Note to recruitment consultants: I have posted this only for interest as there is no immediate likelihood of the work I am doing for my current client drying up.
Date of birth: 28th August 1959.
Address: Mouette, Old Road, Oxford OX3 8TA, U.K.
Email: email@example.com (NB: remove the numbers); home page: http://www.cgoakley.org/
Place of birth: St. Theodore de Chertsey, Quebec, Canada.
Marital status: Single.
Jan 2008 - present. Continuation of work for New York client.
Oct 2007 - Jan 2008 Credit Suisse 1 Cabot Square, London E14 4QJ.
Worked on equity derivatives trading systems.
Feb 2005 - Oct 2007 Worked as a freelance programmer/quantitative analyst for a New York client. The work consisted primarily of creating C++ add-ins to Excel and specialist spreadsheets with VBA. It also involved some mathematical modelling.
Oct 2004 - Dec 2004. Completed Dionysus book.
Jun 1997 - Oct 2004 Nomura International plc Nomura House, 1, St. Martin's-le-Grand, London EC1A 4NP.
Worked for a proprietary trading group on decision support and risk management systems. My main contribution to the company was to start the ball rolling on FINGAL (the Financial General and Analytics Library), which is written in C++ but can be called from Excel and Visual Basic. The purpose of FINGAL is the same as that of UBS's FFLIB, but having had the luxury of re-thinking it from first principles, the code looks very different. The code defines COM classes as well as functions. FINGAL is used at many levels in the bank, and in particular forms the basis of the Excel-based derivatives risk-management system ("TOTORO") as well various other in-house trading systems. The group I worked for (AID) had a risk management system based on FINGAL known as Trade Objects which covered mainly equity and fixed income products. Trade Objects is what TROL at U.B.S. would have been had it been followed up.
Oct 1995 - Apr 1996 HSBC James Capel, Thames Exchange, 10 Queen St. Place, London EC4R 1BL.
Quantitative analyst for the Risk Monitoring Unit (RMU). Worked on equity derivative models, verifying those in use by the front office. This included option pricing models, as well as fair value models for convertible bonds. Worked on systems as well, principally for calculating Market Value at Risk (MVAR). My job also included interfacing to the regulators.
Mar 1993 - Oct 1995 Union Bank of Switzerland 100 Liverpool St., London EC2M 2RH.
The first six months here were spent as a contractor working for the
Quantitative Analytics and Systems group (QAS). Worked on some exotic option
models before being drafted in to work on RAIDER Options, which was a NeXT-based
bond options system developed by QAS to replace a third-party risk-management
system then used. My
area was the pricing models, which involved spending time trying to replicate
the (albeit crude, binomial tree) models programmed into this system. Although RAIDER Options was canned, the work I did was not wasted, and found its
way into FFLIB (the Financial Functions LIBrary). From September 1993 onwards,
I was working primarily with the global fixed-income derivatives desk, to build
up the exotics business. FFLIB was a function library I created to be called
from Microsoft Excel, but with an underlying layer of ANSI "C" code. A manual
was produced and this was made available to the rest of UBS in early 1994. I do
not know if FFLIB is in much use now, as in the "merger" with SBC the latter
were taken to be the dominant gene technologically, but when I last saw it the
manual was more than 500 pages long and contained contributions from over a
dozen programmers and quants. I spent my final year at UBS on risk-management
systems. The problem then, as is the problem now, is that large spreadsheets
are difficult to manage. At UBS, as at many other trading houses, most of the
exotic deals were on spreadsheets, and apart from the issue of speed, it was
also easy for errors to creep in undetected. My answer to this was to develop
TROL, the TRade Object Library. Here the trade, however exotic, is derived from
an abstract class that contains methods for all the routine risk management
operations. The risk management tools, then, deal with the trade only at the
level of this abstract class, so it is possible to bolt in new types of trades
without rewriting these programs. TROL was not followed up after I resigned in
August 1995, but a spreadsheet version, initially called TROL Lite, but renamed
ELF, on the grounds that in mythology an elf is a light version of a troll was
created instead. For exotic derivatives, in FX and fixed income, ELF became the
system, but again it is unlikely that it will have survived the "merger" with
SBC. More technical detail about TROL.
