量化策略研究

场外牛市价差期权定价

• Update databases: download sovereign bond yields in 24 government bond markets during 1997-2013 from Bloomberg and sort data in Excel/VBA; implement the extended Nelson-Siegel model.• Data mining: conduct annual and overall primary component analysis (PCA) for every country; do regressions of the first four factors of PCA on different economic indicators to find the most four explanatory variables.• Test hypotheses: 1. Better developed countries have a higher percentage of their term… Show more • Update databases: download sovereign bond yields in 24 government bond markets during 1997-2013 from Bloomberg and sort data in Excel/VBA; implement the extended Nelson-Siegel model.• Data mining: conduct annual and overall primary component analysis (PCA) for every country; do regressions of the first four factors of PCA on different economic indicators to find the most four explanatory variables.• Test hypotheses: 1. Better developed countries have a higher percentage of their term structure movements explained by the four critical extended Nelson-Siegel model factors than less developed countries; 2. All sovereign bond markets have values for the four critical factors that 1) exhibit the same rank ordering of the four factors and 2) a percentage attribution for each critical factor that falls within a relatively narrow band; etc. Show less

Assisted a personal banker formulating financing products portfolios for 10 different clients based on their investment profile, most of whom are elders and have properties no less than 1 million. Introduced the returns and risks of Citi’s financing products to customers, such as— bond funds, insurance products and exchange products, illustrating products’ advantages compared to other banks’ financing products. Collected feedback from more than 50 clients via telephone… Show more Assisted a personal banker formulating financing products portfolios for 10 different clients based on their investment profile, most of whom are elders and have properties no less than 1 million. Introduced the returns and risks of Citi’s financing products to customers, such as— bond funds, insurance products and exchange products, illustrating products’ advantages compared to other banks’ financing products. Collected feedback from more than 50 clients via telephone interviews, presented summary results to the manager to help improve service quality. Show less