Anurag Sodhi
Associate Director, Quantitative Solutions
Sydney, New South Wales, Australia
Summary
👤
Senior🎓
Top SchoolAnurag Sodhi is an Associate Director in Quantitative Solutions based in Sydney with eight years of experience applying mathematical finance and machine learning to market and credit risk, derivatives pricing, and FRTB IMA model development. He combines deep theoretical training (MS in Math Finance, MEng in Data & Decision Science) with hands-on delivery across banking and commodities desks at Macquarie and Commonwealth Bank, and a strong track record at EY in model development, validation and AML analytics. Technically fluent in Monte Carlo, PDE/FDM, Fourier methods and a broad ML stack (TensorFlow/Keras, Scikit-Learn, H2O), he has implemented neural architectures (CNN/RNN/GCN/autoencoders) for production and research use-cases. His work spans end-to-end solutions—from data engineering and anomaly detection to model governance—and includes a research preprint and public code on GitHub, reflecting a blend of publishable research and practical deployment. Notably, he has bridged quant research with real-world risk frameworks (FRTB) and built graph-based and deep-learning proofs-of-concept for AML and time-series recovery that went beyond typical validation work.
8 years of coding experience
7 years of employment as a software developer
MS in Math Finance Computational Finance, MS in Math Finance Computational Finance at University of North Carolina at CharlotteMaster of Engineering (MEng) EM Data & Decision Science, Master of Engineering (MEng) EM Data & Decision Science at Duke UniversityB.E. Mechanical Engineering, B.E. Mechanical Engineering at Thapar Institute of Engineering & Technology
English, Hindi, Punjabi, Bengali
Stackoverflow
75reputation
28kreached
1answer
6questions
Github Skills (63)
python-development10
qt10
python10
spyder10
ide10
language-server-protocol10
anaconda10
pyqt10
ethereum10
blockchain10
development-environment10
p2p9
fixed-width8
go8
separator8
Programming languages (4)
Github contributions (5)
anuragsodhi/Options-Pricing
Jan 2018 - Feb 2018
Contributions:13 commits, 11 pushes, 1 branch in 28 days
anuragsodhi/Web-Scraping
Sep 2017 - Jan 2018
Contributions:14 pushes, 1 branch in 3 months
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