In charge of OTC derovatives business

1. In charge of Chinese customer flow book position management, dynamic hedging and prop trading. Trading strategies include volatility market making, volatility spread arbitrage, calendar spread trading and volatility directional trading. 2. Mainly focus on Iron Ore (DCE and SGX), Rebar, HRC, Soybean Meal, Soybean Oil and Palm Olein. For fiscal year 2022-2023, Day One PnL replication rate was 70% for ferrous and 80% for grains and vegetable oil. 3. In charge of designing structured risk management solutions for some of our clients. Also will build pricing and Greeks calculation models and codes for these structures.4. Developed the back office system (based on Python) to help produce daily customer statements and daily reports for Chinese Futures Association.

Jiayue Group is a commodity trading house focusing on petrochemicals. The company traded over 1.5 million ton of physical commodities in 2020.1. Lead the Strategic Development Dept. In charge of physical embedded option business in all the commodity sectors the company is trading. Duties include sales, solution structuring, option trading, position management system developing, and internal option training. 2. Built up the commodity volatility research framework and in charge of volatility prop trading.3. Built up the USD/CNH FX rate and macro economy research framework.4. In charge of corporate strategy planning and FX exposure risk management for the company.

1. In charge of market making trading in domestic steel market, including physical index swap and physical forward. Focused on steel basis spread, spec spread and locational spread trading. Trading commodities include rebar, HRC, CRC, billets and plates. Trading locations covered almost all the large cities in China. In fiscal year 19-20 the MM book traded over 300kt physical or index related underlying. Day one PnL retention rate was above 90%. 2. In charge of Mysteel steel index based option and physical embedded option business. Duties included solution structuring , quoting and position management. 3. In charge of quoting, structuring and trading of margin solutions for steel mills.4. Took on some of the sales work, especially VIP customers.

1. In charge of developing Mysteel steel index swap. 2. In charge of structuring, pricing and sales of customer risk management solutions. 3. Assisted trading of Volatility book.

1. In charge of coding option pricing models and Greeks calculating models (based on both Python and Excel-VBA).2. Developed the physical forward mark-to-market and risk management system (based on Excel-VBA and Python).

1. In charge of option market making and volatility trading on petrochemicals and ferrous. Duties included structuring, quoting and trading. 2. In charge of coding option pricing models.

量化交易策略研究基于Python的策略开发实现平台教学资料撰写