Welcome to Nik Tuzov's website!

Last update: Nov 24, 2011. A new SAS project is posted in Software skills -> SAS section.

Although my concentration is in Quantitative Finance, I am interested in any area where advanced quantitative methods can add value.  This site mostly contains research and software projects that I completed as a graduate student in Purdue. More up-to-date information is available in my  LinkedIn profile.

^{Keywords: Nik Nik Nik Tuzov Tuzov Tuzov Touzov Touzov Nick Nick Nick Nicholas Nich  CV Resume  ####  Computational Finance Financial Engineering Quantitative quantitative quantitative Economics econometrics  Risk Management  Portfolio Theory  Management Construction optimization  Optimisation Fixed Income Securities Credit Risk  Derivatives Credit Products default Statistical Arbitrage Stochastic Calculus Structured Interest Rate models swaps Treasury short term Bond Japanese Volatility models Monte-Carlo simulation Futures Options swaps Structure Products  structuring Markets  exchange Equity Fundamental securities security Asset Backed Hybrids Convertibles Exotics esoteric asset plain vanilla Treasure treasuries Energy Investment hedging hedge fund mortgage-backed securities Collateralized Debt Obligation  Communication skills oral written Team player organizational Software Barra  RiskMetrics  programming object-oriented C C   C   C++  C++   C++  STL  STL STL  Java  Java  Java Collections Framework  VB  VBA  VB  VBA   VB  VBA  SAS Excel  Access spreadsheet  Matlab MATLAB  OO language S-PLUS  SPlus   S+   R   SPSS  GAMS  Oracle  SQL Server   C#  C# C#  Lisp  LISP  Solaris  Linux Windows UNIX  Relational databases Perl  SQL  SQL SQLVBD  STATA  GAUSS  JMPIN  STATISTIX  Bloomberg  Reuters  HTML C#, C++, Microsoft SQL Server, Borland Delphi, Java/Borland JBuilder, Mathworks Matlab Perl, Ruby, S-Plus, Python, Mathematica, MATLAB and R  .Net       Analyst  analysis  analytical Engineer Developer researcher research  Programmer  technical  pricing  Analytical model validationtime series data Bayesian statistics statistical math  maths  physics PhD  Ph.D.  computer science mathematics advanced degree quant academic MS  M.S. Msc  MSc  probability  econometrics econometrical  PDE numerical numeric numerate stress testing integration Monte Carlo modeling modeling mathematical models forecasting  macro-economic  development  control design Asset Allocation Proprietary consulting algorithms  experience coding technology commodities underlying high-frequency high frequency  trading exchange traded funds market-neutral  Value-At-Risk calculations   CDS EPE GFM  OTC  FX  ABS  IB HF CDO  ALM  LDI  FI  MM VaR VAR  ETF CFA FIX BGM  LGM  Trading Floor Front Office Bank Back Office Business Middle Office  back testing risk scenario analysis Sales and Trading strategies Index exchange traded funds Government active long short money large  data sets  corporate valuation transaction  Cash Flow  Gauss Ox  CRSP equity database data Event-driven event driven CD  prop trading systematic market inefficiencies inefficiency market microstructure IR BGM  HJM models structurer pattern recognition signal processing market behavior machine learning neural networks Emerging Markets risk analytics predicting equity returns intraday private equity sharpe ratio investment industry investment bank quantitative trading pnl pnl pnl transaction costs MBA MBA MBA historic historical S-Plus automated trading OO macro strategies financial modeling money manager Research Analyst Equity Trader Portfolio Manager Assitant Vice President Investment Analyst Investment Manager Credit Analyst developer Quantitative Analyst Risk Associate Trading Researcher PhD Quant Volatility Quant Quantitative Developer Quantitative Analyst Quant Strategist Risk Manager Quant Trader Quantitative Research Risk Modeling Software Engineer Market Maker Quant Quantitative Risk Developer Algorithmic Trading Research Mortgage Prepayment Modeler Quant Library Architect Data Analyst Model Implementation Gas, Power and Oil Credit Exposure Modelling Asset Backed Securities