Lecturer@ University of Chicago
Vice President – Quantitative Risk Management @ Option Clearing Corporation, Chicago
Lida has spent the last 17 years in working as both a Quantitative analyst in the Financial Industry, as well as an Adjunct Professor teaching in the Program of Financial Mathematics at the University of Chicago.
During this period, Lida has applied advanced mathematical and numerical methods to develop quantitative models for the financial markets, focusing on derivatives pricing, with interest in fixed income products, equity and index options, convertible bonds. She is also specialized in developing quantitative trading strategies and applying them by collaborating very closely with the trading desk.
Lida has built a solid track record of value creation by developing enterprise valuation systems and complex mathematical and numerical models used by many trading desks for the real-time pricing of derivatives.
As a scientific researcher Lida has spent a decade in the academic research in the field of Solid State Physics and Materials Science. She published 42 scientific papers in Physics journals, and she has more than 750 citations in world recognized scientific journals, Lida was invited to talk at dozens of Physics conferences and workshops.
2005 – Present Ronin Capital, LLC.
Head of Option Modeling Group
Support and enhance existing equity and index option pricing models for electronic trading. Develop and implement new models for pricing options on a variety of fixed income products and commodity futures. Develop risk models for aggregating options Greeks across portfolios. Analyze relative volatilities across markets. Develop and back-test trading strategies.
2005 – Present The University of Chicago, Chicago, Illinois.
Teaching the Fixed Income course within the Program of Financial Mathematics.
2003 – 2005 Ritchie Capital Management, Geneva, Illinois.
Quantitative Research Analyst, Quantitative Trader. Was involved in the development and testing of analytical models and trading strategies of the company. Helped run a quantitative trading desk and manage a fixed income portfolio.
2003 – 2005 The University of Chicago, Chicago, Illinois.
Teaching assistant for the Fixed Income course within the Program of Financial Mathematics.
2001 – 2003 TD Securities (former Stafford Trading), Chicago, Illinois.
Quantitative Research Analyst. Maintained, modified, improved the code and the numerical techniques for existing option pricing models. Developed and implemented in C++ a new jump-diffusion option pricing model using a local volatility surface, calibrated it to market prices. Did research on volatility surfaces, did simulations, wrote regression tests.
1999 – 2000 Argonne National Laboratory, Argonne, Illinois.
Principal Researcher at the Advanced Photon Source. Did research in Solid State Physics and Materials Science.
1999 – 2000 Northern Illinois University, DeKalb, Illinois.
Assistant Professor in the Physics Department. Taught Classical Mechanics, Vibrations and Waves, Statistical Physics.
1995 – 1999 National Institute of Standards and Technology, Gaithersburg, Maryland.
Research Associate at the Center for Neutron Research. Did research in Solid State Physics and Materials Science.
1992 – 1995 French Atomic Energy Commission (Commissariat à l’Energie Atomique), Saclay, France.
Research Fellow at Laboratoire Léon Brillouin. Did research in Solid State Physics and prepared a Ph.D. thesis.
1988 – 1992 Institute of Atomic Physics, Bucharest, Romania.
Junior scientist in the Department of Theoretical Physics. Did research in Solid State Physics, mainly in the area of high-temperature superconductors.
· 1995 Ph.D., Solid State Physics, Université Paris XI, France.
· 1988 B.Sc., Physics, University of Bucharest, Romania.