Atharv Arora

Professional Experience

Associate - US Interest Rate Derivatives Quant | January 2024 - Present | Mumbai, India

Collaborating closely with the New York team covering cash, Treasuries, TIPS, short duration, and macro strategy
Developed and analysed strategies on derivatives across Interest rate products including swaps, swaptions, swap spreads, and futures enhancing client portfolios and risk-return profiles.
Implemented a proprietary Bond Analytics Module, enabling scenario analysis for portfolios across rate hike/cut environments and curve shifts, and increased coverage by 100+ instruments, including off-the-run Treasuries.
Led modernization of legacy option pricing and risk tools and 40 reports (C++) into scalable, modular python systems, improving maintainability and integration across teams and products.
Priced the options and valued delivery option value using binomial trees, and estimated wildcard scenarios for vanilla and EOM options on futures contracts for tenor specific treasury baskets.

Quantitative Researcher Developer - Founding Member | July 2023 - January 2024 | Mumbai, India

Designed and implemented the firm's initial data pipeline and infrastructure to support technical analysis, signal generation, and model validation across multiple asset classes.
Created ETL processes and automated workflows, enabling real-time data ingestion, data preprocessing, and storage for high-frequency trading and daily trading models.
Conducted research and backtesting of trading strategies on a $6M portfolio, focusing on risk-adjusted returns, drawdown control, and position sizing and helped achieve 100% CAGR through dynamic strategy refinement, performance monitoring, and tactical allocations.

Software Engineer, CEO's Office | August 2022 - January 2024 | Mumbai, India

Founding Engineer built 3 proprietary regex-based modules: Data Quality (error detection/cleaning), Pattern Analysis (cross-date anomaly detection), and Reconciliation (same-date anomaly detection).
Implemented modern backend systems from scratch with SQL-based databases with AWS (S3), cutting infrastructure costs by ~75% through storage efficiency (parquets) and algorithmic optimisation.
Wrote high-performance Python code (using Pandas, NumPy, and financial libraries), reducing computation time for data pipelines by 70% on large financial datasets (~10M+ rows).

B.E in Electrical and Electronics Engineering | August 2018 - May 2022 | Pilani, Rajasthan, India

January 2022 – May 2022 | Pilani, Rajasthan, India

Authored Thesis Titled “Applications of AI and IOT in Healthcare”
Documented the trajectory of AI and IOT in the field of Medical Diagnostics over the years, noting the progress made by NVIDIA in the AI/ML Space, owing to their GPU Progress and their possible upsides in the field. Tested NVIDIA Jetson Nano/Xavier Kits to recreate compute speeds and results.
Discussed Loss Functions, Accuracy Parameters and Optimizers used, along with AIAA, Privacy Preserving Federated Learning, Transfer Learning, AUTOML and AMP. Applied these techniques to Medical Imaging.