Shantanu Misra

• Leads, mentors, and manages a team of 50 quantitative modellers and developers, overseeing model and analytics development for global fixed income and FX trading desks.
• Engineered pricing model enhancements for structured and flow rates, significantly improving pricing accuracy for new payoffs and bolstering risk computation .
• Developed and implemented robust hedging strategies for vanilla and exotic fixed income products through in-depth risk profile analysis, mitigating key risk factor exposure and reducing hedge slippage.
• Played an integral role in the bank's successful IBOR transition for fixed income, leading ensuring seamless transition.
• Mentored and trained new graduates in financial mathematics and derivatives, enabling their active contribution to fixed income business objectives within 6 months to 1 year.
• Co-architected and established a C++ framework for the fixed income pricing library (using Git), enhancing code quality, reusability, and team productivity.
• Collaborates with global quantitative teams, managing internal projects and coordinating Bangalore team deliverables to meet strategic objectives.

Key Projects at HSBC:

• Volatility Model Development: Contributed to designing, implementing, and calibrating advanced volatility models (e.g., for interest rate swaptions, FX options), improving pricing accuracy and risk sensitivity .
• Convexity Model Implementation: Developed and integrated sophisticated convexity adjustment models (e.g., for CMS-linked derivatives), ensuring precise valuation.
• Flexi Notional Pricer Design: Engineered a flexible pricing tool for derivatives with variable notional structures, enhancing the trading desk's capability for bespoke products.
• RFR Product Migration: Key contributor to migrating volatility and linear fixed income products from IBOR to Risk-Free Rates (RFR), including model adjustments and validation.
• Arithmetic Compounding & Bootstrapping: Currently leading R&D of advanced methodologies for arithmetic compounding convexity computation and robust RFR curve bootstrapping.
• Transformers for CVA Computation: Investigating transformer-based machine learning models to enhance CVA computation speed and accuracy.

• Led development of a Markovian Market Model for pricing Barrier Caps, enhancing structured rates capabilities.
• Implemented an FX Barrier derivatives pricing methodology using a skew barrier model, improving exotic FX option pricing.
• Validated Monotone Convexity interpolation for zero-coupon curve bootstrapping.
• Validated pricing models for Credit Linked Notes (Gaussian copula) and Credit Default Swaps (hazard rate model).

• Led a 3-member team in developing and supporting Counterparty Credit Risk (CCR) methodologies (Basel 3, IMM & non-IMM models) across rates, FX, credit, inflation, and equities.
• Developed pricing models: Libor Market Model (Bermudan Swaptions via Least Square Monte Carlo), SABR (volatility smile), Uncertain Volatility Model (Exotic Equity Derivatives).
• Optimized hedging ratios for exotic equity derivatives.
• Engineered a Credit VaR Model and implemented the Black Litterman Model for portfolio optimization.
• Advised traders and risk managers on counterparty exposure calculation and movement.
• Defined and reviewed model parameter calibration methodologies.
• Established a model validation and back-testing framework for CCR models.

• Designed and implemented a Brownian Bridge algorithm (MATLAB, VBA) for time series analysis, infilling missing equity and rates data by incorporating correlations and Monte Carlo simulation.
• Contributed to developing tools for analyzing derivative instruments and Greeks.

• Company Overview: (Client: Schroders)
• Developed mathematical models for portfolio performance assessment and formulated monthly portfolio strategies for Schroders by analyzing market trends and hedge fund reports.
• Engineered a MATLAB tool for historical simulation VaR, enhancing risk reporting (Stress Tests, Delta, Gamma, P&L Attribution) for 11 managed accounts.
• Developed a Credit Risk Model to assess portfolio default risk.
• (Client: Schroders)

• Gained 6 months of experience trading WTI Crude oil futures (ICE).
• Developed foundational understanding of futures, forwards, and options.