Experience

CITIC Securities Company Limited

• China
• Investment Banking
• 700 & Above Employee

• Option Trader/Quant Developer

  • Aug 2018 - Present

  Automated option market making Automated option market making



Citigroup

• United States
• Financial Services
• 700 & Above Employee

• Quant Analyst / Junior Trader

  • Mar 2015 - Aug 2018

  Automated Option Market Making 1) Maintain the core volatility fitting algorithm; Develop term structure model for volatility surface 2) Develop and maintain spread fitting algorithm modeling bid-ask spread to increase stability of volatility fitting 3) Research on stochastic volatility models (Heston, CEV, etc.) to generate low-latency alpha signal 4) Conduct overall test, scenario simulation and statistical analysis for new algorithm update signoff 5) Simulate system impact from configuration changes; Optimize configuration for better performance 6) Debug low latency trades by checking volatility/forward/spread fitting, risk appetite and edge calculation 7) Build reports with self-invented indices to track system performance Equity Index Options Trading 1) Made markets on equity index derivatives, including options, variance swaps and exotic products 2) Conducted dynamic hedging for topline risks using vanilla options, variance swaps, etc. 3) Marked volatility surface manually for Indices and ETFs to reflect market condition and risk appetite 4) Collaborated with sales to pitch trading ideas and design payoff structure for clients 5) Cooperated with equity quant team to build new pricing models for exotic index derivatives 6) Built tools to automate operational processes which cut the daily operation time by 80% Show less



Citigroup

• United States
• Financial Services
• 700 & Above Employee

• Quant Trading Summer Intern

  • 2014 - 2014



McKinsey & Company

• Business Consulting and Services
• 700 & Above Employee

• Intern

  • Jan 2013 - Jul 2013



J.P. Morgan

• United States
• Financial Services
• 700 & Above Employee

• Intern

  • Aug 2011 - Sep 2011



The Hina Group

• Investment Banking
• 1 - 100 Employee

• Intern

  • Jun 2011 - Jul 2011



Deloitte

• Business Consulting and Services
• 700 & Above Employee

• Assistant Auditor

  • Jan 2011 - Feb 2011