Python Data

ANANT TYAGI

adfg6y@r.postjobfree.com *** West, **5th St. #2

917-***-**** New York, NY 10025

www.linkedin.com/in/ananttyagi

Education

Columbia University New York

Master of Science in Financial Engineering Sep 2016 - Dec 2017 Coursework: • Stochastic Processes • Monte Carlo Simulation • Machine Learning • Continuous Time Models • Data Analysis

• Applied Risk Management • Volatility Smile • Time Series Analysis Guru Gobind Singh Indraprastha University New Delhi Bachelor of Technology in Computer Science Aug 2012 - Jun 2016 Coursework: • Data Structures • Data Warehousing & Mining • Algorithm Analysis & Design Work Experience

CRISIL IREVNA US LLC (S&P GLOBAL) New York

Senior Quantitative Analyst Mar 2018 – Present

• Modeled Yield Curves in a multi-curve environment using LIBOR instruments for the pricing curve while OIS instruments for the discounting curve for various currencies. Obtained the zero rates at pillar points using Newton Raphson method while incorporating cubic spline interpolation for intermediate dates using Python.

• Priced and validated various models in equity derivatives and interest rate derivatives space. Replicated variance swaps using a portfolio of call and put options with weights inversely proportional to the strikes. Validated local and stochastic volatility models in Murex while benchmarking the results against Numerix and Python.

• Wrote stored procedures in SQL for fetching the data stored in internal databases. Connected the SQL Server to Python using JDBC driver to fetch the data directly into R dataframes for cleaning and wrangling.

• Built an API using Python Dash framework to implement a tuning tool for the Anti Money Laundering division. Data cleaning and transformation was done using Numpy and Pandas before being utilized for tuning. Interactive graphs were implemented using Plotly as a part of the monthly report generation. Relevant Projects

Portfolio Optimization using Time Series Analysis New York Project Member Aug 2017 - Dec 2017

• Forecasted return and variance of a portfolio by estimating statistical parameters using IID, AR(1) and AR(1)- GARCH(1,1) models. Optimized the portfolio using SLSQP method in SciPy package of Python.

• Implemented a factor model to determine correlation of returns and calculated the VAR of the portfolio. Value Momentum Trading Strategy New York

Project Member Aug 2017 - Oct 2017

• Developed a Momentum based trading strategy utilizing various value factors to assist in trading signal generation.

• Applied a Moving average model in the Nasdaq 100 universe and took long short positions to maximize profits. Machine Learning for Financial Engineering New York Student Jan 2017 - April 2017

• Used R and Python to explore various regression and classification techniques, such as linear regression, ridge regression, LASSO, linear discriminant analysis, logistic regression and support vector machines.

• Applied Principal component analysis to reduce the dimensions of a return series of a stock which was based on 14 distinct factors. Was able to justify 96% of the variance of data using only 5 factors. Leadership Skills

Association for Computing Machinery New Delhi

Treasurer Aug 2015 - May 2016

• Worked as the treasurer and co-founded the CSR division of the Association for Computing Machinery student chapter. Skills

Programming: • C++ • Python • R • Pandas • NumPy

Computers: • MS Excel • HADOOP • SQL • Numerix • Murex • API

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