CV


General Information

Dr. Michael Dirkmann
born 28.April 1970 in Marl, Germany

Contact me by

  • eMail: michael AT dirkmann.org
  • ICQ: 354866309

Degrees

2003 MSc in Computational Finance from Carnegy Mellon University (CMU)
1998 PhD in Physics: Experimental High Energy Physics : University of Dortmund and DESY in Hamburg
1995 Diplom in Physics : University of Dortmund
1989 Abitur

Employments

02/2008 - prsent     DekaBank : Head of Quantitative Research and Development for Corporates and Markets
10/2006 - 01/2008     Sal.Oppenheim Frankfurt : Quantitative Analyst
09/2005 - 09/2006     DZ Bank : Finacial Engineer
06/2004 - 08/2005     DrKW : Quantitative Researcher
06/2002 - 05/2004     DrKW : Project Manager (software development)
06/1999 - 05/2002     DrKW : Senior Software Engineer
01/1999 - 05/1999     Mummert+Partner : Consultant
03/1998 - 12/1998     Military Service
11/1997 - 12/1998     Scientific Staff at University of Dortmund
03/1995 - 11/1997     Scholarship : Graduiertenkolleg "Erzeugung und Zerflle von Elementarteilchen"
09/1993 - 12/1994     Assistent and Scientific Staff at University of Dortmund
01/1993 - 04/1993     Assistent at Institute for Accelerator Physics at the University of Dortmund
05/1992 - 12/1992     Assistent at Institute for Robot Research at the University of Dortmund

Current and previous works

Interest Rate Modelling

  • Markov Functional Model
  • Cheyette Model (multi-factor and stochastic volatility: see my talk at Frankfurt School of Finance)
  • generic short rate models
  • SABR- and SVI-Model
  • various methods for convexity adjustments
  • Extended Vasicek (multi factor)
  • Interest Rate-Equity-Hybrid model with multi-factor extended Vasicek IR-component
  • Hedging backtests

Equity Derivatives

  • Local Volatiliy Model
  • 1 factor and 2 factor Heston Model
  • Volatility Surface parameterization

Pricing

  • Payoff language for Callable Interest Rate Exotics (generic MC and regression based valuation of call rights)
  • Monte Carlo Simulation
  • Partial Differential Equations

Special Interests and Skills

Programming

  • C++, C, F77
  • XLW for C++-Excel Plugins

Parallel Programming and Distributed Computing

  • PVM, MPI, OpenMP
  • Condor
  • general purpose GPU computing
  • DataSynapse Grid Server (evaluation project)

Special Software

  • R
  • Matlab
  • QuantLib
  • LaTeX

Trading Systems

  • Front Arena
  • Imagine
  • Murex
  • Stars++

Team lead

  • Currently leading a team of 7 Quants and Quant Developers modelling Interest Rate and Equity Derivatives

Project lead

  • @DekaBank: Heading the interfacing of the Quant library (IRD and EQD) to Front Arena. This involved the coordination of 19 Quants, Quant Developer, Front Arena- and Python experts.
  • @DrKW: Coordination of 10 C++ and Quant Developers in implementing an in house structuring, trading and risk management system for Interest rate Derivatives