Analyst Engineering

A TUL KUMAR AGRWAL

Phone: +1-646-***-**** Email: *******@***.********.***

EDUCATION

Jul 11 – Aug 12

Columbia University, New York

Master of Science in Financial Engineering

Research Projects

Master’s Thesis “Modelling Implied volatility” : Derived no-arbitrage restriction on initial implied volatility surface with specified

diffusion and drift specification for implied volatility. Numerically computed local volatility and proved that the generally specified

diffusion and drift function violates no-arbitrage condition (MATLAB).

Developed an application to price barrier option: Calibrated the parameters of stock evolution model using existing market prices

of vanilla options, generated local volatility surface numerically and applied PDE approach to price barrier option (C++/MATL AB).

Jul 04 – May 08

Indian Institute of Technology (IIT), Delhi, India

Bachelor of Technology in Production and Industrial Engineering

Chartered Financial Analyst (CFA)

Cleared CFA level 3 exam in June 2013

SKILLS

Finance: Statistical Arbitrage Strategy, Term Structure Modeling, Volatility Modeling, Computational Methods in Derivative Pricing,

Equity Derivative Pricing

Mathematics: Statistics, Probability and Stochastic Calculus, Optimization Techniques, Time Series Analysis

Programming: Technical enthusiast with proficiency in MATLAB, Excel - VBA, C++,R and Microsoft Access and familiar with similar

languages/tools

Familiarity with industry tools such as Yieldbook, FINCAD and Bloomberg

EXPERIENCE

Jun 12 – Present

Protiviti, New York

Quantitative Analyst

Consulting banks, insurance firms and other financial institutions in validating their Interest Rate Risk and Asset Liability Management

models for wholesale banks and insurance firms. Priced fixed income securities including discount notes, vanilla and exotic

advances, interest rate swaps, swaptions, MPFs, and mortgage-backed securities. Valuations were implemented using a

combination of FINCAD and Yield Book.

Researched and developed a tool to generate OIS discount curve using B-spline method (implemented in Excel-VBA) for a

government sponsored bank, which replaced the pervious methodology used by the bank (Excel -VBA).

Jul 09 – May 11

Tata Institute of Fundamental Research (TIFR), Mumbai

Research Associate

Researched and developed a Statistical Arbitrage Trading model on S&P CNX Nifty equity future contracts (Excel-VBA/R).

Constructed systematic component of statistical factor model by applying principal component analysis (PCA) and modeled

idiosyncratic part using mean reverting stochastic process to generate statistically-based trading signal.

Back-tested the strategy using 5 years historical daily close price d ata- Trade saw an annualized average return of 23% and average

Sharpe ratio of 1.325

Intergraph Consulting, Hyderabad Jul 08 - Jun 09

Software Analyst

Developed and maintained equipment contents for enterprise engineering software product, work involved developing new symbols

and improving existing symbols using Visual Basic 6.0 and C++.

ACHIEVEMENTS AND ACTIVITIES

Ranked among the top 0.7% among more than 200,000 applicants of the IIT–JEE (2004)

Elected as House Secretary, Kumaon Hostel (comprising of 400+ students), IIT Delhi. Led a team of 13 secretaries and managed

budget of $40K over the year.

Unanimously elected as Maintenance Secretary to lead the overall maintenance activities of the Kumaon Hostel, IIT Delhi.

Organized more than 20 workshops at institute and hostel level as Representative of Board for Student Welfare, IIT Delhi.

W on second prize (2004), first prize (2005), and second prize ( 2006) in the inter-hostel carom tournament.

Led the Table Tennis team to semifinals, as a Captain in inter-hostel tournament at IIT-Delhi.

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