Experience

Shenwan Hongyuan Securities Co., Ltd.

• Capital Markets
• 200 - 300 Employee

• Director

  • Nov 2020 - Present

  Derivative modeling Derivative modeling



Nomura

• Financial Services
• 700 & Above Employee

• EQ Model Validation Quant, VP

  • May 2018 - Oct 2020

  Responsible for Nomura North America Equity Derivative Model Validation/Model Risk Management. Independently implement various pricing models, perform technical analysis/benchmark/model reserve methodology, validate and sign off models for all Equity derivatives. Conduct research on the improvement of existing model, including but not limited to: enhancement of current extrapolation methodology of Nomura Implied Volatility Surface based on Exchange Traded Option data and Totem Consensus data, quantifying the implied volatility uncertainty and reserve; governance of current model calibration process and model parameter fitting guidance. Show less



Bloomberg

• United States
• Financial Services
• 700 & Above Employee

• Financial Engineer

  • Aug 2011 - May 2018

  • Derivative Valuation: Provide independent valuation service and risk analysis for Cross-Asset derivative products for including Rates, Equity, FX, Commodity, Credit and Hybrid derivatives, helping clients to manage portfolio risks, P&L attributions in various market conditions, scenario analysis and collateral management. • Proxy Implied Vol Construction: Implemented a novel algorithm to construct proxy volatility surface for Equity names with illiquid or no Exchange Traded Options based on historical time series regression and correlation analysis. • Market Data Enhancement: Implemented an algorithm to check the historical market data integrity/consistency, identify outliers and improve the data quality in several key statistics. • Model Validation/Enhancement: Collaborated closely with internal teams to prototype and validate various financial pricing models to enhance the existing OTC derivatives pricers. Developed off-terminal pricing tools for new products that were not supported by existing terminal pricing functions. Show less



PIMCO

• United States
• Investment Management
• 700 & Above Employee

• Quantitative Intern

  • Mar 2011 - Jul 2011

  • Swap Curve Construction: Developed and implemented a smoothed monotone convex method which is local and stable for swap curve construction. Analyzed and quantified the pricing difference across curve construction methods, OIS/Libor discounting framework, etc. • Swap Curve Construction: Developed and implemented a smoothed monotone convex method which is local and stable for swap curve construction. Analyzed and quantified the pricing difference across curve construction methods, OIS/Libor discounting framework, etc.



Technicolor Creative Studios

• United States
• Entertainment Providers
• 700 & Above Employee

• Summer Research Associate

  • Jun 2010 - Aug 2010

  • Digital Image Processing: Designed and implemented an efficient algorithm for tone mapping and compression from High Dynamic Range Images to Low Dynamics Range Images. • Digital Image Processing: Designed and implemented an efficient algorithm for tone mapping and compression from High Dynamic Range Images to Low Dynamics Range Images.