Kun S.
Quantitative Analyst, Interest Rates @UBS
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WORK HISTORY
Quantitative Analyst, Interest Rates @UBS
Focused on intereste rates vanilla product modelling, pricing, risk computation.• Worked with trading desk to provide daily support for the use of rates library, e.g. swaption, cms, cms spread options etc.• Developed a two-factor Vasicek model, then calculated the price of European swaption in Vasicek model using Jamshidian trick of decomposing option on a coupon bearing bond into a portfolio of put options on bond options.• Monte Carlo method research on the lower and upper bound of American Option pricing by the Longstaff Schwartz.
EDUCATION
Pierre and Marie Curie University
Master, Financancial Mathematics
Nanjing University
Bachelor, Applied Mathematics and Statistics
École Polytechnique
Diplôme d'ingénieur, finance
ABOUT KUN S.
A multilingual interest rates quant at a top tier investment bank. Experienced in modelling and analysis using for example, SABR, Hull-White, Vasicek, Black-Scholes, HJM etc. as well as programming in C++. Actively seeking a quantitative analyst role.
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