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Simon Thornington

Senior Quantitative Developer @ FINCAD

Low-latency by day

Brooklyn, New York

Ranked #558 out of 11,168 for Senior Quantitative Developer in New York

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Simon Thornington's Email Addresses & Phone Numbers

Simon Thornington's Work Experience

FINCAD

Senior Quantitative Developer

July 2014 to Present

Vancouver, Canada Area

Bloomberg

Senior Software Developer

September 2010 to June 2014

Bradley & Thornington

Founder, Software Consultant

January 2002 to August 2009

Simon Thornington's Education

Université de Montréal - HEC Montréal

MBA Masters in Business Administration Finance GMAT 760/800 (99th percentile).

2009 to 2010

McGill University

Bachelor Computer Science

1993 to 1998

Simon Thornington's Professional Skills Radar Chart

Based on our findings, Simon Thornington is ...

Realistic
Ambitious
Reserved

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Based on our findings, Simon Thornington is ...

52% Left Brained
48% Right Brained

Simon Thornington's Estimated Salary Range

About Simon Thornington's Current Company

FINCAD

F3 Quantitative Framework team: Improving performance and numerical stability of the F3 core through data-driven optimization, implementing new features for pricing and risk, such as distributed portfolio pricing, and generally expanding the scope and usability of the F3 analytics framework. F3 Development team: Designed and created a plugin API, so that F3 clients can write their own...

Frequently Asked Questions about Simon Thornington

What company does Simon Thornington work for?

Simon Thornington works for FINCAD


What is Simon Thornington's role at FINCAD?

Simon Thornington is Senior Quantitative Developer


What is Simon Thornington's personal email address?

Simon Thornington's personal email address is s****[email protected]


What is Simon Thornington's business email address?

Simon Thornington's business email addresses are not available


What is Simon Thornington's Phone Number?

Simon Thornington's phone (212) ***-*269


What industry does Simon Thornington work in?

Simon Thornington works in the Computer Software industry.


Who are Simon Thornington's colleagues?

Simon Thornington's colleagues are Xiaoming Shi, Neel Somani, Alex Adamson, Alex Yue, Dave Anderson, Haosheng Zou, Brian Hicks, Li Jin, Jingyuan Wang, and John Labiak


About Simon Thornington

📖 Summary

Experienced with C++, but learning Scala and Haskell as part of a personal project. Passionate about learning, and always open to new contacts with similar interests, whether it's functional programming, mathematics, systematic trading, or something else!Senior Quantitative Developer @ F3 Quantitative Framework team: Improving performance and numerical stability of the F3 core through data-driven optimization, implementing new features for pricing and risk, such as distributed portfolio pricing, and generally expanding the scope and usability of the F3 analytics framework. F3 Development team: Designed and created a plugin API, so that F3 clients can write their own valuation models and use them to price and calculate analytic risk (AAD) within F3. Expanded the core API to support better model diagnostics. Improved the SABR model coverage for shifted SABR and normal SABR, including work on alternative formulations to improve numerical stability. From July 2014 to Present (1 year 6 months) Vancouver, Canada AreaSenior Software Developer @ Tradebook algorithmic execution team: Working on the global equity algorithmic execution engine, pre- and post-trade analytics, and real-time price prediction using OneTick and C++. Cross-asset (equity/FX/rates) derivatives pricing team: Building a client-facing Monte-Carlo exotics pricer with various hybrid derivatives models (Black-Scholes, Hull-White, HW-BS hybrid, local volatility, Heston, LIBOR Market Model) for use in the Bloomberg terminal and for our managed pricing services. Key technical lead for model integration, calibration and pricing, building the next generation of Bloomberg's derivatives pricing capabilities. C++ in UNIX and Linux. Structured notes interest rates derivatives team: Built Bloomberg terminal functions devoted to American/Bermudan callable/capped floaters, swaps, range accruals and inflation-linked notes. Drove design and implementation of a risk/pricing farm for scenario analysis and vega bucketing of swaps and bonds. C++ in UNIX. From September 2010 to June 2014 (3 years 10 months) Founder, Software Consultant @ Founding partner, involved in client relations, project management and software development. Portfolio included Interactive Data (eSignal), Dow Jones (Wall Street Journal), Vigilant Futures, Juicy Orange, Carrara Associates and others. Extensive work on end-user applications and mission-critical servers of production market data systems that supported over 200,000 clients. Designed and implemented reliable multicast protocols using PGM, refactored various multithreaded ticker plant servers, implemented new client charting capabilities, managed remote teams and wrote technical specifications. C++ in Windows, mostly. From January 2002 to August 2009 (7 years 8 months) Trader @ Traded baskets of equities and futures, researched systematic trading methods and provided software consulting services. From July 2001 to July 2002 (1 year 1 month) Lead developer @ Project leader of a greenfield multithreaded market data platform for equities and options which delivered quotes, charts and time series data to over 30,000 Quicken Quotes Live customers and major institutions. Wrote the multithreaded tick processor and the feed parser plugins for NASDAQ, SIAC and OPRA. C in Linux and Windows. From January 1996 to July 2001 (5 years 7 months) MBA, Masters in Business Administration, Finance, GMAT 760/800 (99th percentile). @ Université de Montréal - HEC Montréal From 2009 to 2010 Bachelor, Computer Science @ McGill University From 1993 to 1998 Simon Thornington is skilled in: Software Development, Derivatives, C++, Equities, Windows, Bloomberg, Finance, Unix, Consulting, Linux, Multithreading, Business Development, Software Project Management, Bonds, Web Services


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In a nutshell

Simon Thornington's Personality Type

Introversion (I), Sensing (S), Thinking (T), Perceiving (P)

Average Tenure

3 year(s), 11 month(s)

Simon Thornington's Willingness to Change Jobs

Unlikely

Likely

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Simon Thornington's Achievements

Winner, Quantopian Open Algorithmic Trading Contest

Issued by Quantopian · March 2015

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