Shivanshu Chauhan
Quantitative Researcher
- Role
- Portfolio Pricing and Valuations at Millennium
- Location
- Mumbai, MH, IN
- LinkedIn followers
- 500 followers
About Shivanshu Chauhan
Experienced Quantitative Researcher with a robust background in financial engineering, derivatives pricing, and model calibration. Proficient in developing parametric volatility surfaces for major European indices using live market data. Skilled in building validation dashboards for intraday volatility surfaces, and implementing complex calibration frameworks including Eq-FX and Eq-Eq correlation term structures from broker quotes. Developed models capturing correlation skew using advanced copula methods.Also experienced in systematic market making for Interest Rate Swaps (USD, EUR, GBP) with fully/semi-automated pricing and hedging solutions. Technical expertise includes Java, Python, KDB+/Q, SQL, Stochastic Calculus, and Machine Learning.
Experience
Portfolio Pricing and Valuations
Aug 2024 — Present · Mumbai, IN
Implemented dashboard to validate intraday Volatility Surfaces from Millennium against external broker Volatility surface by tracking several metrics like ATMF vol moves, skew and smile moves, forwards curve shift, forward volatility moves, etc. Implemented a correlation calibration framework to calibrate Eq-FX (i.e. Quanto Correlations) and Eq-Eq (i.e. Copula Correlations) correlations term structure from Broker Quotes (Synthetic Quanto for Quanto correlation and Call vs Call/Put vs Put for Copula correlation) which are then used in firmwide pricing models. Implemented and calibrated correlations skew model using Normal Mean Variance Mixture copula to capture skew effect in pricing of correlations product like basket options. Technologies used: Python, My SQL, Vol MDS
Education
Indian Institute of Technology, Guwahati
Bachelor of Technology (B.Tech.), Mechanical Engineering
2013 — 2017
Indian Institute of Quantitative Finance
Certification, Financial Engineering
Skills
- Project Management
- Php
- Programming
- Algorithms
- C++
- Machine Learning
- Data Analysis
- Shell Scripting
- Data Structures
- Data Mining
- Django
- Python
Find verified contacts for anyone on LinkedIn
Unifers gives sales teams verified emails and direct dials, enriched profiles, and outreach that lands in the inbox.
Free plan included · No credit card required
This profile is compiled from publicly available professional sources. Unifers is not affiliated with or endorsed by LinkedIn. Request removal of this profile.