Lifei Liang

Inflation Trading

• Worked on the pioneer project of integrating Quadratic Gaussian interest rate model into equity hybrid context • Approximated option price based on perturbation expansion of implied volatility • Proposed a moment matching method to accelerate Monte-Carlo simulation

• Traded in four different markets with $10,000 exposure; profit of $4,000 in two weeks • Built a volatility surface platform for Metals trading desk with Gatheral Model • Worked on the measurement of the market consensus of ECB refinancing rate from OIS curve, improved the existing model of Money Markets desk • Conducted PCA on the gamma and vega of exotic options for Equity Derivatives desk

• Led the team of 7 people from 3 countries in the preliminary negotiations with AXA • Worked on the pricing model of variable annuities options by portfolio replication • Optimized the time of calculation on the internal platform of AXA by clustering technique

Variance Reduction by Malliavin Calculus; Time Series; Monte-Carlo Methods in Finance; Interest Rate Models; Stochastic Calculus; Numerical Methods;

Thesis in Inflation-Linked Option Pricing