Apr 2023 – Apr 2024 · 1 yr · Chicago, Illinois, United States · On-site

• US Equity Options Market Making

Oct 2022 – Jan 2023 · 3 mos · New York, United States · On-site

• Developed a non-parametric vol modeling framework based on cardinal spline fitting & Bayesian Linear Regression
• Formulated explicit convex second order cone constraints on no-arbitrage domains across Strike, Tenor and Delta space; inspired by literature on 5-parameter SVI/SSVI smiles, implemented in a Python-C++ shared library

Jan 2023 – Mar 2023 · 2 mos · United States · Remote

• Developed LSTM network based deep learning method for model-based compression of macro-economic time-series and nowcasting GDP growth; with a focus on explainable model dynamics during recessionary periods.
• Awarded the best research thesis: Morgan Stanley AFP award for the graduating class of 2023.

Aug 2022 – Oct 2022 · 2 mos · Berkeley, California, United States

• Developed framework for modeling modified-SABR vol surfaces with prop factors using Deep Learning Tensor Neural Networks & TensorTrain compression methods for stable greeks; Speed: 4μs, accuracy (MSE): 1e-7
• Researched applications of probabilistic stable diffusion models & score-based generative models in derivatives

Aug 2022 – Oct 2022 · 2 mos · Berkeley, California, United States

• Quantitative Research using Alternative Data

Apr 2022 – Aug 2022 · 4 mos · Berkeley, California, United States

• Developed bond-ETF trading dashboard for Prem-Disc ratio, Spreads, Liquidity Assessment and Benchmarking
• Research exercise to understand the effect of fund specific processes on bond-ETF markets in volatile periods

Jun 2021 – Feb 2022 · 8 mos · Gurugram, Haryana, India

• Managed logistical demand optimization products; processed 1.5 MM+ daily orders at optimal GMV/Login-hr
• Developed algorithms for monetisation service (Delivery & Surge charges, MOVs); generating $100MM+ revenue
• Conceptualized an event-based notification service platform for demand management; serving 4MM+ daily users
• Managed technical development of Locations service tech stack; improved multiple address accuracy to < 10m

Aug 2020 – Dec 2020 · 4 mos

• Tutor for MTH511: Statistical Simulation and Data Analysis
• Instructor: Prof. Dootika Vats, Dept of Mathematics and Statistics

May 2020 – Aug 2020 · 3 mos

• This project follows Rahman and Vossmeyer (2019) as its motivating literature, and contributes to the three literatures by extending the various methodologies to a hierarchical Bayesian quantile regression model for binary longitudinal data (QBLD) and proposing a Markov chain Monte Carlo (MCMC) algorithm to estimate the model. The model handles both common (fixed) and individual-specific (random) parameters (commonly referred to as mixed effects in statistics). The algorithm implements a blocking procedure that is computationally efficient and the distributions involved allow for straightforward calculations of covariate effects.

Apr 2020 – Jun 2020 · 2 mos · Mumbai, Maharashtra, India

• Developed and Implemented in Python, an Options OI based systematic trading algorithm; backtested on several global indices including Nifty, Nikkei etc; Generated cumulative returns of up to 16% over a 2 year trading period.
• Built a python based implementation of Portfolio Allocator/Optimiser across asset classes, using Markowitz Efficient Frontier; Allocations across different constraints were compared to generate maximum returns.
• Employed Technical, Fundamental and Behavioural Analysis to build and manage a virtual trading portfolio comprising a basket of global equity and commodity indices; generated returns upto 8% over a 6 week period.

Apr 2019 – Apr 2020 · 1 yr · Kanpur Area, India

• Co-Heading the Campus Connect division to link the campus community through opinion pieces, guest columns and sessions that cover pertinent campus issues through print, vocal and digital media.
• Successfully concluded the series, "As we leave" : A memoir based guest column series penned down by the graduating batch at IIT-Kanpur.
• Link : http://voxiitk.com/category/as-we-leave/
• Organised Campus Dialogue – A panel discussion for faculty – student interaction on administrative/academic avenues.
• Successfully conducted coverage of flood affected areas near IITK in collaboration with the “Unnat Bharat Abhiyan” by visiting the affected areas and interviewing the concerned.
• Authored various articles in the print/web editions including, “PORs Hype”, “Are Open Electives Open”.