Leading the QA market support intraday pricing support for Capital market and Treasury desk for linear and non-linear products (FX and IRD Derivatives and Fixed income derivatives) and static Hedging on the portfolio level.

• Supporting desk Quants for intraday yield curve construction and intraday pricing support for FX non-linear products and static Hedging on the portfolio level.
• FX Local stochastic volatility and local correlation Model for early exercise products (Bermudan option, Worst of Bermudan options, Pay As you go, and Cancellable TARF) using Longstaff and Schwartz method with PW and LOESS optimization method.
• Develop FX derivative pricing Models for single barrier, double barrier and other exotics using Stochastic local volatility Model:
  • With forward Kolmogorov PDE equation for probability density function
  • Using Monte Carlo simulation method for joint density function
  • Using the Markovian projection method
• Developing and enhancing the forward curve construction after.:
  • Develop the G10 forward curve for electronic trading desk and OTC desk
  • ?Developed ?the Tension spline for C°2 based smooth and 2nd oder continuous forward curve and Functional Jacobian based methodology for e-trading desk and AAD based yield curve risk management tools. 
• Quantitative pricing support and delegate the pricing of plain vanilla to exotic derivative (mostly CMS product and CMS linked derivatives and Cash settled swaptions and callable bonds).
• Supporting the cross-currency market (CCY) making electronic trading desk (HFT) for developing the very fast pricing algorithms based on functional Jacobian method and algorithms for execution of the client trades and

Quantitative Hedging:

• Quantitative Shadow hedging of the Structured derivative portfolio and providing the static and dynamic hedging support on portfolio level and Deal level.
• Portfolio optimization using stochastic dynamic optimization method with tenor and cash flow matching method for Static hedging.
• Developed the Tent Bridge method for Greeks accumulation for the asset and liability sensitivity accumulation
• Quantitative support for the prepayment models and first to default models (based on static recovery) for credit linked product and static hedging for negative convexity (tenor correction) with amortizing swaptions.

Leading quant team for Front office trading support for portfolio analysis, Risk reduction and derivative pricing of Cross Asset products, electronic trading, flow derivative desk, structured desk and hybrid product desk.

• Developed Pricing Models for exotic FX derivatives pricing Models for product e.g. Fader options, Range Accrual, and Target redemptions notes e.g, Target Redemptions Forward using Stochastic local Model with Markovian projection method and Quasi Monte carlo simulation method using Gray codes.
• Developed the Swap Yield curve Based model for the Cash settled swaption pricing with Convexity adjustment modelling with full replication method and TSR approach.
• Developed the Quasi Gaussian Pricing models for linear rate products with shifted local volatility model framework using PDE based solution.
• Developed the fast-pricing algorithms for CAPS, Swaptions and Bermudan swaptions with backward looking forward G10 Currency using the Quasi gaussian models with local volatility framework using PDE methods.
• Developed the CAP volatility surface with SOFR forward and developed the extended-SABR model
• Developed Arbitrage free implied volatility surface for IRD and FX derivatives:
  • Arbitrage due to SABR to exploit avoid negative densities at low Strike and volatility extrapolation method for negative rates with asymptotic flying skew and developed the extension of SABR model with additional parameter to avoid negative densities at low Strike and volatility extrapolation method for negative rates with asymptotic expansion method
  • Execution of volatility surface arbitrage for the emerging market by extracting the Risk neutral density function (RND function) using the Schittenkopf and Doffer method of Mixture Density Networks.
  • Developing algorithms, the sticky strike and sticky delta volatility surfaces and arbitrage free volatility surfaces smoothening based on fractional Brownian Motion concept with optimization through deep learning method.
  • Developing algorithms for Volatility surface and different currency pairs for developing the sticky strike and sticky delta volatility surfaces. Arbitrage free volatility interpolation and developing
• 1) Fengler method, 2) SVI Jump method, 3) SABR_FX method 4) Density function approximation method
• Developed the multi-callable swaps multi-callable bonds with quasi gaussian low dimensional model for the rates flow desk.
• Quantitative support to flow rate desk with modelling the flow products, Movement of Implied volatility surfaces, curve construction and quantitative hedging of rate risk.
• Curve construction in multiple curve frame work and smoothening of the forward curve with monotone convex spline and minimal cubic spline and modified Basel spline method.
• Developed the Non arbitrage interpolation scheme for the forward rate that allows the deduction of non-tenor rates within a simulation based on using a Brownian-bridge-type approach

