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Current responsibility
Daren is the lead quantitative developer in Milliman’s Financial Risk Management group.
Experience
Daren has developed market-consistent option valuation models for various equity-linked investment products, as well as embedded interest rate derivatives, and has overseen implementation in C++. These valuation models have been used to support trading functions within active hedge programs, and have also served as calculation engines for stochastic-on-stochastic financial projections of hedge strategy performance. Additionally, flexible design of these computational valuation models has enabled their use in calculating capital requirements, value-at-risk measures, and alternative valuation measures (such as equilibrium and GAAP valuations).
Education
PhD, Chemical Physics, University of Texas Austin | 