Quant research, Derivative pricing, Risk modeling, and Applied Machine Learning
About.
Mickias Ambaye
Boston, MA & Addis Ababa
Where I'm from
Addis Ababa, originally. Moved to Boston in 2021 for Hult and have been here since. Both places have shaped how I think and how I work.
What I'm doing
CFO at Muda Coffee, a specialty coffee export business between Ethiopia and the US. Finishing the CQF in the next few weeks. Actively looking for a quantitative research role where I can apply this background full-time.
What I care about
Learning, discovering, and getting better at work that lasts. Every project on this site started with something I did not yet understand well enough. The finished pages are how I keep track of what I have actually figured out, and the curiosity is what keeps me moving to the next thing.
Mickias Ambaye
Boston, MA & Addis Ababa
Where I'm from
Addis Ababa, originally. Moved to Boston in 2021 for Hult and have been here since. Both places have shaped how I think and how I work.
What I'm doing
CFO at Muda Coffee, a specialty coffee export business between Ethiopia and the US. Finishing the CQF in the next few weeks. Actively looking for a quantitative research role where I can apply this background full-time.
What I care about
Learning, discovering, and getting better at work that lasts. Every project on this site started with something I did not yet understand well enough. The finished pages are how I keep track of what I have actually figured out, and the curiosity is what keeps me moving to the next thing.
Quantitative Research.
Derivatives pricing, risk modeling, and stochastic calculus
Pricing
Exotic Options Lab
Asian, barrier, lookback, and American-exercise options under GBM. Monte Carlo with control variates and Longstaff-Schwartz regression.
Certificate in Quantitative Finance (CQF)
In ProgressAdvanced program covering derivatives pricing, risk management, stochastic calculus, numerical methods, and machine learning in finance.
Advanced Option Pricing Suite
Derivatives pricing engine I built for CQF Module 3 (Exam 2, April 2026). Implements Black-Scholes-Merton, Heston stochastic volatility (priced via the Carr-Madan Fourier inversion), and Monte Carlo with antithetic variates. Reproduces the BSM closed-form to four decimals; measures a 2.9× variance reduction on the European call and 5.6× on the binary.
Financial Transmission Rights Pricing
Most option pricing models assume the underlying is a stock or a commodity. This paper takes the Black-Scholes framework and adapts it for Financial Transmission Rights, where the underlying is congestion risk on a power grid. Includes jump-diffusion models, seasonality adjustments, and interactive LMP charts.
Advanced ML Trading System
Coming SoonImplementation of methods from Lopez de Prado's Advances in Financial Machine Learning. CUSUM filters for event detection, triple barrier labeling, meta-labeling for signal confidence, purged K-fold cross-validation, and Kelly criterion for position sizing. Built in Python with XGBoost.
Analytics Portfolio.
Financial modeling, machine learning, and data-driven research
Eli Lilly DCF Valuation
DCF valuation of Eli Lilly (NYSE: LLY) with pharmaceutical pipeline analysis — revenue projections probability-weighted by drug-approval stage, layered with WACC estimation (5.79% via CAPM on 5-year monthly betas), 9-peer relative valuation, and Monte Carlo sensitivity on terminal value and discount rate. Target $627 vs Mar 2024 reference $579, rated BUY.
UHI-Pipe — Satellite ML Feature Library
A Python package I published on PyPI that pulls Sentinel-2, Landsat-8, and Copernicus DEM data from Microsoft Planetary Computer and computes 19 spectral indices (NDVI, NDBI, land-surface temperature, others) into ML-ready DataFrames with parquet caching. The feature substrate behind the UHI Explorer (0.96 F1 on Rio).
Coffee Futures Snowflake Warehouse
A production-style Snowflake data warehouse for coffee futures research. Galaxy schema (fact constellation) with 8 fact tables (~1.2M rows total) and 19 dimension tables stitched together from FMP, FRED, Open-Meteo, and the CFTC COT report. Designed to make a coffee thesis queryable in one join.
MNIST: MLP vs CNN
Technical comparison of a Multilayer Perceptron and a Convolutional Neural Network on MNIST digit classification. CNN reached 99.29% test accuracy vs the MLP's 97.92%, with a tighter generalisation gap (0.56% vs 1.70%). Includes 3Blue1Brown-style architecture visualisations and step-by-step convolution animations explaining why spatial awareness matters.
