Fixed Income Options Trading Intern
Barclays Investment Bank
May 2008 - Aug 2008 (4 months)
- Aided traders to analyze and manage billions of dollars of Delta, Gamma, and Vega positions for an array of fixed income derivatives, including swaps, swaptions and caps/floors
- Diagnosed implied and realized volatility levels of CPI inflation caps and proposed trading strategies to Barclays' premier customers, including several affluent hedge funds
- Instigated an in-depth study and improved the accuracy of the desk's DVaR by several hundred thousand dollars a day