Bangshan Sun

Background

About Bangshan Sun

I joined back to Morgan Stanley previous strats team at 2023. Currently leading a few equity derivatives trading data model analytic projects. Working in the space of various flow models, global RFQ/trade data models, implied volatility calibrations & metrics, event vol calibrations, machine learning models etc. I went back to pursue academia dream in 2019 after resigning from Equity Derivative Quant in Morgan Stanley. After joined a Nobel laureate's lab in HHMI Janelia, I joined back to Oxford for research in developing integrated photonic circuits & quantum chips through advanced optics technologies and machine learning. During 2016 to 2019, I worked 3 years as Quantitative Strategist in Morgan Stanley. I developed and was in charge of derivatives volatility (vol smile surface) calibration, pricing systems. Major jobs were constructing equity/FX/commodity derivatives pricing models, volatility smile calibrations, MS derivative CRB (central risk book), application & platform developments, daily supports for front desk traders in equity derivatives etc. Outstanding achievements were: 1) Constructed & developed the next generation of volatility calibration system, which includes machine learning technology of Kalman filter. Migrated most of MS equity/FX/commodity underliers into this new pricing system. 2) Constructed the internal option matching/trading system VolAxe (derivative CRB), including fully automated match engine, automatic trading system etc. Extensive knowledge and experience in Machine Learning. I completed my PhD degree studies October, 2015. The total time I used was 2 years (including full thesis writing time), against average duration of 4 years for PhDs in University of Oxford. My PhD was fully funded by UK research funding, which was a rare case as an Oxford Asian PhD. Besides, I ever won 7 additional full-scholarship offers as the result of my PhD program application. As part of my academic achievements, I published 14 journal papers (10 as first-author) in world's renowned academic journals (including 3 first-author Nature sub-journal papers). I also won nearly full list of renowned awards/scholarships during study in Fudan University (Shanghai).