Francesco Siano
Senior Quantitative Market Risk Analyst
United Kingdom
Summary
👤
Senior🎓
Top SchoolFrancesco Siano is a Senior Quantitative Market Risk Analyst with 11+ years’ experience valuing and hedging complex gas and power derivatives, including storage, swing and tolling structures across slow seasonal and fast multi-cycle assets. He combines deep quantitative rigor—PhD-level physics and experience in mean-reverting price models, SVI/SSVI volatility surface calibration and adjoint algorithmic differentiation for Greeks—with hands-on engineering in Python, Mathematica, C# and Matlab. At SOCAR Trading and prior roles at Gazprom M&T, Noble and Statoil he built and validated in-house valuation tools, tested commercial platforms and devised PCA- and smoothness-based forward-curve methodologies. Known for turning advanced research techniques (quantum Monte Carlo background) into practical trading and risk solutions, he is completing a toolkit for fast-switching storage and structured swings. Colleagues rely on him for precise model calibration, pragmatic hedging strategies and for bridging academic-level modeling with production trading operations.
11 years of coding experience
15 years of employment as a software developer
Ph.D., Physics, Ph.D., Physics at University of Southern California
Stackoverflow
1,242reputation
39kreached
47answers
2questions
wolfram-mathematica
top-5%
Github Skills (85)
jupyterlab10
pandas9
jupyter-widget9
python9
manipulation9
frame9
os-agnostic9
jupyter9
wolfram-mathematica9
conda9
jupyterlab-extension9
science8
linux8
dataframes8
ecosystem8
Programming languages (4)
Github contributions (5)
test-prototype/LeastSquaresMonteCarloModels
Sep 2015 - Jan 2019
Contributions:13 commits, 6 PRs, 9 pushes in 3 years 3 months
test-prototype/AD
Jan 2017 - Apr 2019
Light-weight implementation of Algorithmic Differentiation in the Wolfram Language
Contributions:20 PRs, 22 pushes, 21 branches in 2 years 2 months
light-weightlightdifferentiationwolframmathematica
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