Mehul P. Makwana
Abu Dhabi
Summary
As Lead Equity Quant at Brevan Howard, I drive the development of its systematic equities platform while supporting their cross-asset analytics. Previously, at Morgan Stanley, I built systematic trading strategies and infrastructure for equities, spanning single-name options, to exotic derivatives. My applied mathematics publications have over 690 citations.
Overview
11
11
years of professional experience
Work History
Lead Equity Quant
Brevan Howard
07.2023 - Current
- Led end-to-end development of Brevan Howard's systematic equities platform, integrating Vola Dynamics for advanced modeling and analytics.
- Scaled the platform to support 60 PMs globally. Collaborated with PMs in New York, London, and Abu Dhabi to refine volatility-driven trading strategies.
- Managed a team of 2 quantitative researchers and 4 developers, overseeing delivery of volatility screeners and automated trading tools.
- Architected and maintained data pipelines to ingest, transform, and validate real-time volatility data from various market feeds.
- Ensured operational excellence in all development phases, including requirements gathering and testing.
- Recognised as 'exceptional' in evaluations; platform build-out featured as a key success story in town halls.
- Technologies utilised include Python, SQL, MongoDB, Node.js, TypeScript, Java-8, and Vola Dynamics.
Quantitative Analyst
Morgan Stanley
08.2021 - 06.2023
- Responsible for designing volatility trading strategies and pricing tools for equity flow derivatives products such as vanilla options, variance swaps, volatility swaps and dispersion products.
- Work closely across trading desks (e.g. single name options, exotic derivatives) to enhance Morgan Stanley's ability to trade innovative products by creating strategies that drive trading decisions.
- Contributed to the creation of an API that allows for easy access to comprehensive real-time Bloomberg data via an internal Morgan Stanley software that is used by circa 160 traders, sales traders, financial engineers and quantitative strategists globally. This API leverages the Bloomberg Market Data Feed (B-PIPE).
- Productionised models, manage and maintain code libraries and rapidly develop innovative trader tools. Work closely with IT, other Strat functions and business lines to integrate new technologies in order to enhance pricing and risk calculations.
- Reconfigured the caching mechanism in the flow derivatives' proprietary trading strategy backtester, through which computations were expedited and out-of-memory issues heavily reduced (Off-Cycle Associate Programme).
- Founder of the Morgan Stanley Strats Seminar Series; organised and chaired sessions with world leading specialists, including Professors Neil Ferguson (epidemiologist) and David Miles (economist), to bring pertinent external ideas into Morgan Stanley.
- Part of the University Alliances Committee whose role is to formalise partnerships between Morgan Stanley and leading British universities. Spearheading Morgan Stanley's partnership with the London School of Economics and Imperial College London.
- Technologies: Java-8, Python, KDB +/Q, R
Research Associate
Imperial College London
01.2017 - 12.2021
- Led research assignments and proactively expanded collaborative network to include several experimental physics groups from Germany, Israel and France. Author of 20 peer-reviewed scientific publications.
- Designed and built a wave physics software using MATLAB, Python. Long-term abstract reusable code, now being used and expanded upon by students and collaborators.
- Delivered conference presentations and seminars at ETH Zürich, University of Cambridge, Los Alamos National Laboratory, Bank of America, among many others. Online seminar available at: https://meta-mat.org/previous-seminars/.
- Supervised 3 UROP summer students; 2 won inter-departmental prizes and 1 received a special commendation. Co-supervision of 3 Ph.D students and an MSc student. Co-authored at least one peer-reviewed article with each Ph.D student; MSc student was awarded a distinction for his masters thesis.
- Responsible for running academic tutorials for second and fourth year undergraduate students.
Director of Mathematical Research
Multiwave Technologies AG
01.2015 - 12.2016
- Implemented novel mathematical algorithms, within the proprietary Python based software.
- Co-authored industrial portion of a successful Horizon 2020 FET-OPEN grant proposal (e3.9 million) on metamaterial antennas for ultra high field MRI (M-Cube)
- Supported the CFO in the development of the company's initial business plan which laid the foundation for successive rounds of financing (circa £4 million pounds) to date.
- Founding member of multi-million pound Swiss technology company. Built the foundation of Multiwave's core algorithms. Founded in 2015, based in Geneva, Switzerland.
Education
Ph.D. - Applied Mathematics
Imperial College London
London, UK09-2015
MSci - Mathematics (First-Class Honours)
Imperial College London
London, UK01.2011
Skills
- Python
- Java-8
- SQL
- MongoDB
- PostgreSQL
- TypeScript
- KDB/Q
- R
- MATLAB
- C
- LaTeX
- Git
Selected Publications
- Asymptotically exact photonic analogues of chiral symmetric models, NJP, 2021
- Acoustic topological circuitry in phononic crystals, Phys. Rev. Applied, 2021
- Hybrid topological guiding in photonic crystal fibers, Optics Express, 2020
- Wave mechanics in media pinned at Bravais lattice points, SIAM J. Appl. Math., 2015
Honours And Awards
- 2020, Nominated for the Outstanding Personal Tutoring award in the Students Choice Awards 2020.
- 2020, French National Centre for Scientific Research press release (Appl. Phys. Lett. 116, 131603).
- 2020, American Institute of Physics featured article (Appl. Phys. Lett. 116, 131603).
- 2018, Physical Review B highlighted paper (Phys. Rev. B 98, 235125).
- 2016, Horizon 2020 e870K grant funding received (Multiwave Technologies AG).
- 2015, Doris Chen award for a Ph.D student who demonstrates exceptional potential.
- 2011, Gloucester Research Ltd. Award for academic excellence in the MSci.
- 2011, Roth Ph.D studentship.
Timeline
Lead Equity Quant
Brevan Howard
07.2023 - Current
Quantitative Analyst
Morgan Stanley
08.2021 - 06.2023
Research Associate
Imperial College London
01.2017 - 12.2021
Director of Mathematical Research
Multiwave Technologies AG
01.2015 - 12.2016
Ph.D. - Applied Mathematics
Imperial College London
MSci - Mathematics (First-Class Honours)
Imperial College London