| Arbitrage Models | |||
| Dollar Index Futures | Pricing formula based upon the work of Etan and Harpaz | Optimized hedge ratios to take advantage of the EMS policy and Deutsche Bank policy | |
| OEX Options | Pricing formula based upon the work of Robert Jarrow and Peter McCullagh | Created a generalization of the Black Scholes formula which included skewness and kurtosis. Created a multinomial model to solve for early exercize of American options. | |
| Trading Models | |||
| Trend Following Model of Commodity Futures | Models were similar to those of Louis Lukac | Models allowed for smoother entry and exit of trades to minimize market impact | |
| Multi Factor Equity Modeling | Models were similar to those of Roll, Ross and O'Shaughnessy | Worked on a team to create a financiametric model to manage a long/short hedge fund | |
| Statistical Arbitrage | S&P 500 and NASDAQ 100 Stocks, S&P Futures, Nasdaq Futures | This was a multifactor mean reversion model |