Wei Shen Email & Phone Number

Hong Kong

Pre-Sales Engineer,Banking Business Solution, Buy side solution, asset management,Structuring Products Pricing,Quant Analysis, Model development,Financial Engineering,Market Risk and Credit Risk SolutionAward: Numerix Pinnacle Club, Presales Of The Year 2015

Beijing/Singapore

•Front office Interest Rate Derivative, Fixed Income products analysis•Bank core interest rate curve construction, various kinds of curves calibration and its application in pricing as well as the relative research on curves•Evaluation on Interest Rate Derivatives, PnL analysis and relative model validation, such as: IRS, CCS, Fx Swap, Exotic IRS, FRA, etc.•Structure Products implementation and its relative pricing methods application and researches•Fixed income products PnL analysis, valuation and risk exposure analysis, includes: Fix Rate Bond, Floating Rate Bond, Banking Notes, Lending &Borrowing, Repo, etc.•Risk exposure analysis and hedging, such as DVO1, Greek Letters, Fx Delta, Duration etc.•Interest Rate Future and Bond Future analysis and products implementation•Front and Middle office core banking system module construction, Interest rate curve and IRD modules implementation in MX3. Client support and training, client orientated presentation for pricing and validation on the MX system.•Financial products implementation and full life cycle management on MX2.11 and MX3•Expertise in MX2.11 and MX3 system application and infrastructure

Phoenix, Arizona Area

Duty: developing the next generation fast large scale optimization algorithm in Matlab and C++.Research ProjectsDissertation Research: Design the fast optimization algorithm for solving large-scale inverse problem arising from image processing and implemented with Matlab. This algorithm performs much faster and more precise than most of current work.The robust optimization project for solving the asset allocation problem. I proposed an algorithm based on the classic second order cone programming and proves its convergence. This research project was presented in the Workshop on Continuous Optimization, MSRI, UC Berkeley,Jun 2007Experience in implementing the financial engineering projects in C++, which includes developing the asset pricing model based on SDE simulation using Monte Carlo methods with generic random number generator class, the PDE solver based on the finite difference methods for vanilla option pricing, tree models for American option and exotic options pricing.

Ucla

Talks: Shen, Wei "A Fast Augmented Lagrangian Algorithm for L1-TV Minimization and Its Application", Workshop on Modern Trends in Optimization and application, IPAM, UCLA, Dec, 2010