Mar 2024 – Present · 2 yrs · United States · On-site

Dec 2022 – Mar 2024 · 1 yr 3 mos · On-site

• I was merged to a bigger desk and promoted to the role of Associate. This was mixture of Desk Quant role and Research mixed. In this role, I have built low latency strategies by executing spread option combos against synthetic forwards, futures, or underlying stocks in order to capture risk premium arbitrage opportunities in the options markets. I have created and backtested Intraday future strategies based on Momentum and movements in correlated index markets by trading long/short pairs to generate highly profitable buy/sell triggers.
• Throughout this remarkable journey at GS, I've honed my teamwork and communication skills, collaborating effectively with cross-functional teams and clients to deliver innovative solutions. I also enhanced my people managing skills by hosting 2 batches of interns, where I helped them from the start of the project to final presentations.
• ● Created and backtested Intraday future strategies based on Momentum and movements in correlated index markets by trading long/short pairs to generate highly profitable buy/sell triggers
• ● Modeled an Asymmetric No Break Fees pricing strategy for Quanto Swaps by developing a Node by Node Partial Differential Equation Solver; Utilized ARIMA, Kalman Filter techniques for forecasting- enabling scenario analysis of possible clients termination to calculate present value and hedging strategies [Equity and FX - C++]

Jul 2021 – Dec 2022 · 1 yr 5 mos · On-site

• After graduation, I embarked on an exciting journey at Goldman Sachs, where I worked as a Quantitative Strategist in the Equities Structured Products Group and Low Touch Trading. In this role, I specialized in pricing of Equity Swaps, Futures, Forwards, and some non Linear derivatives and built strategies to trap arbitrages as well.
• My work consisted of three main pillars, developing low touch and arbitrage strategies in inefficient markets, developing new cutting-edge financial products, developing systems for providing daily trading insights, and promptly meeting the requirements of clients and traders.
• I have built low latency strategies by executing spread option combos against synthetic forwards, futures, or underlying stocks in order to capture risk premium arbitrage opportunities in the options markets. I have created and backtested Intraday future strategies based on Momentum and movements in correlated index markets by trading long/short pairs to generate highly profitable buy/sell triggers.
• I've developed various financial products, including “Swaps on Commodity Futures” and “American Jelly Roll (Box Spreads)” and worked on integrating innovative strategies such as Netting Rebalance, Physical settlements.
• Listing the highlights of my work at Goldman Sachs:
• ● Revised volatility and correlation computations for Risk-Weighted Assets (RWA) to enhance derivative pricing accuracy. Enhanced pricing precision via Monte Carlo models for intricate options; Implemented Control Variate correction
• ● Implemented multiple Settlement strategies (On Next Equity, Next Funding Reset, Arbitrary dates etc) for the entire Equity swap derivatives class.
• ● Interacted with the Product team in HKG desk to develop and support Swaps on commodity futures. Implement Physical settlements for Internal swaps to reduce SIMM margins (saved upto25% of total margins of these swaps)

May 2020 – Jul 2020 · 2 mos · Bengaluru, Karnataka, India

• Developed a general macro sensitivity tool that correlates Indian and global market indicators and portfolios
• Worked on portfolios with a mix of Indian and global assets to derive sensitivities across markets and estimated annualized returns based on the underlying theme of the portfolio
• Developed sector and category-specific tools for portfolio analytics and reported the best-performing stocks
• ● Created a macro sensitivity tool which calculates general correlations between portfolio returns and global macro
• indicators using Linear, Ridge, and PCA regression analysis with an out of sample accuracy of 78.2%
• ● Applied time series ARIMA analysis models to forecast 3-6 months returns of 500+ assets and classified return classes
• into several themes; increased daily trading volume by 7.4%; outperformed market by 10.2%
• ● Improved the latency of existing strategy by 9.5%, Independently research, implement and backtest statistical alphas

Sep 2019 – Jun 2020 · 9 mos · Roorkee, Uttarakhand, India

• Elected student Representative entrusted with the responsibility to promote technical culture among students
• Led a 7 member Secretarial team to provide WiFi access to every room and common places in each Bhawan

Aug 2018 – Apr 2020 · 1 yr 8 mos · Roorkee, Uttarakhand, India

• Assisted the Institute Sports Council with amendments to council rules, budget management and selection of teams
• Represented the IITR contingent at Sangram, IIT Roorkee and Udghosh, IIT Kanpur, and stood first in Sangram

Jan 2018 – Jan 2019 · 1 yr · Roorkee, Uttarakhand, India

• Student mentor of 9 students under SMP IITR programs.

May 2019 – Dec 2019 · 7 mos · Hyderabad, Telangana, India

• ● Engineered deep learning techniques to make recommendations on usage of FMCG goods to increase profitability
• ● Utilized K-means clustering to identify distinct consumer segments, leading to 30% increase in customer engagement