I am looking for PhD positions in mainland Europe. I want to research in the area of artificial intelligence with dynamic Bayesian models. Here is my resume
Research Website:https://papers.ssrn.com/sol3/cf_dev/Abs ... _id=435366
New York University, New York, NY , USA .
Masters of Arts in Economics with a concentration in Mathematical Finance, September 2002.
Wrote my thesis on pricing of Bermudan Swaptions and other Bermudan structured Derivatives within the framework of Libor Market Model. Libor Market Model was the newly introduced and most modern interest rate model at that time. My thesis was titled, “Pricing Bermudan ﬁxed income derivatives in multi-factor extended LIBOR market model.” My thesis was cited in several other research papers/theses.
Northwestern University, Evanston, IL , USA .
Bachelor of Science in Electrical Engineering, March 97
CEO, Infiniti Derivatives Technologies, Lahore, Pakistan
Feb 2012 - Present
My company web site is: http://www.infinitiderivatives.com
Worked on research on the analytic solution of ordinary differential equations. I presented methods for analytic solution of general nth-order ordinary differential equations and also for the analytic solution of systems of nth-order ordinary differential equations. My research is discussed in the research paper, "On the General Solution of Initial Value Problems of Ordinary Differential Equations Using the Method of Iterated Integrals" downloadable at https://papers.ssrn.com/sol3/papers.cfm ... id=2872598
I have worked with a new Ito-Taylor based method for calculation of densities of SDEs and their path integrals. In this method, SDE or its functionals evolve like a set of autonomous ODEs. This results in an extremely fast algorithm which is several orders of magnitude faster than previous methods. I have not completed the formal research paper yet but I worked on this method over several years and simultaneously continued to post any new major advances in my understanding on internet as they occurred. I made these posts on wilmott.com mathematical finance forum. Here is the chronicle of my posts about this research over the years: viewtopic.php?f=4&t=99702&start=690
My formal research paper would be ready in about two weeks.
My research paper titled, “Calibration, Simulation and Hedging in a Heston Libor Market Model with Stochastic Basis” was published in a Risk book “Interest Rate Modelling after the Financial Crisis.” Here is the link to Risk book web site: http://riskbooks.com/interest-rate-mode ... ial-crisis
I also successfully completed another research project which resulted in the research paper titled “Solution of Stochastic Volatility Models Using Variance Transition Probabilities and Path Integrals.” This paper can be downloaded at https://papers.ssrn.com/sol3/papers.cfm ... id=2149231
Quantitative Research Analyst, UP-FRONT Inc., Tokyo, Japan
Feb 2003 – Oct 2010
It was a research and development Role and I was based in Lahore, Pakistan. These were the major research projects I completed with Upfront.
I developed a stochastic volatility displaced diffusion LIBOR Market Model. Worked on global Calibration of the model to more than 2000 swaptions with forward curve out to sixty years. Priced callable structured derivatives and more exotic deals as well as their deltas and vegas in this stochastic volatility model.
Worked on advanced multi-factor skew extended calibration of LIBOR Market model. Very robust smoothing constraints were implemented which were required for stability of hedges. Worked with calibration of four different versions of skew extended LIBOR Market Models. Successfully dealt with the problem of simultaneous calibration of the whole swaptions matrix.
Worked extensively with pricing of most complex callable LIBOR exotics. The instruments include Bermudans swaptions, Bermudan callable reverse floaters, Bermudan captions, Bermudan CMS floaters, Bermudan CMS reverse floaters, Bermudan CMS spread options, CMS TARN structures, Bermudan Snowballs, snowblades, and Bermudan callable PRDC.
Extended Longstaff and Schwartz method to deal with complex callable fixed income structured derivatives in my research paper, “Multi-Factor Cross Currency Libor Market Models: Implementation, Calibration and Examples.” The paper can be downloaded here: https://papers.ssrn.com/sol3/papers.cfm ... id=1214042
Worked on the pricing of Bermudan Callable and Trigger Power Reverse Dual Currency Note and other FX/IR hybrid derivatives. Developed a multi-factor cross-currency LIBOR Market Model for the pricing of these instruments. Implemented the advanced analytics of the model on Excel using VBA and C++.
6. Worked on a three factor Hull White Cross Currency model in Cheyette framework for fast pricing of Bermudan trigger PRDCs. This involved analytic calibration of the model to FX volatilities and to swaption volatilities of local and foreign economy.