Quantitative C++ Java Matlab C full-time permanent PhD level job NYC

DIBYENDU CHAKRABARTI

*** * *** **, ********, NJ *7029

Phone: 201-***-****

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

EDUCATION

1. Second Ph.D., Simulation and Stochastic Modeling, 2011. New Jersey Institute of Technology, USA.

2. First Ph.D., Cryptography, Combinatorics and Sensor Networks, 2008. Indian Statistical Institute (ISI), Calcutta, India.

3. MS, Computer Science, 1998. Indian Statistical Institute (ISI), Calcutta, India.

SKILLSET (Summarized)

Double PhD and 12+ years of work and research experience.

1. QUANTITATIVE: Mathematical, statistical and stochastic modeling, analysis of large datasets, optimization techniques (linear (linear programming) and nonlinear (Nelder-Mead)), time series models, numerical methods, probability, statistics, partial differential equation, stochastic differential equation, finite difference methods, re- gression and statistical analysis, stochastic process and Brownian motion, Monte Carlo simulation and variance reduction techniques.

2. FINANCIAL: Option pricing models, portfolio optimization and efficient frontier models, Black-Scholes analy- sis, application of stochastic calculus in finance, simulation and algorithms for financial models, implementation of several programming projects given in “The Concepts of Mathematical Finance” by M. S. Joshi.

3. RISK MANAGEMENT: Theoretical understanding of portfolio performance measures (e.g. Treynor, Sharpe and Jenson measure) and CAPM. Risk attribution (portfolio’s total risk and tracking error), Return attribution analysis. Performance attribution (arithmetic and geometric attribution), Quantitative Risk Management (QRM) and Multivariate Risk Models, Modeling Extreme Risks, Operational Risk, Credit Risk Management, Dynamic Credit Models and Credit Derivatives.

4. MACHINE LEARNING AND LARGE SCALE DATA ANALYSIS: Theoretical knowledge of Collaborative Fil- tering (CF), Singular Value Decomposition (SVD), MCMC methods, Naive Bayes Classifiers, Hadoop, MapRe- duce, Distributed systems, Distributed computing.

5. PROGRAMMING: 12+ years of experience in independent analysis, design and implementation of algorithms, data structures and programs. 4+ years of experience in software development, testing and debugging. Knowl- edge of C, C++, Java, Matlab, R, Mathematica, Excel, SQL, Fortran, Pascal, scripting in UNIX, preliminary knowledge of Python, functional programming language LISP and lambda calculus. Several years of experience in RDBMS’ (Oracle, SQL Server) and OS’ (Windows, Unix/Linux).

EMPLOYMENT HISTORY (Summarized)

Research Experience: 8+ years. Software Development Experience: 4+ years.

1. Research:

(a) Research Collaborator, New Jersey Institute of Technology, USA. September, 2011 – Till date. (b) Data Analyst, AT & T Labs Research, USA. February, 2011 – September, 2011.

(c) Research Scientist, Stevens Institute of Technology, USA. August, 2006 – June, 2007.

(d) Research Scholar/Project Scientist, Indian Statistical Institute, India. November, 2002 – July, 2006.

2. Software Development:

(a) Consultant, Anshinsoft Corporation, Calcutta, India. March, 2002–October, 2002.

(b) System Analyst, Techna Digital Services Pvt. Ltd., Calcutta, India. September, 1998–February, 2002.

EXPERIENCE

RESEARCH EXPERIENCE

1. Research Collaborator, New Jersey Institute of Technology, USA. September, 2011 – Till date.

Research on the financial and engineering applications of bivariate copula.

2. Data Analyst, AT & T Labs Research, USA. February, 2011 – September, 2011.

Design and development of a hybrid analytical simulator for UMTS-based wireless networks.

3. PhD, Computer Science, New Jersey Institute of Technology, USA. January, 2008– May, 2011. (a) Determination of time average variance constant (TAVC) for arbitrary stationary processes. (b) Multiple comparison with the best (MCB) and selection using stochastic techniques.

