Siddarth Jandhyala

Quantitative Developer Intern @Janus Henderson Investors

Denver, CO, US

I worked with the Fixed Income Quant team to create models and algorithms to implement in our trading models. Specifically, I designed and developed the proprietary Credit Default Risk (Merton) model, for which the goal was the have a better estimate of default probability of a company than the standard Merton Model. In doing so, I employed various mathematical and machine learning techniques, including stochastic differential equations and Monte Carlo simulations. Additionally, I pursued a trading strategy relating to exploiting arbitrage in CDX indices employing duration and carry hedging.