Glenden Khew

Glenden Khew

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Nominated for:

Banking and Finance Award 2015




JP Morgan Chase

Job Title:

Quantitative Analyst VP

Educational Achievements:

Birkbeck, University of London
PhD., Mathematical Finance
2006 – 2012
Doctoral Supervisor: Prof. Helyette Geman
Thesis Topic: Modelling Forward Volatility in Commodity Derivatives

Imperial College London
MPhil., Mathematical Finance
2006 – 2007

Carnegie Mellon University
MSc., Financial Engineering
2001 – 2003
In collaboration with Nanyang Technological University (NTU) Singapore

Loughborough University
BSc., Mathematics
1996 – 1999
On Singapore Government Scholarship
The Chinese High School, Singapore

Professional Achievements:

Additional Honors & Awards
Recruited for UBS Private Banking Junior Key Person (JKP) Programme to serve in Greater China Private Banking Team (2003)

Research assistant to Professor Low Buen Sin (Nanyang Business School, NTU, 2002) in the area of FX OPTIONS

Finalist & Ranked 8th in Stocks Trading Category in Financial Games II hosted by SGX (Nov 2002) Stocks and FUTURES TRADING

Public Service Commission (PSC) Singapore Government Overseas Scholarship Award (1996)

Professional Experience:

Vice President, Commodities Quantitative Research Group - Agricultural Derivatives
JP Morgan Chase
June 2010 – Present (5 years 1 month)
Commodities Derivatives Quantitative Analyst, Modelling & Analytics Group
Standard Chartered Bank
November 2008 – May 2010 (1 year 7 months)
Model Development and Analytics:
Collaborated on
 Gabillon 2-F and Black Scholes Path Adjustment
 Gabillon 2-F refactoring for Callable / Extendible exotics
 Gabillon 2-F Heston
 Arbitrage Free Smile Smoothing

Exotic Trade Pricing:
Collaborated on
 Composite-At-Average Swaps and Options
 Research into American Option pricing with Gabillon 2-F in a PDE framework (WIP)
 Hybrid Copula interface for Commodities

Pricing and Risk Management Quantitative Trading Support:
Collaborated on
 MAS TRF trade pricing and risk generation for deal approval
 TRF Ramp function for risk smoothing
 Exotics and vanilla trading desk support

Project Management:
 Setup of database schemas for Commodities static data in RDS
 Co-ordinated project to populate static data in RDS
 Assisted in management of new calendar framework and liaison to CoppClark
 Liaison to GMR on model validation / approval matters for Gab 2-F implementation and TRF ramp smoothing

Infrastructural Development, System Reconciliation and Testing:
 Implemented Gabillon 2-F with path adjustment in legacy FABS system
 Implemented MCPricer interfaces for commodities swaptions
 Performed system testing of following models/products in Cortex/Murex
-Gabillon 2-F calibration
-European Vanilla Options
-Asian Swaps and Options
-European Swaptions
-Smile Rolling Backbone

FIRST FX Derivatives Quantitative Analyst (FX Derivatives Research & Development)
BNP Paribas
December 2007 – October 2008 (11 months)
- FX Derivative pricing model analytics for new products / smile models or improvements to existing smile models
- Model implementation within in-house FX derivative pricing system SOHO (project to begin shortly)
- Debugging, re-factoring and re-structuring of IMAP (FX analytics library) C++ code for efficiency and performance
- Model code integration between FX and IR derivative pricing systems (SOHO / WASP / MAD)
- Documentation of new pricing and model developments / improvement for releases
- Structuring / Trading desk support on urgent valuation issues

FX Derivatives Model Risk Quantitative Analyst
BNP Paribas
February 2006 – December 2007 (1 year 11 months)
- Analysis of local, stochastic & mixture FX volatility smile models with forward volatility smile dynamic modelling
- Analysis of FX volatility smile behaviour under sticky delta / sticky strike regimes, uncertain volatility models
- Assessment of (Genie) in-house Generic payoff Monte Carlo pricing engine for complex structures
- Analysis of copula-based smile model for forward volatility sensitive prdt (cliquets, ratchet, volatility swaps)
- Model review and analysis for long dated FX PowerDual (MultiCallable, Knock-Out, TARN) trade pricing
- FX Correlation product (Quanto, Basket, Best-of, Worst-of) & Multi-Factor FX model review
- Assessment of PDE grid implementation of 1st GEN FX barrier & partial barrier exotic, FX Asian pricing (ongoing)

FX Quantitative Developer
Standard Chartered Bank
March 2005 – February 2006 (1 year)
- 1st and 2nd Gen Exotic pricing Model Analytics (Barriers, Window Barrier, Asians, Accumulators, Convex Fwds)
- Smile Analytics for Pegged / Highly Skewed Ccy Pairs (USD/HKD, USD/CNY, USD/MYR)
- Correlation parameter estimation and IR volatility calibration for Long Dated FX pricing w/ Stochastic interest rates
- FX Volatility Model Analytics (Lognormal Mixture models, Stochastic Volatility, Local Volatility)
- Study of 3 Factor FX-IR Hybrid models

Model Validation Quantitative Analyst
Standard Chartered Bank
March 2004 – March 2005 (1 year 1 month)
- Risk and Trading Analytics / Modelling Advisory for FX / Structured-FX Options, IRD & Fixed Income Desks
- Murex MxG 2000 and FLEX API Model Validations & UAT (IRD & FX Exotics and Credit Derivatives)
- Amortising Bermudan Swaps, TARN, Cross Currency Swaption, Quanto Swap & CDO validations

Additional Contributions:




In the media:


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  1. Adnan is highly professional & inspiring fashion promoter, his work for society speaks for him!


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