Arjun Beri

Background

About Arjun Beri

Currently I work as a Quant in the area of risk and analytics. I work on developing and validating models pertaining to Derivative Valuation, Credit Risk Analysis, Market Risk Analysis, Asset Liability Management and Stress Testing (Scenario Generation models as part of CCAR, ICAAP). In my research I have worked extensively on the applications of Stochastic Differential Equations to practical problems from Finance, Climate Modeling and Medicine. In my thesis I developed a general mathematical framework to study the parametric estimation techniques in sub-optimal situations, namely, when there is a mismatch between the observed data and the stochastic model. Our technique has been applied to analysis of high frequency time-series from finance and stochastic volatility modelling. Specialties: Option pricing models, Stochastic Calculus, Black-Scholes Model and Extensions, Monte-Carlo methods, Statistics and Programming. Interned with several international banks and successfully applied these techniques to answer practical problems in financial engineering.