Priyadarshi Saket - SAKET PRIYADARSHI Brooklyn NY –...

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Unformatted text preview: SAKET PRIYADARSHI Brooklyn, NY – 11216, (202) 713 – 9172, [email protected] EDUCATION NEW YORK UNIVERSITY New York, NY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance (expected – December 2011) Finance/Computing Project in C++ : Generated Volatility Surface for SPX options, priced Variance Swaps, Options, Greeks, Convertible Bonds, Strategies, and priced options by Monte Carlo Simulation Risk with Econometrics: Mean-Variance Optimization, VAR, Black-Litterman Model, ARIMA, Bayesian Methods, GARCH and Range Volatility Estimators, Linear Regression, Hypothesis Testing, PCA Derivative Securities: Risk-Neutral Valuation, Credit Risk, One-Factor Interest Rate Models, Black-Scholes, Derivative Pricing and Hedging, Binomial Tree, Finite Difference and Monte Carlo methods, Yield Curves Computing: Optimal Trade Execution, Impact Models, Almgren - Chriss Model Stochastic Calculus: Brownian Motion, Ito’s Calculus, Markov Process, Martingales, Feynman Kac...
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