Conducting research on stochastic control and information theory in financial and insurance markets. Developing numerical methods for solving PDEs and PIDEs (HJB framework) arising in pricing and hedging problems.

Implemented pricing models for vanilla and complex commodity derivatives using MATLAB. Engineered analytical tools for risk assessment, allowing the Front Office to value optionality premiums. Maintained and optimized the proprietary pricing library, ensuring stability.

Developed an ALM (Asset Liability Management) model (in Python) to forecast profitability of new retirement contracts. Quantified sensitivity to interest rates and longevity risk, directly impacting Solvency Capital Requirement (SCR) strategy.