C++ Quant Excel Java SQL Unix

Technologist with strong business acumen looking for quant/analytics/strategy/trading based analysis/development roles. Have 10 yrs experience overall, 7 yrs in Finance/Banking.

• Passion for problem-solving/analysis/research. Strong interest/aptitude in quantitative finance & mathematics.

• Exposure in different financial products/derivatives. Excellent knowledge of Credit & Rates.

• Proficient in Financial/Statistical Modeling. Advanced knowledge of Excel programming.

• Expertise in C++/SQL/Unix and Data Structures/Algorithms.

EDUCATION

• Certificate in Quantitative Finance (CQF) by Dr Paul Wilmott. (2008 – 2009)

• Bachelor of Engineering from Indian Institute of Technology (IIT) Delhi. (1996 – 2000)

PERTINENT COURSES

• Black-Scholes Model, Options Strategies/Pricing, Stochastic Interest Rates, HJM Model.

• Credit Risk, CDS/Synthetic CDO Pricing, Basis.

PROJECTS DONE

• Implemented HJM model to price bonds & caps/floors using Monte Carlo. Used historical data with Musiela parameterization to estimate the volatility factors.

• Used the explicit Finite Difference method for pricing a binary option using the uncertainty volatility model for the worst case value (in isolation & when statically hedged).

TECHNOLOGIES USED

• LANGUAGES : C++/C, JAVA, VC++, VB, SQL, PL/SQL, SHELL SCRIPTS, PERL, XML

• PACKAGES/TOOLS : EXCEL, AQUA DATA STUDIO, TOAD, SCM (CVS, RCS, CLEARCASE)

• OPERATING SYSTEMS : WINDOWS XP, UNIX, LINUX

• DATABASES : SYBASE, DB2, ORACLE

EXPERIENCE

June 2008 onwards (& 2006 – 2007) GOLDMAN SACHS, NY

Working on Credit, Mortgage, Rates and other OTC Derivatives (in Equities, FX & Commodities). Responsibilities include interfacing with users to analyze & provide tactical/strategic solution to issues regarding trade processing & pricing/valuations - along with maintenance/support of the system. Have excellent product knowledge in Credit Derivatives & Interest Rate Products.

2007 – 2008 BLOOMBERG, NY

Worked on Equities trading system which provided trade management solution and combined real-time trading with other Bloomberg services. Responsibilities included enhancement/maintenance of the system. Provided time & resource efficient solution to some crucial business problems.

2006 – 2006 NOVANTAS, NY

Worked as Quant Developer to implement statistical models to evaluate target customers of the end-client by calculating probability to sign-up various products and potential investments based on credit data. Optimized existing algorithm to reduce total run-time from 1 week to 1 day.

2003 – 2005 SAP & INFOSYS, INDIA/GERMANY

Worked on various financial applications (including ones on Treasury & Structured Products). Applied highly scalable designs based on complex architecture on large project level.

2000 – 2003 Technology Startups, INDIA/SINGAPORE

Started career with start-ups like Accellion & Tele Atlas where developed programs for Internet Caching & GIS based services. Used highly optimal designs for faster turnaround of products.

SCHOLASTIC ACHIEVEMENT

• 6th in Corporate Mathematics Olympiad, Bangalore. (2004)

• 3rd in Undergraduate Mathematical Olympiad, Delhi. (1998)

EXTRA-CURRICULAR ACTIVITIES

• Have received a number of awards at academic/corporate level tournaments in Chess.

• Won championship in Bankers Athletic League, NY. Was also declared team MVP. (2008-09)

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