[A few words about the much-maligned Swiss]
Jun 1992 - Jul 1992 Citibank N.A. 336-7 Strand, London WC2R 1HB.
Hired as the quantitative analyst for the swaps trading desk. The brevity of this episode was because the job, which consisted mainly of fire-fighting using an old version of Lotus, did not really suit. Also, at the time, Citicorp was a demoralised organisation (their credit rating was down to A-).
Mar 1992 - Apr 1992 Kapiti Ltd. 250 Kennington Lane, London SE11 5RE. [Now part of Misys].
Jeremy Wood took me back to Kapiti, and maybe if I had come back to work for him I might have stayed. As it was, I was part of the the FIST development team, and given the task of getting a consistent look and feel across the different applications written by six independent-minded programmers. This was difficult, as no-one seemed to recognise my authority here and everything had to be done by cajoling. What made me resign, though, was being made to spend part of the time maintaining old software that would have been better rewritten from scratch (I think that they have now taken on board some of my comments).
Dec 1990 - Mar 1992 Barclays Swaps and Options, Ebbgate House, 2, Swan Lane, London EC4R 3TN.
Constantine Thanassoulas hired me to work as the quantitative analyst supporting FX and interest-rate options. My main contribution was adding an average-rate FX option capability. After nine months I moved, with him, to Ebbgate House, to join the swaps group, which took over the interest-rate options business. My focus then shifted to front-office systems, where I worked closely with Paul Doust, a quant who had been hired from UBS.
Dec 1989 - Dec 1990 Kapiti Ltd. 57-58 Russell Sq., London WC1B 4HP. [Now part of Misys].
A joint venture had been set up between Kapiti (or Aregon as it was then) and Adam, Harding and Lueck, who were a futures trading shop, to develop and market a technical trading system called TS-Star, which was their in-house decision support system. I was hired on the Sales side, as a mathematician, to demonstrate this product to potential customers. Unfortunately there was little interest, so I ended up spending an interesting and enjoyable few months working for Jeremy Wood, rewriting large chunks of the software to make it more appealing. The lure of the trading floor however resulted in my resignation after less than a year.
Nov 1988 - Sep 1989 Richards Computer Products, 9-15 High Street, Didcot, Oxon. OX11 8EQ.
My first experience of the private sector. I was hired as a software engineer, where I worked mainly on the calculations module for Reuters Graphics 4, a PC/Windows charting/analysis package that did not in the end see the light of day. I gained a lot of experience of C and MS Windows SDK (good) and Didcot (bad) while I was here. I resigned because (i) I was bored; (ii) I reckoned I could earn more as a contractor - in fact nothing turned up: the next job I took was a "permanent" one and (iii) I wanted to spend time marketing the book The Legend of Perseus , that I had co-written with Gregory Klyve and had printed in June of 1989.
Mar 1988 - Oct 1988 Computer Science & Systems Division, Harwell Laboratory, Oxon.
Through a friend (Stuart Daddo-Langlois: now living in Perth, Australia) I arranged to work on the User Support Help Desk. This consisted of telephone support to the 2000+ users of the Harwell computer service. If I die young, then this will be the reason. Our group had to support an IBM 3084Q, a CRAY 2 and PCs. Luckily, we got half the day off, so I spent the time developing C3PO ("Concept 3 Problem Organiser"), an on-line help desk logging system and database, which made our job a little easier. I was hired on a six-month contract basis, which owing to some edict coming down from on high (nothing personal - I was given to understand), was not renewed. However, as the job was stressful, I was just as glad to leave. Curiously enough, I came back a few months later, on contract from Richards Computer Products, to make further changes to C3PO. I was hired for a week, but the work was done in less than one day, so I spent the rest of the time preparing the manuscript of The Legend of Perseus to be typeset on Harwell's Linotron (they agreed to do this as long as I provided my own bromide paper).
