Ali Shams
Quantitative Modeler/Researcher
Toronto,Ontario
Summary
Independent, driven quantitative modeler with a demonstrable aptitude for turning theory into practical applications. Robust analytical skills rooted in a degree in theoretical Physics, combined with a lifelong passion for coding, leading to an ability to consistently produce highly effective solutions to complex problems. A fast learner possessing domain expertise in a wide variety of fields ranging from financial derivatives modeling to risk analytics to software design patterns to artificial neural networks. Very details-oriented, with and eagerness to own projects and drive them to completion with determination and speed.
Overview
15
15
years of professional experience
Work History
Head of Analytics
Polar Asset Management Partners
08.2022 - 10.2023
- Managed a group of quants designing, developing, deploying and maintaining a suite of quantitative models and applications covering all facets of a hedge fund’s front- and back-office operations
- Authored a novel method for pricing callable resetting rate bonds using a hybrid model of Monte Carlo and trinomial tree
- Extended a callable bond model to incorporate defaultability and recovery
- Implemented a Value-at-Risk (VaR) model for the fixed income desk
- Implemented the Black-Litterman portfolio optimization model
- Authored a quantitative framework for curve building, valuation and risk monitoring of credit derivatives
- Authored a factor model for long/short performance analytics
Director of Research
Polar Asset Management Partners
06.2018 - 08.2022
- Performed research in AI and machine learning, including neural networks, gradient boosting, decision trees and random forests
- Co-authored a long/short algorithmic trading strategy based on pattern detection in volume and price series data through neural nets and machine learning
- Developed a novel clustering algo for classifying stocks based on a parameter-less measure of dependence that was highly effective for uncovering hidden relationships between stocks
- Implemented a Transformer model (the technology behind Large Language Models like ChatGPT) from first princliples based on the seminal paper Attention Is All You Need
Director of Risk
Polar Asset Management Partners
01.2014 - 06.2018
- Built services and applications for real-time monitoring of PnL, exposure, and risk metrics, while managing a group of developers and quants
- Developed a method of interpolated grid computation of pricing models that reduced the latency of intra-day theoreticals calculation by several orders of magnitude (making them practically real-time)
- Authored a portfolio management and exposure monitoring system for the multi-strat fund
- Authored a portfolio management and PnL attribution system for the long/short fund
- Authored a pricing and risk management system for the fixed income desk.
Risk Manager/Quantitative Developer
Polar Securities
Toronto, ON
04.2008 - 01.2014
- Developed a QuantLib-based proprietary convertible bonds model capable of handling complex covenants.
- Authored a front-end for interactive analysis and model-visualization of convertibles.
- Contributed to the development of a FIX-based framework for electronic trading.
- Built an application for stress testing and complex scenario analysis of the portfolios and strategies traded by the firm.
- Contributed to the development of a real time pricing service covering equities, bonds, convertibles and other derivatives.
Education
Ph.D. - Physics
University of Delaware
Newark, DEMaster of Science - Physics
Southern Illinois University
Carbondale, ILSkills
- Convertible Bonds
- Credit Derivatives
- Interest Rate Derivatives
- Factor Models
- Interest Rate Curves
- Portfolio Optimization
- Value-at-Risk
- Artificial Intelligence
- Transformer Model
- C#
- C
- SQL
- VBA
- Windows Presentation Foundation (WPF)
- Python
Publications
- Ali Shams, H. R. Glyde, Superfluidity and Bose-Einstein condensation in optical lattices and porous media: A path integral Monte Carlo study, Physical Review B, 79, 214508
- Ali Shams, J. L. DuBois, H. R. Glyde, Localization of Bose-Einstein condensation by disorder, Journal of Low Temperature Physics, 145, 357
- Ali Shams, S. Picozzi, F. Bary Malik, A study of colossal magnetoresistance using maximum entropy principle, Physica B, 352, 269
Timeline
Head of Analytics
Polar Asset Management Partners
08.2022 - 10.2023
Director of Research
Polar Asset Management Partners
06.2018 - 08.2022
Director of Risk
Polar Asset Management Partners
01.2014 - 06.2018
Risk Manager/Quantitative Developer
Polar Securities
04.2008 - 01.2014
Ph.D. - Physics
University of Delaware
Master of Science - Physics
Southern Illinois University
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