Power Plant Sales

SANTOSH KUMAR MOHAPATRA

**** **** ***, #**, ***** City, NJ 07087 Tel: 201-***-****

Email: ********************@*****.***

EDUCATION:

Master of Science in Financial Mathematics, University of Chicago, Chicago, IL, 2008 (GPA 3.5/4.0)

Courses: Math for Option Pricing, Financial Data Analysis, Portfolio Theory & Risk Management, Fixed

Income Derivatives, C# Programming, Numerical Methods in Derivative Pricing, Stochastic Calculus,

Advanced Option Pricing, Foreign Exchange, Statistical Risk Management

Course Projects: Implementing Hull-White Tree (trinomial lattice) to price ECO & BCO on ZC Bonds;

Valuation of Real Options in power plant investment modeled by two factor spark spread and solving the

finite investment option using the MC LSM method by Longstaff Schwartz in Matlab

Master of Engineering Science, Arizona State University (ASU), Tempe, AZ, 2005(GPA 3.8/4.0)

Also Completed an Interdisciplinary Certificate Program in Applied Statistics where I had taken classes

in Applied Nonparametric Statistics, Regression Analysis, and Data Mining: Analysis of massive Data Sets,

Multivariate Analysis & Business Forecasting

Course Projects: Time Series Analysis of new vehicle sales with trend fitting, seasonality, cyclicality with

structural breaks with exp, and Holt Winters smoothing for near term and long term forecasts in EViews;

Bankruptcy prediction using LDA and Logisitic Regression & Decision Trees in CART and SAS

Bachelor of Technology, Indian Institute of Technology (IIT) Bombay, India, 2003 (GPA 8.5/10.0)

Certifications: Financial Risk Manager®, Global Association of Risk Professionals (GARP) 2008

EXPERIENCE:

Financial Consultant Murex North America New York, NY (08- Current)

•Configuration of Equity & IR Swap Generators, Market Rate Sheets & Curves, set up & assignment of

Volatility term structure for stocks and indices for Accrual or MTM valuation

•Design of Simulation views for Risk & P&L that display breakdown of P&L components and Risk

Sensitivities metrics and use of P&L attribution tool for analysis

•Validation of Pricing models for EQD products (Vanilla/Asians/Forward Start/Barrier Options, Variance

Volatility Swaps, Convertible Bonds, EQS, and Index Futures)

•Performing business review, functional validation of existing EQD modules and proposed enhancements

Business Analyst Lehman Brothers (Consultant) New York, NY (07)

• Supported Sales traders on front/middle office technology & operational problems

• Supported Government E-Trading using Lehman’s proprietary sales order management systems, trading

systems and e-trading platform Lehman Live as well as 3rd party systems as Trade Web& MarketAxess

Operations Risk Analyst Capital One Financial Services Glen Allen, VA (05-06)

• Developed strategy for Upmarket Credit Line Decrease using data analysis to stratify populations based

on risk & severity that led to a net annual savings (above operations costs) of $275K for 2006-07

• Presented monthly strategy & analysis results, loss & delinquency curves, attrition impact to the business

partners, covered account and dollar loss in the monthly operations review

• Performed statistical modeling using SAS EM & Minitab to construct Decision Tree & Logistic Regression

models for splitting Error Correction vs. Discretionary Agent Valuation within Underwriting Operations

Research Assistant Arizona State University- Freescale Semiconductors Tempe, AZ (03-05)

• Modeling, Design & Simulation of EBG Filters using 3D-EM simulation software HFSS & result validation

• Teaching Assistant, for laboratory classes & courses and graded and administered oral examinations

• Research Assistant AZTE, evaluating business viability of patent pending research and market analysis

COMPUTATIONAL & SOFTWARE SKILLS:

Trading Systems: Murex v2.11, v3.1

Mathematical & Statistical Packages –: Matlab, SAS (Base & EM), R (S-plus), EViews, CART

Programming-: C#, C++, SQL, Oracle, UNIX, VBA, Visual Studio, Perl, Python

ACTIVITIES:

• Mentor & student member, Manthan, social development initiative at IIT Bombay

• Coordinator, Program in Business Education for Entrepreneurs, ECell, IIT Bombay

• Volunteered for Government & Non-Gov Organizations for Electronic Recycling in VA & AZ

• Organizer, Technology Venture and Entrepreneurship Club, ASU, Tempe, AZ

• Silver Medalist & Rank-holder (among national top 35) in Math Olympiad, India

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