Management Data

SHAILESH KAKKAR

nd

A: *** E. ** Street. #****. Chicago. IL 60616 E: ********.******@*****.*** P: 312-***-****

EDUCATION

Master of Science in Finance (Expected May 2015)

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

Option Pricing: Finite Difference Method, Stochastic Volatility Models, Interest Rate Models

Portfolio Management: Capital Asset Pricing Model, Arbitrage Pricing Theory, Factor Models

Financial Modeling: Monte Carlo simulation, Portfolio Optimization, Risk Modeling

Master of Technology Integrated, Mathematics and Computing (July 2012)

Indian Institute of Technology Delhi New Delhi, India

Top 0.2% of ~ 400,000 applicants Extensive coursework in Mathematics and Computer Science

Relevant Course Work- Probability and Statistics, Linear Algebra, Optimization, Numerical

methods, Algorithm Design & Analysis, Data Structures, Stochastic Calculus.

EXPERIENCE

Efficient Capital Management, Quantitative Research Intern (July – December 2014) Warrenville, IL

Constructed an indicator for prediction of optimal leverage for monthly portfolio adjustment.

Researched value as a source of return in futures and presented findings to investment team.

Prajalytics, Data Analyst Intern (April – June 2013) Bangalore, India

Analyzed Bangalore (India) municipal corporation property tax collection records to highlight

fraudulent practices to the tune of $20 million.

Statistical analysis and predictive modelling of data (Amnesty International).

Bank of America Continuum India, Sr. Tech Associate Intern (July – September 2011) Gurgaon, India

Designed SQL queries to capture the daily transaction feeds from the central database.

Descriptive statistical analysis of sales transaction data in SAS.

ACADEMIC PROJECTS

Differential Evolution Solver (August – December 2014)

Programmed genetic algorithm, estimated Heston model parameters for market option data.

Gauged effects of dimension reduction, crossover probability, halting condition on performance.

Automated Trading Engine (January – April 2014)

Built an automated trading engine implementing strategy based on regression curves in C#.

Back-tested strategy in Matlab for parameter optimization, incorporated transaction costs.

Interest Rate Modeling and Bond Price Simulation (January – April 2014)

Calibrated CIR model using maximum likelihood estimator, simulated yield and discount curves.

Calculated rolling at par bond prices and annualized price returns across simulations.

Built auto-regressive inflation model factoring short term interest rate and inflation forecast.

CTA Portfolio Management (January - March 2014)

Programmed quantitative filters for removing bias from universe of CTAs historical data.

Incorporated shrinkage estimators Bayes Stein mean and Ledoit-Wolf in Sharpe optimization

framework for calculating portfolio weights, adjusted portfolio with monthly frequency.

Employed parametric CVaR for stop loss functionality, outperformed momentum based strategy.

Neural Networks in Quantitative Finance (January – May 2009)

Forecasted three exchange rate time series using different architectures of MLP and RBF.

Concluded the effectiveness of RBF networks over MLP in information extraction.

SKILLS

Programming languages - C++, C#, Python, Matlab, R, SQL, VBA

Languages - English (Fluent), Hindi (Native)

LEADERSHIP & INTERESTS

Leading my college’s team in Chicago Quantitative Alliance (CQA) investment challenge.

Geopolitics, International Affairs, Economics, Squash, Guitar and Song Writing.

Contact this candidate