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Anlong Li Portfolio Manager and Head of Financial Engineering at Ketchum Trading


Area of Research and Expertise:

Quantitative Finance: Stochastic Calculus, Contingent Claim Valuation, Change of Measures, Martingale, Interest Rate Term Structure Models, Binomial Models, Volatility Smiles, Fractional Brownian Motion, Principal Components Analysis, Extreme Value Analysis, Dynamic Programming, Deposit Insurance, High-Frequency Data.

Structured Products (OTC): Index Amortizing Swaps, Bermudan Swaptions, Constant Maturity Swaps, Equity-Linked Notes, Barrier Options. Power, Natural Gas, and Weather Derivatives,

Credit Derivatives: Equity Financing, Constant Maturity Credit Default Swap, Distinguishable Currency Swap, Credit Default Obligations (CDO), CDO^2, Subprime/Alt-A Mortgage Default Modeling, Loan Credit Default Swap.

High Frequency Trading: Market Microstructure Modeling, Ultra-Short Horizon Price Forecast, High Frequency Volatility Beta Estimation, Options Market Making, KOSPI Options Trading.

Volatility Arbitrage: Realized Volatility Estimation and Forecast, Realized Skewness, Realized Volatility Surface, Volatility Risk Premium, Correlation and Dispersion Trading, Option Long/Short.

Programming: Fortran, Pascal, C, C++, C#, R, Python, Matlab, MySQL