GE Lei

Current Employment

Senior Project Fellow (Jul 2023 – Now)
The Hong Kong Polytechnic University, HONG KONG

• Construct the derivatives pricing engine with deep/reinforcement learning.

Education

Ph.D. in Financial Mathematics (2015), Soochow University, Suzhou
Thesis: Calibration of SLV Models with Jumps: A Tikhonov Regularization Approach
Exchange PhD student at National University of Singapore (2013–2015, CSC sponsored)

B.Sc. in Information and Computing Science (2010), Soochow University, Suzhou
GPA: 3.77/4.0

Experience

Algorithm Research Scientist (Jul 2021 – Jul 2023)
Laboratory for AI-powered Financial Technologies Limited, HONG KONG

• Built quantitative library (equity & interest rate derivatives models) in C++ with Excel interface.
• Constructed an online option backtest system.

Quantitative Investment Manager (Feb 2017 – Apr 2021)
Shanghai Lake Shang Investment Management Co., Ltd, SHANGHAI

• Managed Event-driven Alpha strategy using Python signals from company announcements.
• Managed quantitative FOF strategy with mutual fund trading data.

Quantitative Investment Manager (Jul 2015 – Feb 2017)
Shanghai Securities Co., Ltd, SHANGHAI

• Analyzed multifactor alpha strategies with regression/scoring methods.
• Constructed portfolios and hedged with futures contracts.

Technical Skills

Languages	Fluent in English, native in Mandarin
Programming	Python, C++, MongoDB, SQL, MATLAB
Certifications	CFA

Publication

L. GE, X.S. Qian, X.Y. Yue, Explicit formulas for pricing credit-linked notes with counterparty risk under the reduced-form framework, IMA Journal of Management Mathematics, (2014).