courses taken covered Computer Science, Robotics, Control, Digital Signal Processing and Electrical Drives and Machines.
Projects:¶
Interest-Rate Option Pricing Accounting For Jumps At Deterministic Times¶
My Master’s Dissertation examined the modelling of interest rates for the purposes of pricing bond options, specifically taking into account random jumps of the interest rate at known points in time. This was done by researching various already existing non-jump pricing models and applying current research in short rate jump models to the application of bond options, after which models were simulated and compared numerically to assess results. See the details here
GenieWebApp¶
Coming soon, Watch this space here
PloomberPipelineTemplate¶
Data science template that I use as a start for most of my projects. Uses Ploomber to construct pipeline of tasks/steps and run end-to-end. Pandas for transformations and data manipulation. Plotly for graphing. Python-pptx for report creation And nbconvert’s pdf generation (intergarated into Ploomber) for user step-by-step process document generation. See repo here
Misc. Information¶
Have worked with a variety of programming languages including: Matlab, Python, Java, C# and Julia.
Have worked and enjoy creative videos, etc with Da Vinci Resolve, video editor and colouring suite as well as different photo editing applications.
Special interests include collecting vinyl records and audio production/sound design, signal processing implementation in the music industry, film and literature, machine learning, technology and general DIY projects