Simon Jurina

Background

About Simon Jurina

I’m a Front-Office Quantitative Researcher building and shipping production pricing and XVA models (C++/CUDA/Python; C# tooling). I specialise in taking rigorous theory from derivation to robust implementation at portfolio scale—model development, numerical methods, and performance engineering.Highlights• Production model development for complex CSA structures and funding/collateral valuation adjustments within a multi-currency semi-replication framework.• Cross-asset modelling R&D for joint IR–FX–inflation simulation using a two-factor linear-Gaussian framework.• Wrong-Way Risk analytics and monitoring (counterparty and risk-factor level KPIs/reporting).• Performance optimisation for large-scale simulation workloads on CPU/GPU.• Regulatory and desk tooling including FRTB-CVA and Solvency II matching adjustment analytics.PhD in Mathematics (University of St Andrews). Open to FO quant roles in rates/FX, XVA, and model/platform R&D.