Software Developer Algorithmic Developer Systems Developer Stat Arb High Frequency Trading Commodities Modeling and Pricing Quant Risk Management Quant Researcher Quantitative Programmer Financial Engineer Desk Quant Insurance Model Validation Quant Equity Linked Derivatives IT high frequency ETF Trading #### Computational Finance Financial Engineering Quantitative quantitative quantitative Economics econometrics  Risk Management  Portfolio Theory  Management Construction optimization  Optimisation Fixed Income Securities Credit Risk  Derivatives Credit Products default Statistical Arbitrage Stochastic Calculus Structured Interest Rate models swaps Treasury short term Bond Japanese Volatility models Monte-Carlo simulation Futures Options swaps Structure Products  structuring Markets  exchange Equity Fundamental securities security Asset Backed Hybrids Convertibles Exotics esoteric asset plain vanilla Treasure treasuries Energy Investment hedging hedge fund mortgage-backed securities Collateralized Debt Obligation  Communication skills oral written Team player organizational Software Barra  RiskMetrics  programming object-oriented C C   C   C++  C++   C++  STL  STL STL  Java  Java  Java Collections Framework  VB  VBA  VB  VBA   VB  VBA  SAS Excel  Access spreadsheet  Matlab MATLAB  OO language S-PLUS  SPlus   S+   R   SPSS  GAMS  Oracle  SQL Server   C#  C# C#  Lisp  LISP  Solaris  Linux Windows UNIX  Relational databases Perl  SQL  SQL SQLVBD  STATA  GAUSS  JMPIN  STATISTIX  Bloomberg  Reuters  HTML C#, C++, Microsoft SQL Server, Borland Delphi, Java/Borland JBuilder, Mathworks Matlab Perl, Ruby, S-Plus, Python, Mathematica, MATLAB and R  .Net       Analyst  analysis  analytical Engineer Developer researcher research  Programmer  technical  pricing  Analytical model validationtime series data Bayesian statistics statistical math  maths  physics PhD  Ph.D.  computer science mathematics advanced degree quant academic MS  M.S. Msc  MSc  probability  econometrics econometrical  PDE numerical numeric numerate stress testing integration Monte Carlo modeling modeling mathematical models forecasting  macro-economic  development  control design Asset Allocation Proprietary consulting algorithms  experience coding technology commodities underlying high-frequency high frequency  trading exchange traded funds market-neutral  Value-At-Risk calculations   CDS EPE GFM  OTC  FX  ABS  IB HF CDO  ALM  LDI  FI  MM VaR VAR  ETF CFA FIX BGM  LGM  Trading Floor Front Office Bank Back Office Business Middle Office  back testing risk scenario analysis Sales and Trading strategies Index exchange traded funds Government active long short money large  data sets  corporate valuation transaction  Cash Flow  Gauss Ox  CRSP equity database data Event-driven event driven CD  prop trading systematic market inefficiencies inefficiency market microstructure IR BGM  HJM models structurer pattern recognition signal processing market behavior machine learning neural networks Emerging Markets risk analytics predicting equity returns intraday private equity sharpe ratio investment industry investment bank quantitative trading pnl pnl pnl transaction costs MBA MBA MBA historic historical S-Plus automated trading OO macro strategies financial modeling money manager Research Analyst Equity Trader Portfolio Manager Assitant Vice President Investment Analyst Investment Manager Credit Analyst developer Quantitative Analyst Risk Associate Trading Researcher PhD Quant Volatility Quant Quantitative Developer Quantitative Analyst Quant Strategist Risk Manager Quant Trader Quantitative Research Risk Modeling Software Engineer Market Maker Quant Quantitative Risk Developer Algorithmic Trading Research Mortgage Prepayment Modeler Quant Library Architect Data Analyst Model Implementation Gas, Power and Oil Credit Exposure Modelling Asset Backed Securities Software Developer Algorithmic Developer Systems Developer Stat Arb High Frequency Trading Commodities Modeling and Pricing Quant Risk Management Quant Researcher Quantitative Programmer Financial Engineer Desk Quant