Mahsiul Khan, PhD, CQF

Greater New York City Area United States

Seeking a new opportunity (consulting/perm) as a Quantitative Risk Analyst/Statistical Modeler/Researcher/Data Scientist

Finance / Banking / Insurance

Develop quantitative financial models using advanced statistical and machine learning techniques to capture statistical arbitrage for systematic trading. Developed a novel Particle Filtering algorithm for Stochastic Volatility (SV) Models with Leverage, with Rao-Blackwellization, and with Markov-Switching SV models applied to volatility arbitrage strategies and derivative pricing. Hidden Factor Models under Regimes where Hidden Markov Models, Gaussian Mixtures, EM algorithm and Kalman Filter are used. Other statistical techniques include PCA/PCR, Co-integration and Logistic Regression. Specialties: Stochastic & Statistical Modeling, Quantitative Risk Models, Stochastic Calculus, Signa...