XIJIN SHAN

Experience

• 

  ELLE INVESTMENTS INC.

  Jul 2015 - Aug 2015

  Programmer Internship
• 

  Numerix

  Sept 2015 - Aug 2016

  Financial Engineer/Quantitative Documentation Intern

  • Stripped the OIS/EONIA/SONIA curves from the compounded index swaps and from the average basis swaps respectively and constructed the cap, FX and swaption volatility surfaces and the credit curves• Based on the stripped OIS curves, stripped LIBOR curves from the vanilla swaps and constructed foreign yield curves from the cross-currency basis swaps and applied the monotone convex method to construct instantaneous forward rate• Worked on Numerix CrossAsset error message project and researched the CrossAsset C++ code to modify the quality of the CrossAsset error messages• Analyzed the CrossAsset C++ code for derivative pricing models and financial instruments across interest rate, cross-currency, credit, equity, FX and commodity to explain the error messages• Conducted financial instruments valuation with MC techniques based on Numerix CrossAsset Show less

• 

  Calypso Technology

  Sept 2016 - Feb 2021

  Financial Engineer, RD - Analytic
• 

  GF Securities

  Mar 2021 - now

  Mainly manage 3BN CNY single stock flow and exotic equity derivatives;Assist in trading over 50BN CNY index flow and exotic equity derivatives. Lead a team to develop and enhance pricing models and trading strategies for flow and exotic equity derivatives

  • Equity Derivatives Quant Trader, VP

    May 2023 - now

  • Desk Quant, VP

    Mar 2021 - May 2023