Biography

I am a Quantitative Researcher based in Hong Kong. Dedicated to equity derivatives, in the summer of 2023, I researched Local Stochastic Vol model for Autocallables pricing at Bank of America Securities; in the summer of 2022, I researched parametric Implied Vol models at Credit Lyonnais Securities Asia.
In Academia, I am very fortunate to be advised by Professor Wei You, working on sampling algorithms in Multi-Armed Bandit.

Education

The Hong Kong University of Science and Technology.
Ph.D. in Operations Reseach, 2020-2023
University of Science and Technology of China.
B.Sc. in Physics, 2015-2019

Publication

Information-Directed Selection for Top-Two Algorithms, with Wei You, Chao Qin, Shuoguang Yang, extended abstract accepted by COLT 2023. [Link]