Brand Perception NLP — Nike vs Adidas vs Under Armour
Scraped and cleaned ~16K consumer reviews from the App Store, Reddit, and Trustpilot. Ran sentiment (NRC, AFINN, Bing lexicons), LDA topic modelling, TF-IDF, bigram and co-occurrence network analysis, and aspect-based sentiment on price, quality, and sustainability — surfaced the specific language driving each brand's perception per aspect.
Spotify Popularity Time-Series Forecasting
Apply the same ARIMA / GARCH stack quants use for asset returns to a non-financial domain: track popularity on Spotify. Built on 586,672 tracks across 72 years (1950-2021). Includes a procedural Web Audio synthesiser that lets you hear what 'high energy, low valence' actually sounds like.
Also worth a look
3 side projectsCommodity Risk Lab
Applied CQF Module 2.3 risk-machinery (Kupiec POF + Christoffersen independence + combined conditional coverage) to live commodity returns. Built on the daily Supabase pipeline I maintain for Muda Coffee — six tickers, fresh data nightly via GitHub Actions. Each asset gets its own thesis-driven VaR method recommendation; the Cornish-Fisher backtest on KC clears all three tests at the 95% level (p = 0.664 / 0.697 / 0.843).
Urban Heat Island ML Explorer
Interactive satellite ML classification explorer covering Rio de Janeiro, Santiago, and Freetown. Classifies urban heat island zones using the features extracted by UHI-Pipe.
Customer Segmentation Clustering
K-Means and hierarchical clustering on mall customer data. Identifies 5 spending behavior segments with ARI = 0.942 agreement between methods. The unsupervised methodology generalises directly to regime detection and factor-cluster portfolio construction on the quant side.
Experience.
Work I've done in finance, trade, and operations
Chief Financial Officer
2024 to Present · Washington, DC
Run the financial side of an Ethiopian-American specialty-coffee export business — pricing, risk, working capital, and the quant models that drive the buy/hold/sell calls.
- ▸Scaled exports to roughly $5M in annual revenue (about 30 containers in FY2025, over 50 cumulatively in two years) by driving pricing and inventory decisions grounded in data-driven margin and demand analysis
- ▸Build quantitative models for the business: an inventory-hold profitability model for buy/hold/sell timing, plus volatility forecasting of coffee prices, operational-demand forecasting, and tariff-impact modeling to guide pricing, procurement, and inventory decisions
- ▸Manage net working capital and cash flow across AP/AR for both Muda and its Ethiopian vendor (HAI), coordinating the financing and operational needs of an intercompany supply chain spanning the US and Ethiopia
- ▸Own banking relationships and trade finance (letters of credit) for international shipments; implemented Odoo ERP and represented the company at the Chicago and Boston specialty coffee expos to build buyer and supplier relationships
Operations & Business Development
2020 to 2021 · Addis Ababa, Ethiopia
Operations and business development across a diversified Ethiopian industrial group covering real estate, coffee, furniture, and consumer goods.
- ▸Fully restructured the corporate vehicle fleet from 87 units down to 0, negotiating sales, loan compliance, and ownership transfers to eliminate carrying costs, loan obligations, and operational overhead tied to depreciating assets
- ▸Coordinated third-party and bank-appointed asset valuations for loan renewals, and audited prefinancing agreements and construction/manufacturing milestones before financing was released, ensuring proper documentation and regulatory compliance
- ▸Ran market and competitor analysis to source cost-effective procurement and negotiate favorable supplier contracts
Earlier Roles
Architecture Intern
Bereket Tesfaye Consulting Architects
March 2020 to June 2020 · Addis Ababa, Ethiopia
Made 3D models and hand-carved designs for luxury apartments and office buildings.
Assistant Project Manager
Nayna Rotaract
February 2019 to February 2020 · Addis Ababa, Ethiopia
Helped raise money to build a primary and middle school for an orphanage.
Education.
Where I studied and what I focused on
Master of Science
Finance
Hult International Business School
Cambridge, MA · 2025GPA: 3.58
Focus Areas
Key Coursework
Master of Science
Business Analytics
Hult International Business School
Cambridge, MA · 2026GPA: 3.79
Focus Areas
Key Coursework
Hult International Business School
Bachelor of Business Administration, Entrepreneurship (Minor: Finance)
Cambridge, MA
2024
Harvard University Extension School
Coursework, Finance, Computer Science & Security
Cambridge, MA
July 2023
Certificate in Quantitative Finance (CQF)
Certificate, Quantitative Finance
Online
In Progress
Skills & Tools.
What I work with day to day
Let's Connect.
If you want to talk about coffee, finance, data, or working together on something — reach out. I'm easy to get in touch with.