Experience

Huatai Securities Co., Ltd.

• China
• Investment Banking
• 700 & Above Employee

• Quantitative Researcher

  • Feb 2023 - Present

  Least Square Monte Carlo(LSMC) option pricing models; Automatic Adjoint Differentiation (AAD) for accelerating Monte Carlo methods to price autocall products; SVI Model to calibrate implied volatility surface. Least Square Monte Carlo(LSMC) option pricing models; Automatic Adjoint Differentiation (AAD) for accelerating Monte Carlo methods to price autocall products; SVI Model to calibrate implied volatility surface.



The University of Queensland

• Higher Education
• 700 & Above Employee

• Casual Tutor

  • Feb 2022 - Present



Huatai Securities Co., Ltd.

• China
• Investment Banking
• 700 & Above Employee

• Summer Intern

  • Jul 2022 - Aug 2022

  - Built an automatic algorithm for generating market volatility surface for SPX, SX5E, NKY, KOSPI2 and HSCEI Index options. - Helped with IT department to build scheduled workflows for updating trading details including daily cashflows, risk report, etc. - Built an algorithm that prices best/worst-of multiasset options anayltically, improved greeks and pricing accuracy and efficiency. - Built an automatic algorithm for generating market volatility surface for SPX, SX5E, NKY, KOSPI2 and HSCEI Index options. - Helped with IT department to build scheduled workflows for updating trading details including daily cashflows, risk report, etc. - Built an algorithm that prices best/worst-of multiasset options anayltically, improved greeks and pricing accuracy and efficiency.