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Xiaohang Sun

Quantitative Researcher

160 followers

Hong Kong SAR

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Timeline
About me
PhD in Quantitative Finance
Education
- University of Aberdeen
  2018 - 2019
  MSc in Financial Mathematics Financial Mathematics Distinction
  Syllabus:Econometric Theory and Data Analysis for FinanceDiscrete Time Models Mathematic for Finance Economics Theory for FinanceReal Options and Decision MakingEmpirical Methods in Financial ResearchContinuous Time ModelsTime SeriesThesis: Pricing Options When Transaction Cost Exists-A Modified CEV Model
- University of Kent
  2019 - 2023
  Doctor of Philosophy - PhD Finance Thesis passed with minor corrections
  Syllabus:Financial Economics and Asset PricingComputational FinanceResearch:The informational content of the option-implied correlation from a perspective of market segmentation.The risk premium of option implied risk factors (such as implied beta, variance, skewness and kurtosis). The best performance of our long-short strategies yields around 30% annualized return. The corresponding alpha and Sharpe ratio are 24% and 1.25.The application of… Show more Syllabus:Financial Economics and Asset PricingComputational FinanceResearch:The informational content of the option-implied correlation from a perspective of market segmentation.The risk premium of option implied risk factors (such as implied beta, variance, skewness and kurtosis). The best performance of our long-short strategies yields around 30% annualized return. The corresponding alpha and Sharpe ratio are 24% and 1.25.The application of observation-driven models in volatility forecasting and option pricing. Proposed models are 22% more accurate than other candidates in volatility forecasting and have 26% lower option pricing error compared to the benchmark. The superiority of proposed models becomes more significant during the 2008 financial crisis, with forecasting and pricing errors of 30% and 42% lower.Thesis: Essays on the Informational Content of Implied Correlation and Observation-Driven Models Show less
Experience
- Pinnacle Investment
  Jul 2022 - Nov 2022
  Quantitative Researcher
Licenses & Certifications
- ESG and Climate Change
  University of Pennsylvania
  Jul 2024
  View certificate
- Excel Essentials for Data Analytics
  Coursera
  Aug 2024
  View certificate
- HackerRank Problem Solving (Basic) Certificate
  HackerRank
  Nov 2021
  View certificate
- TensorFlow for Deep Learning Bootcamp
  Udemy
  Jun 2024
- Python (Basic) Certificate
  HackerRank
  Nov 2021
  View certificate
- Certified Fund Specialist (China)
  Asset Management Association of China
  Jul 2018
Honors & Awards
- Awarded to Xiaohang Sun
  2019 Vice Chancellor's Research Scholarship -

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