Yu Li
Calgary,AB
Summary
Driven by a robust background in quantitative data analysis, portfolio optimization, Monte Carlo simulation, and risk modeling, I have excelled at AIMCo, 1QBit, and PASQAL Canada Inc, showcasing exceptional multitasking abilities. My work has led to innovative solutions in market risk modeling, data analysis, and optimization techniques, significantly enhancing portfolio development and data modeling strategies. Expected to finish a PhD at the University of Calgary in October 2024, I am dedicated to leveraging my expertise in Matlab and Python to drive impactful change in quantitative finance through cutting-edge research and practical applications.
Overview
2
2
years of professional experience
1
1
Certification
Work History
Applied Research Intern
PASQAL Canada Inc
10.2022 - 03.2023
- Learned material on integral differential equation solving applied to problems related to the financial sector - including Graph Kernel, Graph Neural Network in finance, protocols for trainable and differentiable Quantum Generative Modelling, optimization problem for Quantum External Learning.
- Provided a mixed PDE/ Weighted Multilevel Monte Carlo method to improve the efficiency of pricing Double-No-Touch option.
Quantitative Analyst
1QB Information Technologies, Inc (1QBit)
05.2022 - 09.2022
- Supervised two students from UCL for their Master's dissertations with topics - the creation of a trading strategy for E-mini S&P 500 and Cboe Volatility Index and comparing market sentiment indexes and finical applications.
- Collaborated with CME group and applied the Variational Quantum Eigensolver (VQE) and Quantum Approximate Optimization Algorithms (QAOA) to preform portfolio optimization.
- Built academic collaboration with CMU, UC berkeley, Gies College of Business for future collaborations and projects.
- Learned about optimal feature selection in credit scoring and classification, nested stochastic modelling, diffusion machine learning, and high performance computing.
Market Risk Modelling
Alberta Investment Management Corporation (AIMCo)
06.2021 - 12.2021
- Performed two-year historical replication for Alternative Assets and improved the accuracy of the methodology.
- Implemented stress testing scenarios to assess potential impacts on portfolio value under adverse market conditions.
- Wrote code in Python for Interest Rate analysis and helped improve the investments.
- Calculated one-year forward rates for LIBOR and government curves for different currencies.
Education
Ph.D. - Mathematical Finance
University of Calgary
Calgary, AB10.2024
Skills
- Monte Carlo Simulation
- Stochastic Calculus
- Multitasking Abilities
- Data Analysis
- Financial Analysis
- Data Modeling
- Portfolio Development
- Machine Learning
- Big Data Analytics
- Optimization Techniques
Certification
- Mitacs Networking Skills
- Mitacs Research & Development management
- Mitacs Leadership skills
Timeline
Applied Research Intern
PASQAL Canada Inc
10.2022 - 03.2023
Quantitative Analyst
1QB Information Technologies, Inc (1QBit)
05.2022 - 09.2022
Market Risk Modelling
Alberta Investment Management Corporation (AIMCo)
06.2021 - 12.2021
Ph.D. - Mathematical Finance
University of Calgary
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