Dr. Wajahat Gilani

CONTACT

INFORMATION

Rutgers Business School Newark & New Brunswick

Rutgers University

*** *********** ****, **** ****

Piscataway, NJ 08854 USA

Tel: +1-718-***-****

adi534@r.postjobfree.com

www.business.rutgers.edu/faculty/wajahat-

gilani

TEACHING

INTERESTS Financial Programming Applications using R and Python

Business Analytics Programming (Python)

Business Intelligence (R)

Machine Learning Applications

Management Information Systems (SQL)

Web and Data Analytics

RESEARCH

INTERESTS Systematic Value Investing with Big Data

Optimal Stopping in Illiquid Investments

Bayesian Learning

Machine Learning Application

Revenue Based Financing Modeling

CITIZENSHIP US Citizen.

EDUCATION Ph.D., 2016, Rutgers University, Newark, NJ, USA.

Dissertation: Optimal Investing in Illiquid and Incomplete Markets

Dissertation Adviser: Professor Michael N. Katehakis

Area of Study: Management Science and Information Systems & Finance Masters in Quantitative Finance, 2004 Rutgers University, Newark, NJ, USA.

Area of Study: Quantitative Finance

Specialization: Quantitative Research and Derivative Pricing B.S., 2001 Rutgers University, Newark, NJ, USA.

Major: B.S. in Computer Science

Major: B.A. in Economics

TEACHING

EXPERIENCE

Instructor September 2019 - present

Columbia University, School of Professional Studies, New York City, New York

Lecturing on applying analytics in a corporate setting. Topics ranging from finance to supply chain.

Assistant Professor of Professional Practice September 2017 - present Instructor September 2012 - July 2017

Rutgers University, Department of Management Science and Information Systems, Newark and New Brunswick campuses, New Jersey

Masters in IT and Analytics Advisor, and on the admittance board

Lectured Statistical Methods In Business

Hosted career info sessions for MISA and BITS organizations

Panelist at BAIT major introduction events

Presenter at MBA open house for MSIS department

Panelist and Financial Analytics Conference in Malaysia

Guest lecturer at La Salle University on the future of Financial Analytics and Big Data 1 of 6

Recepient of the 2017 Rutgers Business School Professor of the Year Award

Lectured Business Research Methods

Lectured Management Information Systems

Lectured Information Systems Security

Developed and Lectured the class Investment Modeling in R,including course materials

Developed and Lectured the class Business Analytics Programming in Python for MBA students and MISA students new to programming, including course materials

Developed and Lectured an R based version of the class Analytics in Business Intel- ligence for MBA students and MISA students new to programming, including course materials

Attended MSIS Brown Bag Seminar

Attended MSIS Department Seminar

Advisor to students on Honors Thesis

Director of Data Analytics Labs (Independent Study) January 2016 - Present Founded the Data Analytics Labs with students to conduct entrepreneurial experiments us- ing techniques learned in the B.A.I.T program

Lectured at Seminars in the New Brunswick on data and entrepreneurship

Lead workshops in New Brunswick on lean business development using the lean canvas framework

Recruited Alumnis to mentor students on future projects

D.A.L. Incubator Independent Study where working together with students, we launch their own web based businesses

Bellemint Initially an online community for make-up artists. The team used In- stagram API and screenscraping to idenify target make-up artists and automatically created profiles, while sending them direct messages to tell them it happened. Unfor- tunately, due to changes in laws in Europe and the U.S., we had to pivot to becoming the hub on make-up and products that are infused with healthy ingredients. The goal is to release our own product under the Bellemint brand.

Ace My Career An online platform where students can find tutor who have taken the same specific class, with the same specific professor, with the idea that a fellow student who has already done well in the same course, can be a more effective tutor. In addition, the platform is meant to allow students to get help with their resumes and interviews from fellow students that have successfully completed and intern- ships that the student is targeting. Currently, Ace My Career is active, but we are now pivoting to a search methodology, where a student submits the service they are looking for and our system searches possible people for them to network with.

www.loftaway.com (Ended) A membership based flight app used for people com- muting be-tween states, using small regional charter planes. The team is going to use twitter feeds to identify and advertise people that use amtrak trains and Newark airport for business travel between states. We unfortunately ended the business be- cause there were many competitors entering this field and our analytics wasn’t going to give us a competitive advantage.

