NumeriX hires BGM co-creator

NumeriX said Gatarek will enhance the company's numerical techniques and improve its pricing engines for derivatives. In addition, he will lead the company’s effort in implementing and advancing the Brace-Gatarek-Musiela model that he co-created, which is used worldwide by banks to value interest rate derivatives.

Gatarek joins NumeriX from consultancy Deloitte and Touche, where he advised on hedging and risk evaluation. He was also involved in valuing derivatives and designing risk management systems for capital adequacy. He has also worked for BRE Bank - where he created equity warrants in the Polish market - and as a professor of mathematics at both the University of New South Wales and the Polish Academy of Sciences, where he is still an associate professor.

Gatarek reports to Steven O’Hanlon, president and chief operating officer of Numerix. “We are committed to building the best quant team outside of the dealing community as a means to maintain and extend our leadership position in analytics,” O’Hanlon said.