Greeks Calculation:

• Estimation method of Greeks, for low dimensional pricing scheme Numerical estimation with various finite Difference schemes.
• Estimation of For higher dimensional with done different schemes depending upon the payoff of the product.
  • Likelihood ratio method.
  • 2 Path wise method 3. Adjoint method
• Developed the Proxy scheme for higher order Greeks for the path dependent derivatives pricing with simulation method and Greeks, based on different schemes depending upon the payoff of the product.
  • Pathwise method with payoff smoothening method using Adjoint method
  • ?Hybrid ?Pathwise-Likelihood ratio method.
• Continuous development and global optimization of forward curves is major currencies with Multicurve framework and implementing advanced method of forward smoothening and bootstrapping.

• Quantitative Trading to manage the FX derivative book for 3Mio. VAR. Pricing of the first generation exotics and structured FX products.
• Quantitative static and dynamic hedging strategies with the replication method on the portfolio level and performing global optimization based on convex function optimization.
• Estimation of Quantitative impact of market event on Spot and volatility with advanced algorithms and Market Commentary for the trading desk for econometric and market event and their quantitative impact on FX derivative market.
• Continuous developing the derivative based Vega and gamma ladder trading strategies and optimizing the long Vega and long gamma strategies for various currency market.
• Developed the Pricing Models for path dependent FX exotic derivatives ( TARN, ) and FX forward starting derivatives, FX cliquet
• option or ratchet option) with Stochastic local volatility frame work with Joint marginal probability density function through simulation approach.
• Developed the Pricing model for complex product like snowballs, snow bears, Irreversible floaters, with shifted lognormal Libor market model using quasi Monte Carlo simulation method with Hanton, Sabol and other LDS sequences.
• Developed the pricing models for early call with exotic nature using with
• • Shifted LMM with tenor corrections method with linear regression (Lower bound) and upper bound method.
  • Shifted LMM with Stochastic bundling method.

Volatility trading strategies:

• Develop and Executed Quantitative Volatility trading strategies based on statistical arbitrage in implied volatility surface for exchange traded instruments and OTC market
  • Execution of volatility surface arbitrage for the FX emerging market by extracting the Risk neutral density function (RND function) using the Schittenkopf and Dorffner method of Mixture Density Networks.
  • Developing algorithms, the sticky strike and sticky delta volatility surfaces and arbitrage free volatility surfaces smoothening based on fractional Brownian Motion concept with optimization through deel learning method.
  • Developed the Correlated FX volatility surface and statistical arbitrage due to illiquid pillars-based Vega Strategies.
  • ?LIQUIDITY ?Arbitrage algorithms in sticky strike vs sticky delta volatility surfaces and arbitrage free volatility surfaces smoothening based on Fengler method and SVI Jump method with hunt extension method and Density function approximation method.

• Developed the pricing model for interest rate derivatives with LIBOR market model and Shifted Log normal LMM model (Pricing Schemes with fast convergence developed by use of quasi Monte Carlo Integration based on high dimensional Sobol low? discrepancy sequence).
• Adjustment of multiple curves for discounting and forward calculation for collateral and uncollateralized IR derivatives with stochastic funding spread.
• LIBOR market Model in Heston framework (CIR process) for pricing the smile dependent exotics like snowball and irreversible floaters.
• Cheyette Model for IR exotics, Calibration with Genetic optimization.
• Introduce the Exact fit of swap volatilities matrix with semi definite approach in LIBOR Market model.
• Extension of LIBOR market model to Multi-curve approach (6m forward and EONIA discounting).
• Developed the Short rate model (HW2F) for Normal volatility and multiple curve adoption.

• Developed the Algo-DMA trading strategies of kind VWAP, TWAP and GWAP
• Extensive experience of supporting the traders to for trading on EUREX, XETRA, SWX, LSE CME
• Development of clearing script with Perl and SQL
• Development of intra asset class implied volatility pattern and arbitrage opportunity across historical volatility.