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