Apr 2018 – Jun 2021 · 3 yrs 2 mos · Mumbai Metropolitan Region

• Quant, Equity Derivative Modelling
• Black Scholes, Local Volatility, Barrier Products, Autocallables, Asset Swaps, Equity Volatility Marking
• Electronic Market Making, HK Warrants, CBBCs, Vanilla Options
• Python, C++

Oct 2016 – Feb 2018 · 1 yr 4 mos · Greater Madison Area

• Full-stack development using JS/HTML/CSS for client,C#/Cache for database
• Ownership of projects for full development cycle and directly interacting with end-users

Aug 2015 – Sep 2016 · 1 yr 1 mo · Mumbai Metropolitan Region

• Quantitative Researcher, Equity Derivatives
• Developing python, C++ based libraries for pricing equity derivatives products
• Automating pricing and reviewing process
• Handled code release into production, minimizing their impact on pnl of traded instruments

Jul 2014 – Jul 2015 · 1 yr · Mumbai Metropolitan Region

• Designing strategies for High Frequency Trading and backtesting them, analysing data for finding patterns and trade opportunities
• Developed Perl scripts for monitoring trades in real time

May 2013 – Jul 2013 · 2 mos · Mumbai Metropolitan Region

• Implemented Hidden Markov Model with regime switching models.
• Trained HMM using Expectation Algorithm, divided market into different regimes based on mean price/ volatilty, used the trained HMM for generating trading signals for pair trading. Implemented in R.
• Modelled the time duration b/w trades and change in price as known observation and states as hidden information. Found apt bid-ask price for an asset for market making.

May 2012 – Jul 2012 · 2 mos · Greater Hyderabad Area

• Implemented Cascade Correlation Neural Networks, trained them with Particle Swarm Optimisation and removed drawbacks of backpropagation
• Utilized them for classification of data sets into classes with tenfold speed increment over backpropagation based neural networks
• Applied the classifer to bank data for bankruptcy prediction, wine datasets, iris datasets.