Dec 2021 – Oct 2023 · 1 yr 10 mos

Jan 2020 – Dec 2021 · 1 yr 11 mos

• Equity Derivatives Structuring

Aug 2018 – Jan 2020 · 1 yr 5 mos · New York, New York

• Responsibilities across 2 teams: pricing Structured Products, and developing Quantitative Investment Strategies(QIS)
• Structured Products: Using derivative pricing models to price Exotic payoffs including worst-of/best-of options, autocallable notes, Variance Knock-Out options, Accumulators, etc.
• Working closely with Sales, Trading, & Treasury to understand nuances of trading structured products as notes and swaps
• QIS: Assisting in developing, backtesting and maintaining Indices built on systematic equity derivatives strategies
• Working closely with Derivatives Strats and Quant Research to implement these strategies on DB’s proprietary platforms

Jan 2018 – Feb 2018 · 1 mo · Greater Boston

• We researched a set of Technical Indicators to work with and improve upon the performance of existing momentum strategies.
• We implemented the setup for DeMark indicators, Bollinger bands, Average Directional Index, Aroon Oscillator to be used with the Long, Medium and Short-windowed Moving Average Crossovers(MAC) individually, across asset classes.
• We successfully identified top 3 indicators enhancing Sharpe and Hit Ratios for each MAC strategy for each asset class. We were also able to identify volatility regimes allowing best performance for the combination of indicators.

May 2016 – Jul 2016 · 2 mos · Mumbai Metropolitan Region

• At the Equity Structuring Desk at Deutsche, I built a new backtesting framework for option-writing strategies. Using the Black Scholes model to obtain implied volatility values from prices of listed options, I designed a tool to price all possible options using interpolation in the implied vol surface.
• The framework was unique in that it used (public)data already available to clients, and the setup could be shared with clients to increase efficiency of structured product trades.
• The framework was put in use by the London ESG Desk, and was expected to at least double the annual trade frequency. I received a return offer from Deutsche to work as a Financial Analyst.

May 2015 – Jul 2015 · 2 mos · Greater Brighton and Hove Area

• I set up a framework to model image blurring and heat dissipation from a heated rod using convolution with a Gaussian filter, and analysed differing efficiencies with varying parameters of the filter.
• I also explored the applications of Hankel Transform and Fourier-Mellin Registration Technique on MATLAB, in addition to studying image sampling in log(r)-theta domain. Sampling in this domain could lead to easy introduction of rotational invariance, finding applications in various image processing centric industries.