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CV (Quant
CV (Quant
PROJECT EXPERIENCE
Option Delta-Hedging Project Nov 2021
• Formulated a strategy to delta-hedge a European call option with transaction costs according to Whalley-Willmott’s model
• Compared the WW-strategy with fixed time hedging strategy and received a better PnL
• Developed an Excel spreadsheet to record the price of the option and calculated its relevant attributes (Greeks, PnL, implied
volatility, transaction costs) and hedging signals
Portfolio Data Analysis Project Oct 2021
• Analyzed the stocks from S&P 500, used Monte Carlo Simulation to generate the efficient frontier and chose several portfolios
according to the information ratio, Sharpe ratio and mean-variance optimization
• Calculated the alpha of the portfolios by Fama-French model and compared the performance of the chosen portfolios with the
benchmark proxied by the 1st-PCA-weighted S&P 500 portfolio
• Estimated daily volatility by GARCH model; reduced the in-sample noise of the correlation matrix by “power-law”
substitution trick based on random matrix theory
London Housing Price Prediction Project June 2021
• Cleaned the raw data of the London housing market, created a heat map for the price-location distribution and conducted
feature engineering for more than 13 features in Python
• Used multiple regression models (linear regression, decision tree, random forest) to predict the housing price and evaluated
these models with mean-squared error and R2
Research Project: Resolution of Singularities for Algebraic Curves, University of Warwick Oct 2019 – Apr 2020
Supervisor: Professor Miles Reid, FRS
• Treated Puiseux series method, Brill-Noether’s method and Albanese method to resolve all the singularities of an algebraic
curve and find its non-singular model
• Explained the relationship among the arithmetic genus of the curve, the degree of its polynomial and the multiplicity of its
singularities
• Studied the parameterization of each branch of a curve around a singularity, separation of an ordinary singularity by blow-up
and the embedding of a curve into a higher-dimensional projective space by the linear system of divisors
ADDITIONAL INFORMATION
Languages: Mandarin (native), English (fluent), French (beginner)
Computer: Python, VBA
Competition: xxxx
Interest: xxx