Lucas Processi
Book Author at BNDES
Rio de Janeiro, Brazil
Summary
👤
Senior🎓
Top SchoolLucas Processi is a quantitative finance author, educator, and market risk manager with nine years of experience building and automating ALM and balance sheet optimization models. He authored "ALM & Balance Sheet Optimization: A Mathematical Approach to Banking" and teaches the accompanying practical course through Financial Risk Academy, which he founded to deliver hands-on training in modeling, coding and reporting. At BNDES he applies market risk and pricing expertise while streamlining data pipelines and automated reporting using R, Python, Julia, C++ and VBA. His work bridges rigorous stochastic dynamic programming theory with production-ready implementations spanning data layers, decision variables, regulatory constraints and solver workflows. Trained as an industrial engineer and with a master’s in economics and finance, he combines engineering pragmatism with academic depth to solve complex banking optimization problems. An understated strength is his focus on reproducible, auditable models that translate research into operational tools for banks and regulators.
9 years of coding experience
3 years of employment as a software developer
Bacharelado, Industrial Engineering, Bacharelado, Industrial Engineering at Universidade Federal FluminenseMestrado, Economics and Finance, Mestrado, Economics and Finance at Fundação Getulio Vargas
Github Skills (21)
easter9
calculation8
stochastic8
markov-decision-processes7
bank7
julia7
valuation7
optimization6
stochastic-processes6
rates6
calculator6
xml5
solver5
mixed-integer-programming5
indexing4
Programming languages (1)
Github contributions (5)
lucasprocessi/CVMData.jl
Mar 2021 - May 2022
Contributions:3 commits, 3 pushes, 1 branch in 1 year 2 months
lucasprocessi/SDDP.jl
Sep 2021 - Nov 2023
Stochastic Dual Dynamic Programming in Julia
Contributions:9 pushes in 2 years 1 month
julialangstochastic-dual-dynamic-programmingdualstochasticdynamic-programming
Find and Hire Top DevelopersWe’ve analyzed the programming source code of over 60 million software developers on GitHub and scored them by 50,000 skills. Sign-up on Prog,AI to search for software developers.