Insurance Model Validation Quant Equity Linked Derivatives IT high frequency ETF Trading #### Computational Finance Financial Engineering Quantitative quantitative quantitative Economics econometrics  Risk Management  Portfolio Theory  Management Construction optimization  Optimisation Fixed Income Securities Credit Risk  Derivatives Credit Products default Statistical Arbitrage Stochastic Calculus Structured Interest Rate models swaps Treasury short term Bond Japanese Volatility models Monte-Carlo simulation Futures Options swaps Structure Products  structuring Markets  exchange Equity Fundamental securities security Asset Backed Hybrids Convertibles Exotics esoteric asset plain vanilla Treasure treasuries Energy Investment hedging hedge fund mortgage-backed securities Collateralized Debt Obligation  Communication skills oral written Team player organizational Software Barra  RiskMetrics  programming object-oriented C C   C   C++  C++   C++  STL  STL STL  Java  Java  Java Collections Framework  VB  VBA  VB  VBA   VB  VBA  SAS Excel  Access spreadsheet  Matlab MATLAB  OO language S-PLUS  SPlus   S+   R   SPSS  GAMS  Oracle  SQL Server   C#  C# C#  Lisp  LISP  Solaris  Linux Windows UNIX  Relational databases Perl  SQL  SQL SQLVBD  STATA  GAUSS  JMPIN  STATISTIX  Bloomberg  Reuters  HTML C#, C++, Microsoft SQL Server, Borland Delphi, Java/Borland JBuilder, Mathworks Matlab Perl, Ruby, S-Plus, Python, Mathematica, MATLAB and R  .Net       Analyst  analysis  analytical Engineer Developer researcher research  Programmer  technical  pricing  Analytical model validationtime series data Bayesian statistics statistical math  maths  physics PhD  Ph.D.  computer science mathematics advanced degree quant academic MS  M.S. Msc  MSc  probability  econometrics econometrical  PDE numerical numeric numerate stress testing integration Monte Carlo modeling modeling mathematical models forecasting  macro-economic  development  control design Asset Allocation Proprietary consulting algorithms  experience coding technology commodities underlying high-frequency high frequency  trading exchange traded funds market-neutral  Value-At-Risk calculations   CDS EPE GFM  OTC  FX  ABS  IB HF CDO  ALM  LDI  FI  MM VaR VAR  ETF CFA FIX BGM  LGM  Trading Floor Front Office Bank Back Office Business Middle Office  back testing risk scenario analysis Sales and Trading strategies Index exchange traded funds Government active long short money large  data sets  corporate valuation transaction  Cash Flow  Gauss Ox  CRSP equity database data Event-driven event driven CD  prop trading systematic market inefficiencies inefficiency market microstructure IR BGM  HJM models structurer pattern recognition signal processing market behavior machine learning neural networks Emerging Markets risk analytics predicting equity returns intraday private equity sharpe ratio investment industry investment bank quantitative trading pnl pnl pnl transaction costs MBA MBA MBA historic historical S-Plus automated trading OO macro strategies financial modeling money manager Research Analyst Equity Trader Portfolio Manager Assitant Vice President Investment Analyst Investment Manager Credit Analyst developer Quantitative Analyst Risk Associate Trading Researcher PhD Quant Volatility Quant Quantitative Developer Quantitative Analyst Quant Strategist Risk Manager Quant Trader Quantitative Research Risk Modeling Software Engineer Market Maker Quant Quantitative Risk Developer Algorithmic Trading Research Mortgage Prepayment Modeler Quant Library Architect Data Analyst Model Implementation Gas, Power and Oil Credit Exposure Modelling Asset Backed Securities Software Developer Algorithmic Developer Systems Developer Stat Arb High Frequency Trading Commodities Modeling and Pricing Quant Risk Management Quant Researcher Quantitative  Programmer Financial Engineer Desk Quant Insurance Model Validation Quant Equity Linked Derivatives IT high frequency ETF Trading ####} # Generalized Linear Models, GLM GLM, Design of Experiment,  Quality Control, Machine Learning, Data Mining, SAS, SQL ###