Ramsey Zhang

Quantitative research

• Develop and maintain a platform for back-testing RV trading strategies in fixed income, with an emphasis on rates vol, TCA analysis, and dynamic delta hedging, along with trading cost optimization.
• Worked on five underlying strategies, which may be categorized into three subcategories: TBA, fixed income volatility, and fixed income arbitrage, across interest rate swaps, TBAs, interest rate options, credit options, inflation swaps, Treasuries, and TIPS.
• Researched strategy factors across carry, sentiment, mean reversion, and momentum with backtesting and optimal weights.

FI Desk Strats

• Supported macro trading desks with analysis, modeling, and tool development.
• Implemented and conducted relative value analysis using forward vol triangle and spot-swaption tools.
• Lead effort built in-house models for Bermudan swaptions in the LGM model, with efficient calibration to swaptions.
• Developed RFR-based pricing solutions with SABR model integration, introducing a no-arbitrage PDE version of implementation.
• Pioneered CMS spread options and MCO pricing framework, integrating TSR convexity adjustment, and Gaussian copula models to enhance derivative valuation precision.
• Supported pricing and analytics for LIBOR fallback, with emphasis on backward-looking ois cap floor bootstrapping, and RFR SABR for swaption.
• G4 RFR curve-building improvements.
• Implement various types of curve ladders, bumpers, and scenario generators, etc., for risk and analytics purposes.

• Created a P&L explanation engine across all PMs and all positions for the CRO to view P&L attribution live from various sources.
• Worked on callable bonds of various kinds, model implementation with analytics, and risk.

• Facebook Messenger distribution system.

• Improved in-house analytics library with functional programming.
• Worked on a dependency graph-based ticking risk application for linear rates.
• Implement Cross Currency LMM model with credit factor to enhance support of FX-related structured products (quanto, xccy) and credit hybrid products (Credit Linked Note).
• Implement credit-linked note hedging decomposition, and CVA computation.
• Worked on python layer tooling interacting with analytics library.

• Co-init model for cash-settled swaptions coded in C++ in-house library.
• Vanna-Volga adjustment for vanilla, digital, and barrier FX options.
• CMS convexity adjustment model improvements are made by adding a static replication method of calculating the adjustment.