Team Lead, Equity Vol Quant Dev

Equity Volatility, Global Credit

- Strategist for the flow (Index and single name options) desks at Morgan Stanley, New York- Lead developer, firm-wide equity volatility surface calibration; used for 4000+ names globally- Worked on introducing a new parameterization for equity volatility surfaces; carried out extensive study on associated risks and greeks. Implemented a Kalman Filter based volatility fitting process for stability and smoothness- Worked on modeling events (earnings) for single names: calibration and associated risks / greeks- Strategic lead for global release of flow desk models, coordinating work across timezones and multiple teams- Synergized with Risk and IT teams globally on strategic projects; enhancing risk reporting and controls - Mentored summer interns and colleagues, direct reports with daily tasks and long-term projects- Participant, Accelerated Career Path Program

Fall Coursework: Stochastic calculus; principles of derivative pricing including risk-neutral valuation & Black-Scholes, Greeks; portfolio and risk management with econometrics, CAPM, Black-Litterman model; software development in Java for applications in trading & portfolio managementSpring coursework: Interest Rate and FX Models, Algorithmic Trading and Quantitative Strategies, Continuous Time Finance, Advanced Risk ManagementProjects: Monte Carlo Framework in Java, Option pricing using lattice, Portfolio optimization in MATLAB

-Gained active exposure to Fixed Income Arbitrage, RV Trading and Exotic Products traded in US markets- Successfully implemented NSS and spline-based Fisher and Waggoner IR models to predict the Fed buyback program in the US using MS Excel, JPMorgan Analytics Library and VBA- Calculated the notional, risk and prices of daily trades in real time for the USD desk- Developed and maintained tools for accrued PnL of the US exotics desk

- Coursework in Probability, Stochastic Calculus, Optimization, Computational finance, Numerical Methods in PDE, Monte Carlo- Selected for the Experience@Singapore Leadership Program (December 2009) , organized by Contact Singapore, an alliance of the Singapore Economic Development Board & Ministry of Manpower, Singapore.- GPA 8.75/10.0

-Developed pricing algorithm in MATLAB for options using the Heston model of Stochastic Volatility- Employed a non-uniform grid and matrix exponentiation for increased efficiency- Implemented the Krylov Subspace methods instead of Pade’s approximation for quicker execution- Tested the algorithm against existing pricing algorithms to gauge its efficacy and robustness

- Developed financial model in MS Excel for valuation purposes and deal negotiations for India’s first Agro-based $100 million PE fund- Analyzed financial statements of potential clients using CAPITALINE corporate database- Quantitatively modeled a number of live deals; presented prospective deals before company executives and clients