David Wan
Director, Quantitative Modelling, Global Equity-Linked Products
Canada
Summary
👤
Senior🎓
Top SchoolDavid Wan is a Director of Quantitative Modelling at RBC Capital Markets with a decade of experience building production-grade pricing and risk engines for exotic equity derivatives, cross-asset and QIS products. He combines deep mathematical training (MSc Risk Management & Financial Engineering, BMath Actuarial Science) with hands-on C++/C# development—authoring bottom-up diffusion solvers, Monte Carlo engines, scenario/risk APIs and synthetic dividend skew arbitrage models that drive material P&L. Equally comfortable on flow and structured desks, he has practical exposure to rates, FX, bonds and credit and is currently optimising heavy simulations via path recycling. A practitioner who cares about both model fidelity and execution speed, he brings a track record of turning advanced stochastic-volatility and jump-diffusion research into robust trading infrastructure. Outside work he signals a pragmatic, code-first mindset (GitHub: “Happy Coding”), hinting at continual tinkering beyond the desk.
10 years of coding experience
6 years of employment as a software developer
Master of Science (MSc), Distinction with Dean’s List, Risk Management & Financial Engineering, Distinction, Master of Science (MSc), Distinction with Dean’s List, Risk Management & Financial Engineering, Distinction at Imperial College LondonBachelor of Mathematics, Distinction, Honours Actuarial Science & Statistics, Distinction, Bachelor of Mathematics, Distinction, Honours Actuarial Science & Statistics, Distinction at University of Waterloo
Github Skills (6)
oop10
design-patterns10
php10
phpunit10
hexo9
stylish8
Programming languages (2)
Github contributions (5)
autoload/hexo-theme-auto
Feb 2021 - Mar 2021
A modern stylish theme for Hexo
Contributions:1 release, 30 commits, 4 PRs in 12 days
stylish-themehexostylish
autoload/zhanxi
Jun 2017 - Apr 2020
Contributions:7 pushes, 1 branch in 2 years 10 months
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