Iris Lyu

About Iris Lyu

I am interested in Financial Engineering and I am equipped with knowledge in asset management, risk management, machine learning, optimization, statistics etc. I enjoyed the process identifying a problem, analyzing with critical thinking, calculating with sophisticated mathematical methods and eventually realizing the ideas with computer programming.

Experience

1. VP - Quantitative Analyst - Equity Derivative Pricing

   Bank of America

   Feb 2020 — Present · New York, NY, US

   Developed and maintained pricing factor simulation models and trade pricing models (futures/swaps/options etc), with a focus on equity asset class • Enhanced backtesting framework for simulation and pricing with Python; leveraged quantitative and statistical methods to assess model performance under varying market conditions and stress scenarios • Designed and developed hypothetical trade pricing tools as web-based services; enabled efficient pre-trade exposure analysis and approval • Directed proxy pricing strategies to resolve live trade exposure issues and drove strategic model fixes to fortify model robustness in edge cases • Led periodic equity simulation and pricing model reviews; examined model assumptions & restrictions and onboarded new equity trade products • Conducted in-depth analysis of structured equity trades’ economics and booking patterns, driving a 75% reduction in policy-related trade exposure override volume, reducing regulatory scrutiny and follow-up inquiries • Act as point of contact to communicate equity related technical findings and model enhancements with stakeholders; delivered strategic insights that contributed decision-making and improved model reliability

Education

• Columbia University

  Master’s Degree, Operations Research

  2015 — 2017

• Pierre and Marie Curie University

  Exchange Program-Erasmus, Mathematics, Statistics

  2014 — 2014

• National University of Singapore

  Bachelor’s Degree, Double major in Quantitative Finance and Statistics

  2011 — 2015