Subject: Interview - Numerical Methods & Finance
From: [email-masked]
To: [email-masked]
Cc: [email-masked]
Date: Thu, 26 Apr 2001 11:45:00 -0700 (PDT)

Dear  Tanya:

        It was a  great pleasure to have met you. I very much enjoyed the interview and your  insightfull questions.
 
        I am keenly  aware that many of the methods that I discussed with you yesterday are unique,  new and not reported elsewhere. This is true both about the work I did in  whole yield curve interest rate pricing as well as GARCH. The innovations  stem from the extensive numerical analysis experience that I have both in  turbulence physics as well as finance. They entailed considering the problem  from its raw formulation, mathematical analysis, physical interpretation,  taylored numerical method development, software writting and develoment and data  management.
 
        As to why I  have not yet published anything the answer is that the driver in my work has  been adding value to the business not publishing. Publishing is however an  option that has always been open with my former supervisor who is aware of the  work that I did.
 
        I not however  that these results were possible only by exploring to the utmost extent the  mathematics, finance, software design and data managemnet aspects of the  problem. Absence of any of these aspects is likely to cripple performance and  execution.
 
        Please recall  that as good as they were the performance measures that I mentioned to you were  for a single processor machine. Vastly better can be achieved with both soft  parallelism (multithreading) as well as hard parallelism (heterogenous network).  This fo course allows us to step up the reach of the models used.
 
        In fact I  know for a fact that better can be done than what I mentioned in the interview.  From work that I have been doing on the integration of the swaption volatility  surface on the whole yield curve interest rate model ITM and OTM instruments can  be included in both the callibration, pricing and hedging. 
 
        I look  forward hearing back from you soon and particularly to the opportunity of us  cooperating.
 
        Best  regards
 
         Joao