Front Desk Quant, Associate, Samsung Securities, Financial Engineering Team

- Developed pricing/hedging engines for exotic equity/commodity and interest rate derivative products. (implemented with Monte-Carlo, Finite Differential and Tree Method)
- Designed 3-dimensional Cubic hedge-tables of ELS using parallel calculations and Thin-Plate-Spline Regression Method: First in Korea
- Researched and Applied local volatility surface model produced by SABR implied volatility for commodity futures (Stochastic Alpha Beta Rho model): First in Korea
- Developed over-hedge scheme in complicated products using LongStaff-Schwartz regression method
- Applied the concept of Asynchronous Correlations and Made related tools which transform raw matrix to Positive-Semi-Definite matrix: First in Korea
- Re-engineered global-bond/FX/commodity traders` books with Quantlib add-in and parallel calculation, providing more sophisticated risk-analysis and management tools such as applying day-count conventions and enabling precise cash-flow analysis