Gary Kennedy

Gary has more than twenty years experience in OTC Derivatives and Technology. His prior positions include Principal Financial Engineer at Calypso Technology (2005-2012) and Senior Quantitative Analyst at Sungard Trading and Risk (2000-2005).

Gary started his career at First Derivatives after graduating with a degree in Mathematics from Queen’s University Belfast and a PhD. in Pure Mathematics, also from Queen’s.

Posts by Gary Kennedy:

  1. 03 May 2023, Fast Valuation of Seasoned OIS Swaps
  2. 08 Apr 2018, TraderTV Interview on MiFID II
  3. 14 Nov 2017, Released: A Julia library for Clarus Microservices
  4. 23 Oct 2017, Public Hearing RE: Examining the 2017 Agenda for the Commodity Futures Trading Commission
  5. 16 Oct 2017, Trade Validation: A simple version of FpML rule IRD12
  6. 14 Jun 2017, Microservices: Swap equivalents in Julia
  7. 21 May 2017, マイクロ・サービス: ISDA SIMM センシティビティ・カリキュレーター
  8. 18 Apr 2017, Microservices: ISDA SIMM™ in R
  9. 04 Apr 2017, Microservices: A SIMM Sensitivities Calculator
  10. 21 Mar 2017, Microservices: An FpML Cashflow Generator
  11. 10 Jan 2017, Clarus Research cited at UK Parliament Treasury Committee
  12. 06 Jul 2016, Auto-detecting date format in CSV files
  13. 30 Mar 2016, Data correction with fuzzy string matching
  14. 19 Jan 2016, Adapting to Direct Forward Curves
  15. 20 Oct 2015, Our new Belfast office
  16. 18 Aug 2015, Boole Conferences Cork, Ireland, 2015
  17. 05 Aug 2015, Quantitative Finance ‘GoodReads’
  18. 27 Jul 2015, CFTC’s Roundtable on the Made Available to Trade Process – July 15, 2015
  19. 07 Jul 2015, Principal Component Analysis of the Swap Curve: An Introduction
  20. 03 Jun 2015, Swap Equivalents via Waves
  21. 08 Apr 2015, OIS Swap Nuances
  22. 01 Apr 2015, Computus: Algorithms to compute Easter
  23. 08 Jan 2015, Year End Turn Rates
  24. 02 Nov 2014, Lamperti Transform
  25. 12 Aug 2014, SABR Calibration: A simple, explicit initial guess
  26. 11 Jun 2014, CFTC Technology Advisory Committee Meeting on June 3, 2014
  27. 10 Mar 2014, Arbitrage-Free SABR: Finite Difference Techniques
  28. 20 Feb 2014, Fed Fund Swap Nuances
  29. 28 Oct 2013, Valuation of Massive OTC Portfolios: From Milli-Seconds to Micro-seconds
  30. 27 Aug 2013, Computing ATM implied volatility analytically
  31. 24 Aug 2013, Choosing A Managed DNS Provider
  32. 03 Aug 2013, Will regulation improve the quality of markets?
  33. 25 May 2013, Arbitrage free SABR and near negative rates
  34. 17 Mar 2013, CloudBees: The extra member of the team
  35. 23 Feb 2013, Two Curves Upfront
  36. 12 Jan 2013, Kinky Curves
  37. 08 Dec 2012, Test Data for the Cumulative Bivariate Normal Distribution
  38. 03 Dec 2012, 99Designs: The Good, the Bad and the Ugly
  39. 13 Nov 2012, Dragon4 and Grisu3: algorithms to display floating point numbers
  40. 11 Oct 2012, ShareLaTeX
  41. 07 Oct 2012, Valuation of CME Deliverable Swap Future
  42. 18 Sep 2012, Implementing BUS/252 Daycount Convention
  43. 13 Aug 2012, Starting an Internship Programme at a Startup
  44. 09 Jul 2012, Elegant Inelegance: Algorithm 199
  45. 09 Jul 2012, Analytic Implied Basis Point Volatility
  46. 09 Jul 2012, Getting started with LaTeX in WordPress