Our Mission
To design, build, and maintain scalable software and quantitative models. Expertly tailored to fit the client’s current and future needs.
The Pack
We are more than just a software and quantitative team. We are a family of passionate and driven individuals, committed to what we do at the highest level.
Jake Shanley | owner
Pack leader and founder of Trail Dog Software, Jake’s passions stem from Physics, Mathematics, and competitive sports. Jake is a two-time All-American swimmer and member of the national teams that achieved Kenyon's 29th, 30th, and 31st consecutive NCAA Division III National Championship Titles. He began his software development career in December 2011 with boutique options trading firm Geneva Derivatives Trading Corporation. As a completely self taught programmer and financial engineer, Jake became the lead software developer for Geneva in July 2013 and designed and developed the firm’s entire software stack and quantitative models from scratch. He achieved his masters degree in applied mathematics in July 2019 with a thesis focused on modeling the intra-expiration American Option volatility smile. Jake founded Trail Dog Software in December 2019 to further pursue and expand on the things he loves. In his spare time he enjoys swimming, mountain biking, small jazz combos and blues music.
Kenyon College | B.A, Physics, May 2010
University of New Mexico | M.S, Applied Mathematics, July 2019
Thesis: Practical Modeling of the Vanilla Option Volatility Smile.
Abstract: Many discussions on how best to model the standard American Option derivative focus solely upon the volatility smile modeling itself from a mathematical perspective. This thesis instead closely examines both the practical and mathematical implications of processing market data, modeling the volatility smile, and making real-world trading decisions from the results. In particular, it contains an analysis of market data processing algorithms, new volatility smile models, multiple empirically-driven weighting schemes, Gauss-Newton and Levenberg-Marquardt optimization algorithms, and various trading strategies. The top performing combinations found were those that involved the Smile and Twist volatility smile models, Volatility Width Vega Multiplier weighting scheme, the Gauss-Newton algorithm, and a percent-edge based trading strategy. This work provides a complete start-to-finish approach to modeling and deriving value from the standard American Option contract for intra-expiration options.
Favorite Dog: German Shorthaired Pointer