Quantitative Trading Strategy undergraduate course

• Traded over-the-counter derivatives on black commodities options such as LNG and Iron Ore with 10-15 new companies and hedged delta exposure of more than 100 surviving OTC option positions on daily basis• Generated arbitrage profits to hit semi-annually target of RMB 3 million profit by constructing proprietary GARCH models to ascertain quoted volatilities and spreads on commodity options• Transacted several exotic option types including vanilla, Asian, binary, barrier, single/double shark options and snowball option structures• Implemented several Python models to capture daily P&L attribution and risk valuations using Greeks• Constructed and implemented comprehensive Monte Carlo models which factored in closing price, risk-free rate and strike price to design barrier options• Designed seagull options to meet customers' zero premium to hedge spot price risk; published corresponding options strategies on WeChat official accounts based on market conditions• Generated various reports including fund monitoring reports, position reports, transaction reports, and monthly risk monitoring reports; regularly conducted departmental transaction analysis, P&L analysis, and market analysis