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июнь 2013 — н.в.
3 года и 8 месяцев
Beryl Bay Advisors, г. United States of America.
Created from scratch the option trade selection process for the Short Volatility Portfolio and proposed ideas that resulted in a 61.7% return for the model portfolio from the start of 2014 to the end of March 2015, greatly outperforming the S&P 500 return of 14% during the same period.
As a result of research into options' markets, created a unified relative value analysis and risk management system that produces trade ideas for both buy-and-hold (and sell-and-forget, to earn income) less active traders that prefer to trade infrequently and also for active traders (e.g. options trading desks) that are able to manage risk on an intraday basis.
Designed and calibrated per-stock models used to compute the fair value of options on the respective stocks. Implemented procedures for collecting intraday stock prices and then using them to compute more accurate estimates of price volatility. Devised a process for daily model-based revaluation of all options on all supported stocks.
Produced ideas about stocks whose volatility is to be sold to earn income and stocks whose volatility may be bought without sacrificing income (based on realized volatility being greater than implied) to hedge against extreme moves of the entire market.
март 2002 — сентябрь 2011
9 лет и 7 месяцев
Relative Value Asset Management, г. United States of America.
Traded options on the most liquid US stocks with the intention of betting on volatility (that is, on magnitude rather than the direction of stock price moves). Also traded currency futures.
Profited from 2002 to 2009 (except 2005) and only felt the impact of the world financial crisis in 2010. Total return 133% from 2002 to 2009 (11.2% per annum).
Developed and implemented models used in deciding whether a given option is underpriced or overpriced.
Researched a variety of GARCH models, transitioning later to stochastic volatility models with or without jumps in the stock price and/or the variance process.
Implemented innovative algorithms following the latest publicly available research: Monte-Carlo simulations to calibrate stochastic volatility models, the Fast Fourier Transform method for pricing of European options under stochastic volatility models, a combination of Monte-Carlo simulations with a volatility grid to price American options, a multinomial tree method for pricing options under various GARCH models
Wrote software in Java and C++ for Windows and Linux to collect and analyze historical and real-time stock and option prices and propose trade recommendations.
Designed a 13 GB MySQL database to store historical market data, intraday time series and option pricing results under GARCH and stochastic volatility models.
сентябрь 2000 — июнь 2001
Deutsche Bank AG - Hong Kong, г. Hong Kong.
Designed attractive structured transactions and intermediated between traders and salespeople.
Covered a product range from interest rate and credit to FX and equity structures for all of Asia. Invented ways for investors to earn above-market returns and for liability managers, to pay below-market interest on their borrowings.
Marketed credit-linked notes, first to default baskets and CDO structures. Sold asset swaps, credit default swaps, structured forex-linked and equity-linked investments, G3 and Asian local markets interest rate products, bringing $3 million total revenue.
Prepared indicative pricing, designed termsheets and deal contracts.
август 1998 — июнь 2000
1 год и 11 месяцев
GOLDMAN SACHS GROUP, INC. - New York, г. New York.
Responsible for structured interest rate derivatives. Conducted all aspects of the business, including new customer trades, hedging, day-to-day book maintenance, risk and P&L estimation and analysis.
Independently priced and executed trades.
Structured and traded over $7 billion notional of customer trades such as knockout swaps and caps, cancelable swaps, structured notes (range, callable capped or inverse floaters) and swaps against adjustable rate mortgages.
To hedge the interest rate and volatility risks, traded US government bills, notes and bonds, interest rate swaps and LIBOR (Eurodollar) futures, interest rate caps, floors and swaptions.
Designed term sheets; distributed quote sheets for benchmark structures to encourage new trades and to increase awareness of desk capabilities.
Helped banks and money managers to build intuition about derivatives.
Provided trade analysis for derivative clients.
Английский язык свободно владею, китайский язык базовый