I’m an electrical-engineer/mathematician/hacker/data-scientist/salsa-dancer living in Manhattan.
Since September 2011 I have been working at Opera Solutions in Jersey City, NJ with the Global Markets Analytics team. I apply machine learning techniques to market problems. In particular I work on a valuation model for residential mortgage backed securities and whole loan portfolios. This involves (among other things) a credit model (predicting borrower default), and a prepayment (refinance) model.