Sonu Varghese, PhD
Sonu has over 10 years of experience in developing quantitative investment models using equities, options and ETFs. He is a quantitative researcher and has extensive experience in developing computational algorithms and programs to test hypotheses and conduct portfolio studies across multiple asset classes using econometric techniques. Sonu has evaluated and managed equity option portfolio strategies using cross-sectional and time-series regression based volatility forecasting and implied volatility skew models. Dr. Varghese employed high order finite difference methods to solve Black-Scholes option pricing partial differential equations with modifications for stochastic volatility and jumps in returns, and also formulated Markov Chain Monte Carlo algorithms to estimate parameters for equity pricing models, including stochastic volatility and jump diffusion from time-series. He has researched various dynamic hedging approaches using equity options and created programs to forecast non-linear and chaotic time series using delay coordinate embedding, with direct application towards forecasting volatility. Sonu has a Bachelor’s degree in Mechanical Engineering from National Institute of Technology in India, and a Masters as well as a Ph.D. in Mechanical Engineering from Purdue University. His dissertation dealt with modeling and simulation of turbulent flows.