Arthur Pham
Lead Quantitative Analyst, NYC
New York, New York, United States
Summary
👤
Senior🎓
Top SchoolArthur Pham is a Lead Quantitative Analyst with 13 years of experience and a decade at Thomson Reuters, specializing in C++, C#, F#, VBA and Excel for pricing and risk across interest rates, credit, equity and FX derivatives. He leads a small distributed quant engineering team in New York, driving production-grade features such as SVI equity volatility surfaces, swaption volatility cubes, Nelson-Siegel-Svensson curves, and cross-volatility models for illiquid pairs. Arthur combines quantitative rigor (CQF, MSc) with pragmatic software practice—introducing CI, migrating tests to Google Test, adding CMake and Vagrant provisioning, and deploying volatility services via WCF and D3.js visualizations. He has a track record of performance engineering (OpenMP Monte Carlo, fast block tridiagonal inversion) and practical model validation for market standards like ISDA CDS. Known for bridging research and production, he also built tools for unusual problems such as copula-based illiquid pair surfaces and a fraud-detection clustering prototype for LIBOR submissions. He is actively hiring quants in Puteaux, reflecting ongoing responsibility for talent and product delivery across Paris and NYC.
13 years of coding experience
7 years of employment as a software developer
Lycée Louis Le GrandComputer Science, Quantitative Finance, Computer Science, Quantitative Finance at ENSIIE - École Nationale Supérieure d'Informatique pour l'Industrie et l'EntrepriseCQF, Certificate of Quantitative Finance, CQF, Certificate of Quantitative Finance at CQFNational Conservatory of Arts and Crafts
Github Skills (65)
django-models10
numerical-integration10
stripe10
django9
stochastic-processes9
cli9
numerical-optimization9
command-line-tool9
quantitative9
numerical-methods9
billing9
local-database9
finance9
django-orm9
fintech9
Programming languages (3)
Github contributions (5)
arthurpham/quantlib-full
Feb 2013 - Feb 2013
Contributions:19 commits in 7 days
arthurpham/arthurpham.github.io
Feb 2015 - May 2020
Contributions:15 pushes, 4 branches in 5 years 4 months
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