Hi, I'm JR.

Master's Student in Financial Engineering at Lehigh University.

I am currently a second-year Master's student in Financial Engineering at Lehigh University. I am also a graduate of William Paterson University, holding degrees in Finance and Economics with minors in Mathematics and Statistics.

Options, derivatives, and quantitative asset management are where my interests primarily lie. I am currently a Quantitative Derivatives Modeling Intern at Lincoln Financial, and I work primarily in Python and R, having personally built open-source tools along the way: “greeks-package” for computing option Greeks, “fin-eda” for financial exploratory data analysis, and “exotics” for pricing path-dependent options. All three started as things I built out of personal need and later open-sourced for the community.

I am actively seeking full-time career opportunities in derivatives pricing, risk management, and quantitative asset management.

fin-eda

fin-eda

A Python package for comprehensive financial Exploratory Data Analysis. Pass any stock ticker or price series and get a rich, colour-coded tearsheet covering returns, risk, drawdowns, benchmark comparison, volatility, liquidity, and more, all in one call.

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Equity Option Greeks Python Package

Equity Option Greeks Python Package

A Python package for options pricing and Greeks calculation. Supports Black-Scholes (European), Finite Difference Methods (American), and Monte Carlo pricing. Computes first, second, and third-order Greeks, with built-in options chain downloading and interactive 3D Greek surface plotting.

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exotics

exotics

A Python library covering three of the most common path-dependent option types: barrier, Asian, and cliquet options, each priced with the specific numerical method. Implements strict validation and error handling, ensuring bad inputs and edge cases are caught early and handled properly.

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Lehigh University ~ Project 52

Lehigh University ~ Project 52

Lehigh University / NYC Hedge Fund

A dynamic delta-hedging pipeline built to capture the spread between implied and realized volatility on real historical SPY options market data (minute-level, multi-year, 130M+ rows), using a GPU-accelerated Barone-Adesi-Whaley (BAW) American option pricer to compute Greeks (Delta, Gamma, Theta, Vega, Vanna, Volga, Charm) at scale.

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Portfolio Optimization Methods

Portfolio Optimization Methods

Undergraduate Capstone

Analyzed the modern relevancy of MPT, Sharpe Ratio maximization, and Kelly Criterion (Quadratic Utility) using Python and R. Built portfolio performance simulations with historical data, strategic rebalancing, and benchmark comparisons to evaluate each optimization approach.

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PA 100 Index

PA 100 Index

Project lead on a market-cap weighted index tracking the 100 largest public companies headquartered in Pennsylvania, developed through Lehigh University.

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