Shivanshu Chauhan

Associate Consultant

Mumbai, Maharashtra, India8 yrs 9 mos experience

Highly Stable

Key Highlights

Expert in derivatives pricing and quantitative research.
Proficient in building automated trading systems.
Strong background in financial engineering and model calibration.

Stackforce AI infers this person is a Fintech Quantitative Researcher with expertise in derivatives pricing and automated trading systems.

Contact

shivanshu5100@gmail.com +91-9085299067 LinkedIn

Skills

Core Skills

Derivatives PricingQuantitative ResearchInterest Rate SwapsTrading Systems

Other Skills

AlgorithmsC++Computer ScienceData AnalysisData StructuresEquitiesFIX ProtocolFinancial MarketsInterest Rate DerivativesJavaKDB+MongoDBMy SQLOption Pricing ModelsOptions

About

Experienced Quantitative Researcher with a robust background in financial engineering, derivatives pricing, and model calibration. Proficient in developing parametric volatility surfaces for major European indices using live market data. Skilled in building validation dashboards for intraday volatility surfaces, and implementing complex calibration frameworks including Eq-FX and Eq-Eq correlation term structures from broker quotes. Developed models capturing correlation skew using advanced copula methods. Also experienced in systematic market making for Interest Rate Swaps (USD, EUR, GBP) with fully/semi-automated pricing and hedging solutions. Technical expertise includes Java, Python, KDB+/Q, SQL, Stochastic Calculus, and Machine Learning.

Experience

8 yrs 9 mos

Total Experience

2 yrs 3 mos

Average Tenure

1 yr 10 mos

Current Experience

Millennium

Portfolio Pricing and Valuations

Aug 2024 – Present · 1 yr 10 mos · Mumbai, Maharashtra, India

● Implemented dashboard to validate intraday Volatility Surfaces from Millennium against external broker Volatility surface by tracking several metrics like ATMF vol moves, skew and smile moves, forwards curve shift, forward volatility moves, etc.
● Implemented a correlation calibration framework to calibrate Eq-FX (i.e. Quanto Correlations) and Eq-Eq (i.e. Copula Correlations) correlations term structure from Broker Quotes (Synthetic Quanto for Quanto correlation and Call vs Call/Put vs Put for Copula correlation) which are then used in firmwide pricing models.
● Implemented and calibrated correlations skew model using Normal Mean Variance Mixture copula to capture skew effect in pricing of correlations product like basket options.
● Technologies used: Python, My SQL, Vol MDS

PythonMy SQLVol MDSDerivatives PricingQuantitative Research

Barclays corporate & investment bank

2 roles

Vice President

Mar 2023 – Aug 2024 · 1 yr 5 mos

Currently working as Statistical Modelling and Development - Quantitative Researcher at Barclays. In this role, I work on Systematic Market Making activities for EUR, GBP and USD Interest Rates Swaps through quoting, hedging and risk management. My responsibilities include building EUR Swaps eBook for fully automated Direct to Client (D2C) quoting, hedging and risk booking. I have also worked on implementation and enhancements of semi automated quoting algo for D2C quoting of EUR, GBP and USD Swaps. Additionally, I actively participate in real time trading and risk management activities for EUR Swaps eBook and fine tuning of model parameters and strategies using historical backtesting by working closely with traders on pricing optimizations.

Quantitative ResearchDerivatives PricingInterest Rate DerivativesInterest Rate SwapsPythonKDB++2

Assistant Vice President

Jun 2021 – Feb 2023 · 1 yr 8 mos

Currently working as Statistical Modelling and Development - Quantitative Researcher at Barclays. In this role, I work on Systematic Market Making activities for EUR, GBP and USD Interest Rates Swaps through quoting, hedging and risk management. My responsibilities include building EUR Swaps eBook for fully automated Direct to Client (D2C) quoting, hedging and risk booking. I have also worked on implementation and enhancements of semi automated quoting algo for D2C quoting of EUR, GBP and USD Swaps. Additionally, I actively participate in real time trading and risk management activities for EUR Swaps eBook and fine tuning of model parameters and strategies using historical backtesting by working closely with traders on pricing optimizations.

KDB+

Goldman sachs

2 roles

Associate

Promoted

Dec 2020 – Jun 2021 · 6 mos

Currently working as Associate, PIPG Desk Strats at Goldman Sachs. I am involved in building low latency & scalable trading systems and tools for pricing structured products like Fixed Coupon Notes, Equity Linked Note, Accumulator, Decumulator and vanilla Options. Also, Involved in automation for the trading desk.
Technologies Used:-
Java, C++, Python, Slang
Spring
MongoDB, SQL, SecDB

JavaC++PythonSlangSpringMongoDB+3

Analyst

Aug 2018 – Dec 2020 · 2 yrs 4 mos

Currently working as PIPG Desk Strategist at Goldman Sachs. I am involved in building low latency & scalable trading systems and tools for pricing structured products like Fixed Coupon Notes, Equity Linked Note, Accumulator, Decumulator and vanilla Options. Also, Involved in automation for the trading desk.
Technologies Used:-
Java, C++, Python, Slang
Spring
MongoDB, SQL, SecDB

JavaC++PythonSlangSpringMongoDB+3

Morgan stanley

3 roles

Associate

Dec 2017 – Aug 2018 · 8 mos

Analyst

Aug 2017 – Aug 2018 · 1 yr

Summer Analyst

May 2016 – Jul 2016 · 2 mos · Mumbai

Center for e-governance, government of karnataka

Summer Intern

May 2015 – Jul 2015 · 2 mos · Bangalore

I built an application with which e-Forms can be created for various purpose like government surveys, data collection. User can make e-forms add various type of Questions like Paragraph, Text, Multiple Choice, Dropdown, and Checkbox. Respondent can also track the status of application filled by them. Separate database is created for both responses and status tracking.