Arindam Jana, PhD

CEO

India13 yrs 2 mos experience

Most Likely To SwitchHighly Stable

Key Highlights

Expert in model validation and risk analysis for derivatives.
Proficient in advanced pricing techniques and financial modeling.
Strong background in computational physics and data analysis.

Stackforce AI infers this person is a Quantitative Finance expert with a strong focus on risk analysis and derivative pricing.

Contact

Skills

Core Skills

Model ValidationRisk AnalysisDerivative PricingMarket Data ValidationComputational PhysicsData Analysis

Other Skills

C++Credit RiskEnergy RiskExcel VBAFORTRANFRTB SA-CVAFX DerivativesFinancial ModelingInterest Rate DerivativesInvestment ManagementMarket DataMarket RiskMolecular Dynamics SimulationMonte Carlo SimulationsPDE Pricing

About

Quantitative professional with experiences of working with top tier investment banks. + Mathematical modeling and validation of derivative products in all asset classes with a focus on Equity, FX and IR. + Monte Carlo pricing, PDE pricing etc. + Local Volatility calibration, Stochastic Local Volatility calibration, Local vol with stochastic interest rates calibration. + Volatility surfaces (Equity and FX, SVI), Arbitrage checks. + Dividend modeling and yield curve handling. + Risk measures (1st, 2nd order, cross and bucketed Greeks, DV01 etc.). + Model Validation, hedge analysis, comparing price and risk figures between core pricing library, Murex, Numerix etc. + Counterparty Credit Risk, CVA + FRTB, FRTB SA-CVA + Programming - Python, VBA. + Documentation of research, methodologies and tests using LaTeX.

Experience

Crisil global research & risk solutions

Lead Analyst

Feb 2021 – Present · 5 yrs 1 mo

Working on Valuations and Risk Analysis of exotic FX, Equity & IR derivatives.
Hands-on experience in model validation (A to Z) of derivative pricing (EQ, FX, IR) models as part of the front office (FO) Quant Strats teams.
Hands-on experience in XVA risk, FRTB SA-CVA.

Model ValidationRisk AnalysisDerivative PricingXVA RiskFRTB SA-CVA

R-square risklab

Senior Quantitative Researcher

Sep 2016 – Nov 2020 · 4 yrs 2 mos · Dubai, United Arab Emirates

At RsRL:
During the time at RsRL, I was helping RSRL's banking clients in their modeling and regulatory needs in the UAE region.
+ Model Validation & Derivative Pricing : Projects on pricing financial derivatives using Local Volatility, Stochastic Volatility, Stochastic Local Volatility, Black-76, Hull White Two Factor Models. Generating pay off structure & MTM pricing for plain vanilla & exotic products using PDE & Monte Carlo simulations. Computing full surface greeks (Delta, Vega, Gamma, Theta, Rho) for FX & for IR products (dv01, vega) using bump and revalue technique employing forward/backward/central finite difference methods.
+ Market Data Validation : Bootstrapping Multi-curve routine (LIBOR, OIS, Cross Currency, Tenor Basis & OIS of non-conventional currencies) in Excel VBA framework. Forward curve, Projection curve, Zero curve and Discount curve derivation and validation. Cross currency curve constructions for OIS and non-OIS currencies.

Model ValidationDerivative PricingMarket Data ValidationMonte Carlo SimulationsPDE Pricing

Luxembourg institute of science and technology (list)

PHD Researcher

Sep 2010 – Aug 2014 · 3 yrs 11 mos · Luxembourg

+ My project included simulating a system using Molecular Dynamics Simulation, which comprised a system of 4096 particles where new particles were deposited to investigate sticking and adhesion properties. We used a reactive force field to investigate the system mechanism. Genetic algorithm was used to obtain the parameters.
+ Computational Physics, Molecular Dynamics Simulation, Classical Physics, Condensed Matter Physics, Statistical Physics, Linear Algebra.
+ Data analysis, histogram, pair plots, probability density function, cumulative distribution function, gaussian fit, lorentz fit.
+ I used a Linux based C++/ FORTRAN environment to carry out my research work and the results of my work are published in several articles.

Molecular Dynamics SimulationComputational PhysicsData AnalysisC++FORTRAN