Jul 1987 - Mar 1988 Theoretical Physics Division, Harwell Laboratory , Oxon.
A three-year fellowship to work on nuclear fuel modelling under Dr. Juan Matthews. This involved simulations of fuel pins under transient conditions using finite-element analysis on a computer. The area I spent most time on was fission gas release in AGR fuel pins, and an internal report, A Study of Burst Release of Fission Gas in Oxide Fuel annealing experiments (published jointly with Dr. Matthews) came out in 1988. I am not sure that the point I made that the gas, far from being released in a burst when the fuel was heated, was in fact already on the grain boundaries, did not get lost in the substantial revising of my original script, but this whole area is such an imprecise science that I am not sure that I am overly bothered. Experiments is this field are expensive and difficult to carry out, so there is a paucity of reliable information upon which to base models. One can then find oneself guessing to fifteen decimal places: an unsatisfactory state of affairs. Realising that this was not for me, I resigned after less than a year. Being unable to work up much enthusiasm for my work, I started writing The Legend of Perseus in January, 1988, using the Harwell computer for storing the manuscript. Between 5 and 7 on weekdays I would stay behind either to try to key in Gregory Klyve's illegible, manic scrawls or to write my own bits. Gregory I met through the Wolfson College Symphony Orchestra (or W.C. Symphony Orchestra as we called it). This was a motley band of about 6 musicians who got together to make unpleasant noises once a week. Often I would stay behind to play the piano for Goldilarynx (aka Nigel Simpson) who had and no doubt still has an amazing Heldentenor voice (after a while, this became my only reason for going). Our repertoire was exclusively Wagner. Gregory, who often sang with Nigel in the Oxford G & S society would occasionally appear, and he turned out to be even more of a Wagner nut than either of us. Before long I had a once-a-week singing slot with Gregory and we became good friends. Writing the L. of P. was my idea, but Gregory more than paid his way creatively. One of the reviewers even said that it was "destined to be a cult book". I hope that he is right, even if I do not live to see it.
Nov 1986 - Jul 1987 Mathematical and Physical Sciences, Sussex University, The University of Sussex, Falmer, BRIGHTON, E. Sussex BN1 9QH.
My old college chum, Tim Spiller got me this one-year research fellowship in physics, working for Terry Clark who, as a maverick physicist, made me look like a right greenhorn. Terry, whose speciality is experimental low-temperature physics, let me carry on doing my quantum field theory stuff (I did spend some time on theory of his own studies, but never quite got on top of it). After a lot of hard work, I had a preprint in July, which, as usual, no-one would publish. However, what the forces of evil and darkness were unable to prevent was the fact that in my next job, at Harwell, I shared an office with Steve Barnett who was friends with Stig Stenholm, who edited Physica Scripta and through him I was finally able to get it into print. The reference is "Quantum Electrodynamics without the Interaction Picture" published in Physica Scripta 41 (1990) 292-303.
Oct 1985 - Jun 1986 Physics Division Hatfield Polytechnic [now University of Hertfordshire].
Having questioned the validity of the renormalization process, it was clear that there was going to be no job for me in the world of quantum field theory; however, despite "the system", I needed to carry on my research, which was slowly getting results. I stayed in Oxford for a year, funded partly by the DHSS and partly by W. J. van Stockum's best friend. I then took this temporary lectureship in physics at Hatfield, which was convenient for my parental home in Hemel Hempstead. I produced a preprint entitled "Does the interaction picture exist?" while I was at Hatfield, which I could not get published. In fact, there was no physics course at Hatfield as such. The students here were doing physics as a sideline, and most of my paid work consisted of demonstrating in the labs.
