Dongsheng Lu

Dongsheng Lu is Managing Director and Head of Quantitative Research at BNY Mellon's Derivatives Trading Unit. His group is responsible for developing derivatives trading/pricing models and building trading/risk management infrastructures for interest rate, equity and foreign exchange derivatives trading businesses, as well as XVA analytics and management. In addition, he has been working extensively on building electronic market making platforms, equity option volatility modeling, electronic trading strategies and algorithms. Starting 2011, he has worked with academics and practitioners on the XVA topics and spoke at a variety of derivatives/quant conferences and training courses. He enjoys the rich experiences of building OTC derivative businesses as well as unwinding the derivatives businesses under various market and regulatory environments.

Before joining BNY Mellon in 1998, he spent two years in postdoctoral research at University of Pennsylvania on quantum mechanical calculations and molecular simulations of biological enzymes. He holds a PhD in Theoretical Chemistry from the Ohio State University and a B.S. degree from University of Science and Technology of China.