Cambridge, Massachusetts, United States
Research in innovative technologies: Autonomous driving, Metaverse and etc.
•Actively contributed in development of risk-management multivariable model basing on BARRA CNE5 with python. • Conducted fundamental and quantitative research on commodities market, proposed structured products and hedging strategies • Implemented Jump Diffusion and SABR models to derive implied volatility surface and performed calibration tests
• Established convertible bond pricing model in Python to simulate paths using Least Squares Monte Carlo and estimate cash flows with the fitted regression model, researched conversion price adjustment and the model was adopted by the team • Wrote research reports analyzing interest rate risk in fixed income markets and analyzed macroeconomic trends