www.coffejaunt.com (Ended) A peer-to-peer coffee delivery service for a college campus. Students could be compensated for picking up coffee or small snacks for fellow students on their way to the same location. Although the idea had promise, we closed this project because the profit margins would be small and it required us to invest in a phone app that would take considerable amount of initial investment. HARDWARE AND

SOFTWARE SKILLS

Computer Programming:

Html, Java, R, VBA, SQL, Python (pandas, numpy, scipy, flask), Matlab, C, Visual C++, Ampl (CPLEX, LP Solvers), SAS, Perl, Scheme, JavaScript, Oracle, Sybase, Unix, and Kornshell

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Quantitative Analysis:

Numerical pricing techniques, multi-tier trees, matrices, iterative methods, R/S analysis, Continuous and finite stochastic simulations, Ampl optimizers, Monte-Carlo Simulations, Dynamic Programming and various time series

Desktop Editing and Productivity Software:

Microsoft Office, OpenOffice.org, LibreOffice, Corel WordPerfect, Google Docs

RStudio, Spyder, Pinegrow, TexStudio

Operating Systems:

Microsoft Windows family

Apple OS X

Linux and UNIX

BOOKS [1] (Pending) Quantitative Value Investing in R PROFESSIONAL

JOURNAL

PUBLICATIONS

[1] (Pending) Trading S&P 500 ETF’s using Neural Networks

[2] (Pending) Re-thinking Project based Muni-Bonds: A case for revenue-based structures AWARDS 2017 Thomas Motts Jr., Rutgers Business School Professor of the Year Award.

Rutgers University MSIS Teaching Excellence Award for 2016-2017.

Rutgers University MSIS Teaching Excellence Award for 2018-2019. ACADEMIC

SERVICE

Panelist on Presenting the BAIT major to underclassmen, sponsored by BITS Presentation on Data Analytics to underclassmen interested in attending RBS, sponsored by BITS

Presentation on MSIS for the Rutgers MBA Open House, sponsored by the Graduate Program Hosted career-night info session, sponsored by MISA PROFESSIONAL

EXPERIENCE

StrikeValuation, Investment Data Scientist, Princeton, NJ April 2008 to Present

Designed, built, maintained and expanded the hedge-fund database for fundamental re- search data, investor/accounting data, and market price data in SQL Server using 3NF stan- dards

Developed a platform for upstream data sourcing and transformation (using C#, stored pro- cedures),and the integration into downstream data from 3rd party API (Bloomberg, Back- Stop, Enfusion), and the development of processing analytics on the accuracy of data pro- cessing

Lead data sourcing projects in collaboration with portfolio managers and researchers, to quantify the impact value of new data on research and models

Redevelopedlegacycodeintosmallermodulesthatareeasiertoupdateforjuniordevel- opers and easy to monitor for the analytics teams, the emphasis on a flexible platform that allows for quick updates and experimentation, while maintaing legacy processes

Build in C# and R, a stock screener for domestic and international stocks using funda- mental ratios (ROIC, Earnings Yield, Current Ratios, etc.)

Developed an R program to calculate cost of capital, for stocks in all the major indices

Worked on implied volatility program in C# and R, using non-normal distributions

Built a C# program that connected to a 3rd party API to source fundamental loan data, and combine it with in house propietary data to run monte-carlo simulations in the hedge-fund‘s propietary simulator

Devloped a daily exposure and performance system using SQL Server and MS Report- ing services for a multi-strategy hedge fund

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Design and developed an alpha generation tool in Java, that utilized Earning Power Value and price volatility, to generate and backtest trading ideas Citigroup, FX Derivatives Quantitative Analyst, New York, NY July 2007 to April 2008

Purchaser Price Parity modeling, testing for reversion trends, auto-correlation

Emerging market Early Warning System, constant monitoring of macroeconomic vari- ables to ensure no outlier events are taking shape

Time-series analysis, stationary/non-stationary, distribution analysis

Short-term momentum strategies/long-term carry strategies

FX linked commodity valuations based on short-term volatility Libertas Partners, Quantitative Desk Analyst (CDO/CMBS/ABS), Greenwich, CT February 2006 to July 2007

Developing basic models and simulations for pricing different HY bond strategies and CDO‘s

CMBS DSCR analysis

CDO OC/IC ratio analysis, coverage test analysis (geography, property type, etc)

Collateral analysis (technical & fundamental), includes traditional bonds, airplanes, ship- ping containers, medical technology, etc.

