Name: Luca Sbardella
Nationality: Italian
Qualifications: PhD, Laurea
Place of Birth: Adria - Italy
Date of Birth: 30-Dec-1971

Residence: London, UK
Status: married
Interests: finance, technology, world economics, politics, sport.
Hobbies: chess, skiing, playing football.

Keywords: trading strategies, quantitative finance, data analysis, statistics, stochastic calculus, application development, database, concurrency, python, C++, boost, javascript, django, linux, open-source, technology.

Employment

11/2008-Date

Consultant - Quantitative finance and data analysis

Quantmind - London UK

Consultant and application development in large data analysis, quantitative finance, risk modelling and distributed computing. Starting up and development of the business.

03/2008 - 04/2009

Fund manager - Quantitative Hedge Fund

Investec Asset Management - London UK

Co-managed a small fund specialized in quantitative trading in forex, commodities and equity indices. Managing the fund was only part of my daily activities with the development of a technological infra-structure taking most of my time. The fund had only seed capital and was closed in early 2009 when the company decided to focus on their core business.

05/2006 - 09/2007

Derivative Trader - Macro Hedge Fund

Ulpia SA - Chiasso Switzerland

This was a senior trading role in a start-up macro hedge fund. Focus was on Fixed Income and Forex volatility and correlation. The role involved the building of the analytical and technological infrastructure of the business.

10/2003 - 03/2006

Strategist - Relative Value Hedge Fund

JWM Partners - London UK

Responsible for trading ideas and risk managing Fixed Income relative value and Forex volatility strategies. I closely interacted with the head of the quantitative group in order to provide possible research directions and practical implementations.

04/2000 - 08/2003

Quantitative Analyst - Fixed Income Proprietary Trading

Nomura - London UK

Working with traders to design and implement strategies in Fixed Income relative value and volatility. Trading carried out using swaps, swaptions, futures and option on futures. From September 2001 I was co-managing the fixed-income trading activities.

01/1996 - 03/1997

Research Assistant - Department of Mechanical Engeneering

Imperial College - London UK

Development of mathematical and computational models for the simulation of unsteady aerodynamics.

Academic

03/1997-03/2000

PhD in Computational Fluid Dynamics

Imperial College London - UK

Mathematical, numerical and computational modelling of aerodynamics of internal flow machines such turbofan jet engines. The research was closely linked with Rolls Royce civil aerospace. Several international publications.

Thesis: Computation of Unsteady Flow in Turbomachinery

09/1990-06/1996

Laurea in Aeronautical Engineering

Poilitecnico Torino - Italy

Five years university degree with lectures in mathematical analysis, general physics theories, applied mechanics, thermodynamics and numerical modelling techniques. Last year thesis carried out at the department of aeronautical engineering of Imperial College London.

Thesis: CFD Analysis of 2D Turbomachinery Flows
Final Mark: 110/110

09/1985-07/1990

Diploma di maturita' scientifica

Liceo Scientifico Galileo Galilei Adria - Italy

Five years secondary school focused on mathematics, literature, physics, Latin, history, chemistry, life sciences.

Final Mark: 56/60

Skills

Financial Market

• Fixed Income experience gained over the last ten years. Expertise is towards cash instruments, swaps and vanilla options. Focus on real and inflation rates and on volatility and correlation. Using swaption, mid-curves, caps, cms-cap, spread options and options on exchange futures.
• Foreign Exchange experience for both forwards and option markets. Developed several models for quantitative trading. Option strategies including forward volatility and correlation trading.
• Understanding and modelling of the impact of economic releases and monetary policy decisions on the movement of asset prices.

Quantitative Finance

• Derivative Pricing, including leveraged stochastic volatility models for pricing smiles and skews.
• Term Structure Modelling, in the underlying and volatility space.
• Econometric Analysis, for analysing financial time-series and developing quantitative trading models.

Coding

• Modern C++ including extensive use of Boost libraries such as Boost.Asio, Boost.Python, Boost.Thread and template metaprogramming. Since 1990.
• Python is my master language. Used for scripting as well as large application development. Libraries: numpy, django, twisted. Since 2006. Open source projects in finance here and random open-source stuff at GitHub.
• R for prototyping statistical and econometric applications. Back testing trading strategies. Since 2008.
• Javascript for client-side visualization and server-interaction. Libraries: jQuery. Since 2008.

Deprecated

• VBA Only for client based Excel applications. With back end written in Python.
• C# no reason to touch the language anymore.
  

Application development

• Full architecture design of distributed concurrent applications with horizontal scalability.
• Expert knowledge of traditional relational databases such as Oracle, MSSQL, MySQL, PostgresSQL, SQLite.
• Use of high performance column-oriented databases for time-series storage and analysis.
• Use of in memory and key-value stores to reduce latency of applications.
• Expose server side applications to Excel or Visual Basic via lightweight Python-powered COM objects.
• Use of several open-source servers such as apache and nginx.