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