Associate, 1985 - 1988

As an associate for Drexel Burham Lambert's Fixed Income Research department, I developed analytics and trading systems for MBS and Treasury debt and their derivative options - in Pascal!

I wrote mathematical models: a model for the treasury yield curve, then a valuation model for a new class of options called compound options. Both models worked reliably in production for the remainder of the life of the company.

I also created and babied an emergency, ad-hoc option trading system for MBS traders which was used for almost two years before the "production" version was ready.

Finally, as tech lead for the Automated Universal Rate Of Return Analysis group, we created a universal system to represent and compare all types of fixed income securities, an ambitious effort which unfortunately did not reach fruition before the company closed.