4. Research Scientist, Stevens Institute of Technology, Hoboken, NJ, USA. August, 2006–June, 2007.

(a) Programming in C, C++ on Linux in general and also for a device called Cerfcube. (b) Research in the area of Cryptography & Coding theory.

(c) Served on the technical program committee for ICCCN’07 Network Security Track.

5. Research Scholar, Indian Statistical Institute, Calcutta, India. August, 2004–July, 2006.

(a) Research in Cryptography, Combinatorics, Sensor Networks. (b) Presented paper in ISC 2005, Singapore.

(c) Visited University of Wollongong, Australia during 2005–2006.

6. Project Scientist, Indian Statistical Institute, Calcutta, India. July, 2003–August, 2004.

(a) Study of algebraic properties of two-dimensional Cellular Automata. (b) Complex data analysis for Bioinformatics applications.

(c) Studied the ”Cash filling requirement” of ATMs by simulation and derived the schedule.

TEACHING EXPERIENCE

1. Data Structure and Algorithms at BS level at New Jersey Institute of Technology.

2. Data Structure at BS level, Cryptology at MS level in Indian Statistical Institute.

3. C language, Operating System, Database Management System at BS level at B. C. Roy Engineering College.

4. Mathematics, Statistics, Programming Language, Algorithms, Operating System, Database Management Sys- tem, Unix, Java, Oracle to BS students of London, Oxford and Cambridge Universities’ DLP, London School of Economics DLP and working professionals at Techna Digital Services Pvt. Ltd.

SOFTWARE EXPERIENCE September, 1998–October, 2002.

1. Designing, developing and implementing Intranet and Web based applications using JAVA (JDK 1.2), IBM Visual Age, Websphere, BEA Weblogic, EJB, JDBC, RMI, Java Beans.

2. Detailed design of applications using Object Oriented Analysis and Design (OOAD).

3. Creation of Use Cases, Class diagrams, Sequence diagrams, Collaborations diagrams, State diagrams using

Rational Rose.

4. Exposure to Rational RequisitePro, Rational SoDA.

5. Visited Japan and worked with Japanese client.

PUBLICATIONS

JOURNAL ARTICLES

1. A key pre-distribution scheme for wireless sensor networks: merging blocks in combinatorial design, Interna- tional Journal of Information Security, vol. 5, Issue 2, pp. 105–114, April, 2006.

2. Clique size in sensor networks with key pre-distribution based on transversal design, International Journal of

Distributed Sensor Networks, vol. 1, Issues 3–4, pp. 345–354, 2005.

REFEREED CONFERENCES

1. Application of Simulation in Designing a Secure Grid of Distributed Wireless Sensor Network, Proceedings of IEEE International Conference on Industrial Engineering and Engineering Management (IEEM 2009), Hong Kong.

2. Combinatorial structures for design of wireless sensor networks, Proceedings of 4th International Conference on Applied Cryptography and Network Security, ACNS 2006, LNCS 3989, pp. 365–374, 2006.

3. A key pre-distribution scheme for wireless sensor networks: merging blocks in combinatorial design, Proceedings of 8th Information Security Conference, ISC 2005, LNCS 3650, pp. 89–103, 2005.

4. Quantum Weight Decision Algorithm of a Boolean Function, Proceedings of ERATO conference on Quantum

Information Science 2005, Page 127–128, EQIS 2005, Japan.

5. A hybrid design of key pre-distribution scheme for wireless sensor networks, Proceedings of 1st International

Conference on Information Systems Security, ICISS 2005, LNCS 3803, pp. 228–238, 2005.

6. Clique size in sensor networks with key pre-distribution based on transversal design, Proceedings of 7th Inter- national Workshop on Distributed Computing, IWDC 2005, LNCS 3741, pp. 329–337, 2005.

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