Engineer Management

PAVANI CHI LAMAKURI, PH.D.

*** ******** ** *** *-1 Brooklyn, NY 11237

Phone: 561-***-**** Email:

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

S U M MARY

Quanti tative Analyst/Developer with relevant experience in the hedge fund industry.

Doctorate in Computer Engineering and Certificate in Quantitative Finance with

D istinction. Completed Advanced Risk and Portfolio Management boot camp. Professional

background includes modeling algorithms, quanti tative analytics, and software

development in hedge fund industry.

KEY STRENGT HS

Self starter with extensive experience in modelling algorithms and software

development

Completed Certificate in Quantitative Finance with Distinction (CQF program is

founded by Dr.Paul Wilmott and administered by Fitch Learning)

2 years FX Derivatives experience

In terest Rate Derivatives & Equity Derivatives modelling

Attended Advanced Risk and Portfolio Management boot camp by Attilio Meucci

C++, MS Excel-VBA, MAT LAB, MS ACCESS, SQL, Monte-Carlo Simulations, Fini te

D ifference Methods

Unix/Linux, GNU C and C++ Compilers, Windows XP, MS Visual Studio 2010

Probability and Stochastics, ODE, PDE, SDE

Excellent Math Skills – achieved perfect score (800/800) on GRE

Video and Image Processing, Digital Fil tering, VHDL & Hardware Design –

ASIC/FPGA

Limi ted Experience in Python, C#, .NET, Perl, PHP, and Java Server Pages (JSP)

EXPER I E NCE

I ndependent Financial Work July 2012 – Present

• Working on a Finite Difference Method implementation for pricing a portfolio of

options and calculating the Greeks using C++.

• Working on a r isk management system for managing P&L r isk for a portfolio of

options using MATLAB.

• Implemented Crank-Nicolson Fini te Difference Method for pricing barr ier options

using C++.

Pavani Chilamakuri

• Implemented 3-factor Heath-Jarrow-Mor ton framework for interest rate modelling

using Principal Component Analysis and Monte Carlo Simulations to price Zero

Coupon Bonds, Options on Bonds, and caps/floors using Excel-VBA.

• Implemented Uncertain Volatility Model with Optimal Static Hedging using Explicit

F inite Difference Method in Excel-VBA.

P rincipal Research & Development Engineer A ugust 2011 – June

2012

Panavision, Inc. – Los Angeles, CA

• Designed, developed, and implemented Graphical User In terface for high definition

v ideo camera technologies using C# and .NET technologies.

• Developed software and hardware for Field Programmable Gate Ar rays (FPGA) in

h igh definition video applications using C++ and VHDL.

Consultant and Software Developer January 2009 – July 2011

Florida Institute of Finance – Boca Raton, FL

• Audited the Interest Rate Risk and Asset/Liability models for banks as a Consultant

to the Florida Institute of Finance.

• Developed Quantitative Investment Strategies and back-tested them.

• Developed miscellaneous projects in C#, JAVA and SQL, and created WebPages using

Perl, PHP, Java Server Pages (JSP), and ASP.NET.

Junior Quantitative Analyst February 2007 – December

2008

Integra Investment Management, LLP – Boca Raton, FL

• Developed applications for pricing FX options to value Options books, using Excel-

VBA.

• Designed and developed applications in EXCEL-VBA to calculate Profit & Loss for

a ll managed accounts in hedge fund.

• Worked with t raders to manage r isk, and analyze t rades and P&L.

ED UCAT ION

Ph.D. Computer Engineering F lorida Atlantic University

Full Research Assistantship /Scholarship

Masters Computer Engineering Florida Atlantic University

F ull Research Assistantship /Scholarship

B achelors Electrical Engineering Jawaharlal Nehru Technological

U niversity

2

Pavani Chilamakuri

DOCTORAL F I E L D OF STUDY

Modelled and implemented a video quality enhancement algorithm based on Psychophysical

S tudies of Human Smooth Pursuit Eye Movements and the characteristics of the Human

V ision System using MATLAB and C++.

PUBL ICAT IONS

Oge Marques, Pavani Chilamakuri, Scott Bowser, and Joy Woodworth, "Wireless

M ultimedia Technologies for Assisted Living", Second LACCEI International Latin

A merican and Caribbean Conference for Engineering and Technology

( LACCEI’2004), June 2-4, 2004, Miami, FL.

A DD I T IO NAL NOTES

US Citizen

Willing to relocate

IAQF Member (formerly, IAFE)

GARP Affiliate Member

3

Contact this candidate