David Zou

Portfolio Manager at Millennium
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Contact Information
us****@****om
(386) 825-5501
Location
Hong Kong, HK

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Experience

  • Millennium
    • United States
    • Investment Management
    • 700 & Above Employee
    • Portfolio Manager
      • Apr 2021 - Present

  • GSA Capital
    • United Kingdom
    • Investment Management
    • 100 - 200 Employee
    • Portfolio Manager
      • Feb 2018 - Nov 2020

      London, United Kingdom

  • Man AHL
    • United Kingdom
    • Investment Management
    • 200 - 300 Employee
    • Quant strategiest
      • Nov 2009 - Feb 2018

      London Researching, implementing and running systematic trading strategies. Developed alpha strategies on futures, volatility and cash equities. Theoretical studies on quantitative investment.

  • BNP Paribas
    • France
    • Banking
    • 700 & Above Employee
    • Fix Income Quant Internship
      • Jun 2008 - Dec 2008

      Supporting the structuring desk on their award winning alpha generating interest rates/FX indices. Implemented portfolio optimisation using mean-variance approach for testing different strategies. Implemented intrinsic value estimation of foreign currencies via decorrelation to detect carry trades. Analysed the correlation in modelling commodity as a FX. Implemented an equity model for commodity. Improved the Monte Carlo engine via advanced profiling (CPU & system events) and… Show more Supporting the structuring desk on their award winning alpha generating interest rates/FX indices. Implemented portfolio optimisation using mean-variance approach for testing different strategies. Implemented intrinsic value estimation of foreign currencies via decorrelation to detect carry trades. Analysed the correlation in modelling commodity as a FX. Implemented an equity model for commodity. Improved the Monte Carlo engine via advanced profiling (CPU & system events) and parallelisation. Dupire local vol model contains hybrid expectations and no exact close form solution exists when rates are stochastic. The approximation currently used is erroneous when volatility smile is significant. I devised a Monte Carlo approach for correcting the local vol surface on the fly. The consistency between model and market is significantly improved with the correction. I also derived a partial differential equation that can be used to compute these hybrid terms. Show less

Education

  • University of Cambridge
    PhD, Materials science (Image analysis)
    2004 - 2008
  • Queen Mary University of London
    MEng, Materials Science
    2002 - 2004
  • Beihang University
    BEng, Materials Science
    1999 - 2002

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