Market Commentaries and Research Papers

This page acts as an introduction to my market writing and research; I aim to publish my work here on a monthly basis. The content is split between short-form market commentaries, often motivated by current events or notable headlines, and longer-form research and expository pieces driven by deeper questions in macroeconomics (particular emphasis on fixed income markets). Much of this work reflects both my attempts to appreciate market behaviours and patterns, and to formalise that understanding with a sufficient degree of rigour. Some upcoming titles include:

• Testing Relative-Value Strategies during periods of Quantitative Easing.

• Dynamics of the USD-JPY Carry Trade post-YCC.

• Volatility Surfaces as Random Manifolds with Regime Transitions.

(Shorter) Fixed Income and Macro Commentaries/Articles

• Volatility in Indian Equity Markets (NIFTY50) (December 2025)

• Impact of Dollar Depreciation on Commodity Prices - Gold and Copper (August 2025)

• Scott Bessent's Demands for the Federal Reserve (July 2025)  

(Longer) Expository/Research Papers

Decomposition of the Term Premium (January 2026 - March 2026)

• Apply techniques from inverse theory and functional analysis to reframe term premium estimation as an ill-posed inverse problem driven by two latent variables, namely the expected short rate and risk pricing (incl. interest rate risk, etc.).

• Propose a nonlinear term premium framework, in which macroeconomic variables affect both the level and uncertainty bounds of term premia.

Exposition on Stochastic Interest Rate Models (August 2025 - October 2025)

• Investigating one-factor (Vasicek, CIR) and multi-factor (Hull-White, Chen, Longstaff-Schwartz) short-rate models.

• Application of the Hull-White model to bond pricing (coupon-bearing bonds) using Monte Carlo methods and the Euler-Maruyama Scheme.

• Simulations of IR models and numerical calculations in Python (NumPy, Matplotlib)