Feb 2022 – Mar 2023 · 1 yr 1 mo · Gurugram, Haryana, India · Hybrid

• Performed model performance monitoring of pricing models for derivatives including convertible bond, callable bond, interest rate products (e.g., swaptions, cap, floor), credit derivatives, MBS on various vendor platform including Murex, Kynex, Bloomberg.
• Model validation of SABR model and Libor market model
• Implemented pricing of IR derivatives and bond option using T-Forward measure and benchmarked the PVs and Greeks.
• Independently implemented pricing model for convertible bonds. Benchmarked the outputs against Bloomberg.

Jul 2019 – Jan 2022 · 2 yrs 6 mos · Bengaluru Area, India · On-site

• Worked on derivative valuation of vanilla and exotic financial derivative such as equity options, IRS, OIS, CDS, interest rates caps and floors etc.
• Model validation of Value at Risk models including Swaptions, Cap Floors, Digital Options, Callable bonds
• Simulated interest rates (paths) using Hull White model independently coded in Pyhton. Used theortical justification to validate the results.
• Worked on IBOR transition models

Sep 2017 – Oct 2017 · 1 mo · Avignon Area, France

• I worked on the adversarial games in social network during that period. Here is an abstract of the same.
• Cooperative game theory aims to study complex systems in
• which players have an interest to play together instead of selfishly in an
• interactive context. This interest may not always be true in an adversar-
• ial setting. We consider that several players have a choice to
• participate or not in a coalition in order to maximize their utility against
• an adversarial player. We observe that participating in a coalition is not
• always the best decision; indeed selshness can lead to better individual
• utility. However this is true under rare yet interesting scenarios. This
• result is quite surprising as in standard cooperative games; coalitions
• are formed if and only if it is protable for players. We illustrate our
• results with two important resource-sharing problems: resource alloca-
• tion in communication networks and visibility maximization in online
• social networks. We also discuss fair sharing using Shapley values, when
• cooperation is beneficial .
• This piece of work, jointly with Eitan Altman, Yezekael Hayel,
• communicated to NETGCOOP 2018

Jul 2015 – Jul 2019 · 4 yrs

• 1) Proposed a stochastic model for
• content propagation in Online Social Networks (viral marketing). Studied/Analyzed
• various performance metrics which are virtually similar to the well known Key
• Performance Indicators (KPI) such as `conversions' and `impressions'. Carried out
• real data based work to validate the proposed model (data source: SNAP)
• 2) Formulated a game theoretic
• framework to capture the competition over visibility and discussed plausible solution
• concepts when a) advertisers play selfishly b) advertisers coalesce for the collective
• good. Illustrated results with two important resource-sharing problems: resource
• allocation in communication networks and visibility maximization in online social
• networks
• 3) Optimal spending of the budget over discrete time steps by an advertiser in two
• segments; 1) winning auction, and 2) preparing user engaging content (like special
• offers, discounts etc.) in OSNs Real Time Bidding

Jul 2013 – Jul 2015 · 2 yrs

• I completed my MSc from the department of Industrial Engineering and Operations Research, IIT Bombay. I have worked on various projects during my MSc (details below)
• 1) A Survey on Gossips Algorithm (July 2013 - Dec. 2013)
• Studied literature on spreading of rumors in social networks." Routing in Delay
• Tolerant Networks (DTN)
• 2) Million Soul Project (Jan 2015 - May 2015)
• Figuring out the under/over utilized repair centers; Optimal inventory levels of
• various parts based on the repair center
• 3) Bicycle Sharing Problem (Jan 2015 - May 2015)
• Studied literature on bicycle sharing system. Proposed a model for bicycle
• sharing problem with/without information about bicycle availability. Computed
• the distribution of consensus time and related measures