I’m primarily interested in “Computational Finance”, or what’s more commonly known as “Financial Engineering”. This field is often considered a subset of mathematics (mainly within Stochastic Processes and Optimization which comprise the field of “Operations Research”). The role of Computer Science is generally down-played in Financial Engineering, although the implementation of finance theory is usually as important and just as challenging as the mathematics itself. Perhaps Emanuel Derman put it best when he said: "I learned from experience to regard quantitative finance as a multi-disciplinary field, a mix of financial theory, mathematics and computer science, overlaid with a skeptical attitude and an ability to talk to and learn from the people who use this stuff to survive."
Within the world of Computer Science, I’m interested in developing multi-threaded Java and C/C++ applications in GNU/Linux/UNIX environments, using XML where appropriate. Additionally, I’m interested in network programming over sockets, including various data transports such as XML-RPC. I use xemacs with the usual set of GNU compilers for C/C++ development (gcc, g++), and lately I’ve been using the Eclipse IDE for Java 1.5 development (although Sun’s Netbeans is nice for Swing development). I typically use Subversion for versioning control of source files. The majority of my work is done in Ubuntu Feisty Fawn 7.04, OS X Tiger, or CentOS 4.2 within the wonderfully minimal fluxbox window manager. My shell of choice is z-shell.
In the Operations Research world, I find myself mostly studying Stochastic Calculus and various Simulation techniques (typically Monte Carlo simulation for the pricing of Options).
Future interests include cluster (multi-processor) MPI-2 application development, advanced Swing User Interfaces, 64-bit application development, and deeper studies of areas within Stochastic Calculus and Stochastic Portfolio Theory. I’m also interested in applying artificial intelligence/machine learning to finance. The FIX Protocol is of particular interest to all electronic traders.
Outside of Mathematics and Computer Science, I enjoy abstract contemporary art through various mediums, in particular: audio, visual, and architecture. I enjoy creating field recordings and experimental electronic music through Digital Signal Processing. My application of choice is Cycling ‘74’s MAX/MSP for its flexibility and power. MAX/MSP is based off of Miller Puckette’s open source software PD. Some of my favorite artists include Christian Fennesz, Ryoji Ikeda, William Basinski, Barnett Newman, and Robert Ryman.
I obtained a private pilot’s license from the FAA (single-engine land, VFR) during the Summer of 2000. At some point in the future, I hope to acquire an additional seaplane rating.
