Dr. Kalina Natcheva-Acar

Angestellt, Risk Methodology OTC, Eurex Clearing AG

Eschborn, Deutschland

Fähigkeiten und Kenntnisse

Experience as a quant with: OIS discounting
derivation of non-standard volatilities
pricing and structuring of fixed-income products
two-factor short rate models
Cheyette model for FI and credit derivatives
hybrid products
converible bonds with Parisian options
credit derivatives
EDSwaps
CDSwaption pricing
longevity bonds
variable annuities
numerical methods
orthogonal trees
quadrinomial trees
finite differences
advanced Monte Carlo methods
Monte Carlo for American options
VaR for portfolios of options
Summit
Numerix
C++
C# and VBA
etc.

Werdegang

Berufserfahrung von Kalina Natcheva-Acar

  • Bis heute 4 Jahre und 10 Monate, seit Sep. 2019

    Risk Methodology OTC

    Eurex Clearing AG

  • Bis heute 13 Jahre und 11 Monate, seit Aug. 2010

    Associate Director

    Deutsche Pfandbriefbank

    Valuation Financial Instruments

  • 7 Jahre und 10 Monate, Okt. 2002 - Juli 2010

    Associate Research Scientist

    Fraunhofer ITWM, Department of Financial Mathematics

    Financial engineering. Bank and insurance company consultancy as quantitative analyst. Development, implementation and calibration of existing and new models for option pricing in equity, credit, fixed-income or hybrid fields. Numerical implementation. Project management.

  • 1 Jahr und 2 Monate, Sep. 2001 - Okt. 2002

    Associate Research Assistant

    Fraunhofer ITWM

    Pricing of basket options and options on min/max of several stocks.

  • 5 Monate, Mai 2001 - Sep. 2001

    Associate Research Assistant

    Technische Universität Kaiserslautern

    Program "Mathematics International", supervision of new students

Ausbildung von Kalina Natcheva-Acar

  • 2 Monate, März 2009 - Apr. 2009

    Statistical Laboratory

    University of Cambridge

    Visiting researcher under supervision of Prof. L.C.G.Rogers

  • 2 Monate, Apr. 2008 - Mai 2008

    Statistical Laboratotry

    University of Cambridge

    Visiting researcher under supervision of Prof. L.C.G.Rogers

  • 4 Jahre und 3 Monate, Okt. 2002 - Dez. 2006

    Finacial Mathematics

    Technische Universität Kaiserslautern

    PhD thesis with title "On Numerical Pricing Methods of Innovative Financial Products", http://kluedo.ub.uni-kl.de/

  • 2 Jahre und 2 Monate, Aug. 2000 - Sep. 2002

    Financial Mathematics

    Technische Universität Kaiserslautern

    MSc thesis with title "Monte Carlo methods for exotic options"

  • 4 Jahre und 10 Monate, Sep. 1995 - Juni 2000

    Department of economics and business administration

    University of Sofia

Sprachen

  • Deutsch

    -

  • Englisch

    -

  • Russisch

    -

  • Französisch

    -

  • Türkisch

    -

  • Bulgarisch Muttersprache

    -

Interessen

Foreign languages
international cuisine
martial arts

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