Management Analyst

JALPAN SHAH ***

S Plymouth Ct, Apartment # ***

Chicago, Illinois-60605

******.*.****@*****.***

Tel: 630-***-****

EXPERIENCE:

Quantitative Developer Intern, LJM Partners, Chicago, Illinois.

May'10-Present

. Developed and designed a back-testing engine to research and analyze

various trading strategies on 5 years of TickData on index options which

integrate optimization, assess strategy performance, show simulated

result of strategies and evaluate the risk of current positions.

. Assisted the Chief Risk Officer with creating risk reports and analyzed

the firm's overall risk exposure by fitting theoretical implied

volatility to market data to analyze the risk involved.

Junior Analyst, MF Global-Sify Securities India Pvt. Ltd., Mumbai. India.

Nov '09-Jan '10

. Designed a model in Excel using VBA as an interface to optimize the

parameters used for technical indicators by back testing on 5 years of

historical data on NIFTY (National Stock Exchange of India).

. Developed and executed Option based strategies based on the sell and hold

principle using various technical indicators to identify the entry and

exit points.

Equity/Credit Research Analyst, Integreon Management Services, Mumbai.

India Aug '09-Nov '09

. Performed financial analyses to give buy and sell recommendations based

on bottoms-up earning forecast, financial valuation, discounted cash flow

and multiples-based analysis for our client DZ Bank.

. Developed a model to evaluate the fair market value of a company based on

its expected earnings and performed various financial and ratio analysis

for our client, India Capital a hedge fund in Mauritius.

. Performed Credit Analysis for our client Morgan Stanley, analyzing

company's cash positions, financial ratios, market position, company

position and credit rating given by various companies.

EDUCATION:

Stuart School of Business, Illinois Institute of Technology, Chicago IL

Master of Science in Finance GPA: 3.67

Aug'08-Present

Coursework: Structured Fixed Income Products, OOP and Algorithmic Trading,

Quantitative Investment Strategies, Market Risk Management, Valuation and

Portfolio Management, Financial Modeling, Models for Derivatives, Fixed

Income Trading, Futures, Options and OTC Derivatives.

University of Mumbai, Mumbai India

Bachelors of Engineering in Electronics and Telecommunication

Graduated-June '08

PROJECTS AND PAPER:

. Developed a real-time automated trading system using technical indicators

by implementing concepts of multithreading and charting in C++ .Net

Framework and connecting to Interactive Brokers Trading API.

. Designed duration/cash/convexity neutral strategies; basis trading and

yield curve strategies; portfolio replication; developed models to price

Swaptions, Eurodollar and Mortgage Backed Securities.

. Computed VaR using Index Mapping, Risk Mapping, Cornish Fisher and Monte

Carlo simulation.

. Developed a pricing model for knock-in and knock-out barrier options

using finite difference method to solve the partial differential equation

using MATLAB as an interface.

. Modeled efficient frontier with stock weight constraints to help

optimize the returns of the portfolio.

. Created a research report on the role of securitization in the credit

crisis by analyzing the structure behind securitization of asset backed

securities. As a case study also analyzed the subprime exposure of Lehman

Brothers and provided time wise events which eventually lead to its

failure.

ACCOMPLISHMENTS AND SKILLS:

. Programming Skills: C, C++. Net Framework, R, MATLAB, VBA, MS Office

(Excel, Power Point, Word).

. Finance: Application: Bloomberg; NCFM Certification in Derivatives module

conducted by NSE, India.

. General: Scored 100% marks in mathematics in GRE and 99% ICSE board exam.

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