Horacio A. Aliaga

Objective:
To find a challenging job in the Financial arena as a quantitative analyst or developer.

Personal Data
o Home address: 3700 Sutherland Ave…..
o Visa status: H-1B (UTK-ORNL)
o Education: Ph.D. in Physics.
o Phone:
o email: haliaga@utk.edu

Quantitative Skills
o Expertise in Monte Carlo simulations and computational algorithms.
o Green operators, Mathematical modeling, Numerical methods.
o Probability, Statistics, Partial and Stochastic differential equations.
o Computation and Financial Math. Binomial/Trinomial Trees.
o Finite Difference Methods, Large-scale computation.
o Quantum dynamics of spins and fermionic systems.
o Reports, presentations, talks.

Financial Skills
o Option pricing models, Black-Scholes analysis, Derivative products. Exotics.
o http://www.javaquant.net
o Portfolio Optimization and efficient frontier models. Hedging techniques.
o Cash Flows, Capital Asset Pricing Model, Arbitrage Pricing Theory. Risk analytics.
o Reading: Options, Futures and other derivatives, J. C. Hull; Financial Calculus, Baxter & Rennie; Numerical solution of SDE through Computer Experiments, Platten, Kloeden and Schurz; Financial Numerical Recipes in C++, Oedegaard.

Computer Skills
o Software: Visual C++, MFC, FORTRAN ,MPI, JavaScript, Java, Basic , HTML, Pascal, Mathematica, Perl, Unix shell scripts, MS Excel, Origin, Power Point, QuantLib, PovRay, Corel Draw, Word, Linux, Windows.
o Hardware: PC, SUN SparcStation/SunOS, SGI/IRIX, Atipa, P4, Cray (X1E, XT3, XD1), IBM p690 (Power3, Power4), Opteron.

Awards, Fellowships and Honors
o Research Associate UT-ORNL, USA, 2005-2006.
o Pos-Doct Fellowship University of Augsburg, Germany, 2003 – 2005.
o John D. Schuler Fellowship FSU - NHMFL, USA, 2002 – 2003.
o Full-time Research Fellowship of the Science and Technology Council of Argentina (CONICET), 1998-2002.
o Full-time Undergraduate Scholarship of the Atomic Energy Commission of Argentina to complete graduate studies at Balseiro Institute, Aug. 1994 - Dec. 1997.

Scientific Publications (13)
o http://www.javaquant.net/aliagaCV-Datein/aliagaCV2.html
o Solid State Communications.
o Journal of Magnetism and Magnetic Materials.
o Journal of Solid State Chemistry.
o Physical Review B.
o Physica B.

Referee Activity
Reviewed manuscripts for international scientific journals: Physica B , Physical Review B, Physical Review Letters, JMMM.

Work Experience

2005-present

Oak Ridge National Laboratory & UT at Knoxville, TN.

Condensed Matter Sciences Division.

Research Associate.

Physics projects:
• Massive parallel programming.
• Quantum and semiclassical Monte Carlo.
• Fortran, C++.
• Spin-phonon program. http://mri-fre.ornl.gov/spf/

Finance projects:
• Monte Carlo Option Pricer.
• Analytic and Binary Trees Option Pricer.
• Java, C++.
• visit: http://www.javaquant.net

2003-2005

Universität Augsburg.

Lehrstuhl für Theoretische Physik III.

Research Associate.

Physics projects:
• Chebyshev expantion of the time evolution operator.
• Strongly correlated systems. Two-orbitals models.
• First publication as single author. http://link.aps.org/abstract/PRB/v71/e184404
• Conferences, Invited talks.

2002-2003

National High Magnetic Field Laboratory & Florida State University, FL.

Condensed Matter Theory Group.

Research Associate.

Physics projects:
• Created and applied new computational "state of the art" techniques to solve non-linear, statistical problems and differential equations.
• Exact diagonalization. Lanczos.
• Quantum and semiclassical Monte Carlo.
• Massive parallel programming.
• Publications, talks.

1998-2002

Atomic Energy Commission of Argentina (CNEA),

Solid State Physics Group, Bariloche, Argentina.

Graduate Research Assistant.

Physics projects:

• Conducted frontier research while pursuing a Ph.D. thesis. I worked in collaboration with people in the Laboratoire d'Etudes des Propriétés Electroniques des Solides (LEPES), Grenoble, France, and Theoretische Institut II, Institut fur Physik, Universitat Augsburg, Germany.
• Renormalized Perturbation Expantion for Green Functions.
• Publications, talks, conferences.

1994-1998

Atomic Energy Commission of Argentina (CNEA),

Solid State Physics Group, Bariloche, Argentina.
Research Assistant.

Physics projects:

• Conducted frontier research while pursuing a M.Sc. thesis

• Monte Carlo, Renormalized Perturbation Expantion for Green Functions.
• Programming in C, Mathematica.

• Publications.