-
January 2020 - Present
Senior Software Engineer, Fixed Income Currency and Commodities
Bank of America, Chennai
Language:
Skills:
-
June 2018 - December 2019
Senior Tech Associate
Bank of America, Chennai
- Calibrated a double-exponential jump diffusion process on asset price dynamics using MLE methods
- Created a reverse repurchase agreement pricing model accounting for credit spread and Wrong Way Risk
- Designed an interactive dashboard for daily P&L tracking using JavaScript, HTML5 and CSS3
- Implemented an unsupervised record linkage algorithm to generate Machine Learning training dataset
Language: Python, Hadoop, R
Skills: Data Engineering, Machine Learning
-
May 2017 - July 2017
Internship: Equity Derivatives SalesTrader
Vellore Institute of Technology, Vellore
- Conceived a structured product pricing interface using Excel VBA and C++
- Priced a wide range of products such as Phoenix-Autocalls for institutional clients
- Booked trades from Hong Kong, Korean and European offices on a daily basis
Language: Python, R
Skills: Machine Learning, Statistics, Data Science
-
June 2017 - July 2017
Project: Creation of a market sentiment indicator
Vellore Institute of Technology at Vellore
- Implemented web-crawling algorithms to extract textual data from local newspapers
- Applied Natural Language Processing methods to compute daily topic distribution
- Created a Recurrent Neural Network based on topic distribution to predict market sentiment
- Designed an indicator to predict French stock market volatility
Language: Python
Skills: Machine Learning, Web Crawling, Neural Networks, NLP