Gary Kennedy


Gary Kennedy

Gary has more than fifteen 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:

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