About me


Konstantin S. Ermakov

MSc Mathematics and Mechanics,

MSc Quantitative Finance

In-Depth knowledge of numerical methods, Monte-Carlo methods, Counterparty Credit Risk and Pricing models. Expert in the area of implementation and integration risk and  pricing libraries. 20+ years programming experience.

Products knowledge

  • Equities and Equity derivatives
  • Interest rate products
  • Credit derivatives
  • Commodities

Programming Languages:

C/C++ (Expert Level), Java : (Expert Level),  .NET Languages, VBA, Perl, ksh/bash, SQL, PL-SQL, PL1, Fortran, XML, HTML, S-PLUS, R, VB.NET, Matlab


Java: J2EE, EJB3, Spring, Swing

C/C++: Boost, MFC, QT, STL, Sockets, WinAPI, Microsoft Visual Studio 1.0-2010, gcc, Sun CC, CORBA OmniORB, ORBIX, Stingray Objective Studio, .NET API, XLW, ManagedXLL, MS Office PIAs, Quantlib

.NET 2.0-4.x

MS Office: VBA, Excel, Access

IDL: OmniORB, Orbix

Cluster Technologies: Platform Symphony, JBoss Cluster, Spring


Windows (3.1-), *inux


Microsoft SQL Server 6.5+, Oracle SQL Server (9i-11g), MySQL, Postgres, Access, Sybase 11, SQLITE

Exchange APIs



SCRUM, KANBAN, AGILE,  Extreme Programming & Rapid prototyping


  • K.S. Ermakov. Solving The Navier-Stokes equation using the Monte Carlo Method. Polyakhov’s readings, conference materials, 1997. ISSN 0135-180X
  • K.S. Ermakov. On the algorithm of the reverse sphere walk. Proceedings of the 4th St.Petersburg Workshop on Simulation 2001. ISBN 5-7997-0304-9
  • K.S. Ermakov. On the method of reverse walk on the spheres for solving multidimensional wave equation. Nonlinear dynamic Systems, Issue 3. St. Petersburg University Press, 2001, ISSN 1606-9854
  • K.S. Ermakov. On the numerical solution of the oscillation equation in the linear problems of thermo elasticity. Nonlinear dynamic Systems, Issue 3. St. Petersburg University Press, 2001, ISSN 1606-9854
  • K.S. Ermakov. Monte Carlo method for the solution of wave equation. The Book of Abstracts, MCM-2003: IVth IMACS Seminar on Monte Carlo Methods September 15- 19, 2003, Berlin.
  • Bernd Engelmann, Konstantin Ermakov. Transition Matrices: Properties and Estimation Methods. The Basel II Risk Parameters – Estimation, Validation, Stress Testing with application to Loan Risk Management. Second Edition, Editors: Bernd Engelmann, Robert Rauhmeier, Springer-Verlag Berlin Heidelberg, 2006, 2011, ISBN  978-3-642-16114-8