Varun Chandra Gupta
Quantitative Developer | Financial Engineer | NYU | Ex-Numerix | CFA Level 1 Candidate
- Role
- Quantitative Dev Strat at Conning
- Location
- Brooklyn, NY, US
- LinkedIn followers
- 500 followers
Experience
Quantitative Dev Strat
Sep 2024 — Present · New York, NY, US
Executing FX hedges with forwards & managing treasury portfolio by selecting bonds aligned to benchmark duration & convexity2. Developing a modular, scalable architecture for Conning’s ALM model, using vectorization & multiprocessing, to calculate portfolio VaR, convexly optimize them on Hedge Ratio, & using BBG’s REST API to retrieve index & bond data for CF analysis3. Implemented an automated solution for termsheet creation of SPX, NDX, & Custom Indexes, achieving 20x faster processing4. Pricing of European calls for GS Grand Prix, Invesco IIPEAK & Citi Aria Indexes & enhancing their trade execution process
Education
SVKM's Narsee Monjee Institute of Management Studies (NMIMS)
Bachelor of Technology - BTech (Integrated), Computer Engineering
2016 — 2022
New York University
Master of Science - MS, Financial Engineering
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