My supervisor was Graham Ross, and when I joined the department supersymmetry was beginning to be mainstream (Mother Nature, though, remains blissfully ignorant of this development). My first year was spent learning this, and various other things. As I was not prepared to accept renormalization in any shape or form, my researches went in a formal, theoretical direction. My attempt to tidy some loose ends in higher spin field theory, entitled A direct method for obtaining Lagrangians for any helicity, written in May 1983, was never published, and I can supply on request some prime examples of the kind of abusive garbage that referees for scientific journals sometimes write when they have the cloak of anonymity to hide behind. Graham put my name on a paper he wrote entitled, A Geometric Hierarchy for the Supersymmetry breaking scale, published in Physics Letters in 1983, but the fact was that I was going off in a completely different direction. In my final year I started looking at ways in which the renormalization dragon could be slain, culminating in a preprint On the possibility of quantum field theory without renormalisation. This went out in May 1984, after I had finished my thesis. Again, no-one would publish it, which did not bother me unduly: it took me another three years to make serious inroads into the problem. This paper also confirmed my status as an outsider. The Twistor group in the Mathematical Institute across the road were more sympathetic. When I put my thesis in for the Senior Mathematical Prize, I did not win, but they gave me a sort of consolation prize. The simple elegance of their techniques for handling SL(2,C) put the physicists to shame, and I used these as much as I could in my own work. [My Oxford days, part 2]
Oct 1980 - Jun 1981 Trinity College Cambridge University Part 3 of the Mathematical Tripos.
A university that, according to a league table I saw recently, is the best in the world after Harvard ought to be able to come up with a better course than Part Three of the Mathematical Tripos. This is a parrot test, pure and simple. If you memorise your lecture notes and then reproduce them in the exam then you will get a distinction, and that is all there is to it. About half the class - those who were Cambridge undergraduates - know all about this, and behave accordingly. Suckers like me, on the other hand, coming from outside, think that they should spend time understanding what is going on - a mistake, as I discovered. The justification I have heard for this system is that you cannot spend all your research years looking things up - you have to be able to memorise them. If they really believe this then it would certainly explain why research in fundamental physics at Cambridge has not kept up with the competition from America. This is a great shame as Cambridge's contribution to the subject until Dirac was without peer. As I did not get a distinction, all of this will sound like sour grapes, so if you need further proof, or you are idly wondering what twistors and superstrings might have to do with each other, consult Professor William Shaw, who won one of the prizes that year, and will confirm my assessment here. Another thing: I could not help noticing that some people did well by choosing courses like "Formation of Galaxies". A little simpler, I would think, than "General Relativity and Cosmology" or "Quantum Field Theory".
Oct 1977 - Jun 1980 Trinity College Oxford University B.A. Hons. Physics.
Class I in Hons. Mods. (1st year exam) and Finals.
College prizes, July 1978, Feb 1980 & July 1980. Open Scholarship 1977-1980.
I believe that my finals result was fifth in a year of about 160 students, so the hard work in my final year paid off. Maybe only working hard in my final year was the key as during the time that everyone else was revising I was learning things for the first time and therefore finding it less boring (I do not recommend this working practice in general, though). However, I showed no aptitude for practical physics and suspect that my result would have been a lot worse but for the fact that my practical partner was excellent. [My Oxford days, part 1]
Sep 1969 - Nov 1976 The Cavendish School, Hemel Hempstead, Herts.
A-Levels: Chemistry A (S merit), Mathematics A (S merit) & Physics A.
O-Levels: Chemistry 3, English C, Geography 6, Geom. Drawing 6, German 6, Mathematics 1, Physics 3 & R.K. C
I was pushed ahead at primary school so that I would reach the last grammar school year at Cavendish before it became comprehensive. Curiously, the first comprehensive year got better "O-level" results than we did, so explain that, all you educationalists. I did not help this average, as you will see, as I spent much of my spare time in the computer room and little with my books. I had to retake German & English (the latter twice). Other things I did were playing the flute in the local bands & then the youth orchestra ... I passed grade 8 in July, 1977. I played the Saxophone as well. I sailed with the Ocean Youth Club (I even went as second mate a couple of times). I cycled, but otherwise was useless (and remain useless) at sport.