CDO and ABS cash-flow forecasts based on historical and quantitative analysis

Track and measure industry standards and trends in regard to structuring, collateral, and spreads

Extensive use of Intex (desktop & web)

JP Morgan & Chase, Quantitative Credit Research Analyst, Iselin, NJ February 2005 to February 2006

Designed and implemented valuation score-cards in C++ signaling MSA‘s that are ex- ces- sively high in value and in turn, advising short-term to long-term changes in loan policies in those branches operating within those MSA‘s. Utilized explicit finite matri- ces to evaluate values.

Wrote various VBA applications for weekly/monthly reporting, ranging from market anal- ysis to portfolio evaluation, utilizing VBA and Excel functions in various macros

Prepared summary and analysis reports on various products and their relative perfor- mances for upper management and their expected performances based on continuous normally dis- tributed stochastic processes.

Developed benchmarks, based on relevant factors, to measure relative performance of real estate portfolios. In designing benchmarks, used Ampl and LP solver optimization to design hybrid product benchmarks.

Market analysis and commentary on the economy and relevant products for upper man- agement and horizontal teams utilizing SAS statistical and reporting functions.

Worked with product development testing and analyzing new products probability and scope of profitability by giving expected returns based on historical data as well as sim- ulations done using binomial/trinomial trees.

Merrill Lynch Investment Managers, Junior Quantitative Analyst/Investment Technology Analyst, Princeton, NJ August 2001 to February 2005

Developed and tested Genetic Programming Simulation utilizing Visual C++f or Japanese Equity factors analysis. Genetic Programming is the next step beyond ARCH and GARCH simulations, but nonparametric, and a step behind Neural Networks. The computer ran- domly generates combinations of factors and back tests the factors against var- ious time frames of historical data. The result showed overall which factors statistically did better than others and within various time periods (the Asian Market crisis) how certain factors performed.

Developed/Supported traders VBA/Excel applications. Ranged from redesigning to trou- bleshooting various subs and functions, as well as programming of 3rd party tools such as Bloomberg‘s blp functionality

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Developed volatility analysis excel sheet that pulled in securities held via ado call to Oracle database and historical data via Bloomberg, and wrote a GARCH sub that per- formed volatility analysis on securities for trading purposes

Developed Asset Allocation Model for the FDP Series of diversified investment prod- ucts. The Model utilized non-linear/linear optimizers, efficient frontiers, and volatility analysis. It is currently used as part of the investment decision-making process for Asset Allocation. Developed a Java GUI Front end that sat on top of Java classes and Ampl in combination with the CPLEX solver that would optimize combinations of various chosen assets to pro- duce efficient frontiers and optimized portfolios.

Performed VBA development/support for traders and portfolio managers, ranging from sin- gle to multiple sheets interacting with 3rd party tools (Bloomberg, factset).

Monitored emerging market total foreign exchange risk within portfolios, to assist Se- nior Quantitative Analyst in using currency options, futures and forwards hedging against vari- ous international currency exposures.

Performed attribution analyses for the ML Equity Growth funds and credit analysis for emerging market funds, daily and weekly reports that showed which sectors were per- form- ing better and which securities within those sectors were performing the best, and then comparing them with our portfolio selections to show PM‘s where we were under and over performing.

Assist FX Manager in financial reporting to both internal and external reporting agencies.

Back-tested and implemented various trading strategies for Senior Quantitative Analysts and traders, utilizing moving averages, ARCH, and finite stochastic optimizations. Wrote trading strategies in Java and Visual Basic.

Designed and implanted Black-Scholes finite equation and Implicit and Numerical Matrices to triangulate option prices and measure implied volatility, as well as measured and reports all the Greeks for the Capital & Investments Fund which took positions in equity options. Wrote this in Visual C++ and created an executable.

Implemented 3Phase FCFE cashflow model into a web-application including analytical and historical data, utilizing j2ee, EJB, and oracle back-end

Developed business alert system database and web front-end for measurement against bench- marks and account rules, utilizing j2ee, xml, and an oracle back-end

Created securities & accounts portal for fixed income investment managers utilizing 3rd party software, Plumtree, j2ee, and an oracle back-end

Developed equity research web application which included FactSet market data, j2ee, EJB, queues, and an oracle back-end

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CLASS SURVEYS

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