Models and Algorithms for Understanding the US Equity Derivative Markets
- Thursday, September 4 from 1:00 to 2:30 in Room 552; Refreshments 2:30 in Room 502
I will be talking about from my experience, the general structure of US equity derivative markets. I will cover basic products and particularly VIX and VXX that make volatility more easily tradable by investors from all walks. I will then go into more technical details about how models and algorithms function the US electronic options markets. The last part of my talk will be a few words about starting a career in quantitative finance.
Dr. Xiang Wu, Senior Trader - Equity Options Automated Market Making, Bank of America - Merrill Lynch
Dr. Wu is currently a senior trader on the Equity Options Automated Market Making team at Bank of America, Merrill Lynch. He received his Ph.D. in Computer Engineering from the University of Texas at Austin. His dissertation research was dedicated to scheduling algorithms for high performance on-chip networks. His innovative work on applying data mining techniques to the modern semiconductor manufacturing process earned him a share of the best student paper award from the International Conference on Integrated Circuit Design and Technology (ICICDT).After graduation, Dr. Wu joined J.P. Morgan Chase as a quantitative researcher. He designed and developed pricing libraries for a wide range of markets and products, achieving significant performance and inter-operability improvement. He was also part of the team that built the holistic risk management framework to meet the new and much stricter regulation requirements. Seeking more challenge, he then moved to Bank of America to become a risk runner. He is now managing a portfolio of thousands of listed derivatives across all major exchanges. Outside of trading in the market, he spends his time on discovering novel approaches to harvest risk premiums across the equity universe, robust risk management methods to maximizing risk adjusted returns and efficient algorithms that exploit market microstructure patterns.