Contact Details
Please connect to me on LinkedIn in order to get in touch.
Work Experience
| since 2017 | Equity Derivatives Desk Quant at IMC Financial Markets, Amsterdam |
| 2013 – 2017 | Equity Derivatives Desk Quant, Director at Commerzbank AG, Corporates & Markets, Frankfurt am Main
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| 2006 – 2009 | Equity Derivatives Trader, Vice President at Commerzbank AG, Corporates & Markets, Frankfurt am Main |
| 2006 | Internship Asset Management, IT Development at Commerzbank Asset Management Asia, Singapore |
| 2003 – 2005 | Traineeship Equity Derivatives at Commerzbank AG, Corporates & Markets, Frankfurt am Main |
Education
| 2010 – 2013 | Ph.D. in Finance at University of New South Wales, Sydney
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| 2012 | Ph.D. Exchange in Finance at University of Zürich, Zürich |
| 2008 – 2009 | M.Sc. in Quantitative Finance at Frankfurt School of Finance & Management, Frankfurt am Main
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| 2003 – 2007 | B.B.A. in Finance at Frankfurt School of Finance & Management, Frankfurt am Main
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| 2005 | Undergraduate Exchange in Economics at University of California, Santa Barbara |
Publications
- “How Much is the Gap? Efficient Jump Risk-Adjusted Valuation of Leveraged Certificates” (2016), Quantitative Finance (forthcoming), joint with Ally Quan Zhang
Research Papers
- “Analytical Option Pricing under an Asymmetrically Displaced Double Gamma Jump-Diffusion Model” (2013), joint with Ally Quan Zhang
Conference and Seminar Presentations
- 9th World Congress of the Bachelier Finance Society, July 2016, New York
- 2014 FMA European Conference, June 2014, Maastricht
- 8th World Congress of the Bachelier Finance Society, June 2014, Brussels
- 17th Annual Conference of the Swiss Society for Financial Market Research, April 2014, Zürich
- 50th Anniversary Meeting of the Eastern Finance Association, April 2014, Pittsburgh (by co-author)
- 11th German Probability and Statistics Days, March 2014, Ulm
- Southwestern Finance Association 2014 Annual Conference, March 2014, Dallas
- Advances in Computational Economics and Finance, March 2014, Zürich (by co-author)
- Institute for Banking & Finance Brown Bag Seminar, University of Zürich, March 2014, Zürich (by co-author)
- 26th Australasian Finance & Banking Conference, December 2013, Sydney (by co-author)
- School of Banking & Finance Brown Bag Seminar, University of New South Wales, April 2013, Sydney
Awards and Scholarships
- The Chicago Trading Company Outstanding Paper in Derivatives Award, 50th Anniversary Meeting of the Eastern Finance Association, 2014
- Practicum Ph.D. Exchange Scholarship, University of New South Wales, 2012
- Ph.D. Living Allowance Scholarship, University of New South Wales, 2010
- Tuition Fee Remission Scholarship, University of New South Wales, 2010
Teaching Experience
| School of Banking & Finance, University of New South Wales | |
| 2010, 2011 | FINS3636 – Interest Rate Risk Management, undergraduate, tutor |
| 2011, 2012, 2013 | FINS3635 – Options, Futures and Risk Management, undergraduate, tutor |
| 2011, 2012 | FINS5591 – Continuous Time Finance, postgraduate, tutor |
| 2010, 2011, 2012, 2013 | MFIN6216 – Financial Theory and Corporate Policy, postgraduate, teaching assistant |
| 2011, 2012, 2013 | FINS5576 – Advanced Topics in Asset Pricing, postgraduate, teaching assistant |
| Frankfurt School of Finance & Management | |
| 2006 | Mathematics I – Tutor |
Postgraduate Coursework
University of New South Wales:
Advanced Topics in Asset Pricing (Ph.D.), Computational Methods for Finance (M.Sc.), Continuous Time Finance (Ph.D.), Continuous Time Financial Modelling (M.Sc.), Contract Theory and Corporate Finance (Ph.D.), Discrete Time Financial Modelling (M.Sc.), Econometric Analysis (Ph.D.), Financial Decision Making under Uncertainty (Ph.D.), Microecononomic Analysis (Ph.D.), Stochastic Processes (M.Sc.), Term Structure Modelling (M.Sc.)
Frankfurt School of Finance & Management:
Advanced Stochastic Processes and Arbitrage Theory (M.Sc.), Exotics and Structured Products (M.Sc.), Finance Theory (M.Sc.), Financial Instruments (M.Sc.), Interest Rate Models & Products (M.Sc.), Introduction to Stochastic Processes (M.Sc.), Numerical Methods for Finance (M.Sc.), Option Pricing – Theory and Practice (M.Sc.), Programming I (M.Sc.), Programming II (M.Sc.), Statistics (M.Sc.)
Miscellaneous Certifications & Trainings
- Directive Based GPU Programming: OpenACC and OpenMP, Swiss National Supercomputing Centre, May 2017
- Advanced C++ for High Performance Computing, Swiss National Supercomputing Centre, September 2016
- C++ Certification, Master Level (96% Percentile), Brainbench, June 2015
- Programmer/Analyst Aptitude Certification, Master Level (99% Percentile), Brainbencch, June 2015
- Machine Learning Course, Coursera, August 2013
- XETRA Trader Examination, August 2006
- Eurex Trader Examination, July 2006
- Introduction to Monte Carlo and C++ in Financial Engineering Seminar, Frankfurt School of Finance & Management, July 2005