Experience

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  Hyleen capital

  Jun 2015 - Sept 2015

  Stock trading intern

  Analyzed technical indicators relative to price and trading volume.Implemented an event-driven strategy with a weekly return of 7% during market downturn.

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  Wizardquant

  Oct 2015 - Dec 2015

  Quantitative research intern

  Compared the performance of moving average timing strategies against buy-and-hold strategies on baskets of stocks from Chinese stock markets.Tested the validity of trend factors in Chinese stock markets using a cross-sectional regression with multiple trend indicators.

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  J.p. morgan

  Jun 2017 - Aug 2017

  Summer associate

  Vanna-Volga method for implied volatility surface construction and option pricingConducted research about vanilla option pricing with Heston stochastic volatility: Monte Carlo simulation, half Monte Carlo, exact simulation methodParameter calibration for modeling log implied volatility with OU process: Least squares regression, Maximum likelihood estimates, GARCH MLE

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  J.p. morgan

  Apr 2018 - Jun 2019

  Associate

  Calibrate parameters for commodity simulation models, commodity instruments pricing (swaps, Asian options, swaptions) Develop models for excess return index swap pricing and excess return index simulationAutomate job generation using Python scripts Onboard new commodity curves and instruments to proprietary pricing systemCode development in multiple systems: Athena (Python), Qlib (C++), BPL(Python)