Shaun (Xiaoyuan) Li

PhD Student at Université Paris 1 Panthéon-Sorbonne

Speaker

Shaun (Xiaoyuan) Li is a PhD graduate in mathematical finance at Université Paris 1 Panthéon-Sorbonne in France, supervised by Prof. Eduardo Abi Jaber (École Polytechnique) and Prof. Bernard De Meyer (Université Paris 1). His PhD was funded by AXA Investment Managers in Paris. Just before completing his thesis, Shaun spent the summer of 2024 as a quantitative research intern at Bloomberg in New York.

He recently defended his PhD thesis “The Quintic Volatility Model for SPX & VIX: A 360 Tour”, which will be the subject of his poster presentation at QuantMinds. In this poster, he demonstrates how the Quintic Model can effectively solve the joint SPX & VIX calibration problem with semi-explicit expressions enabling fast pricing and model calibration, while also capturing realistic spot and volatility dynamics, and generating consistent market stylised facts.

Shaun grew up in New Zealand and also holds a Bachelor's degree in Music.