Derivatives trading desk and structuring desk; Citibank, Hong Kong

Abstract

My summer internship was completed at Citibank, Hong Kong from April 2 to June 8, 2012. It involved two rotations - one at the Derivatives Trading Desk and the other at the Structuring Desk. I was at each desk for a total of five weeks each and performed a variety of tasks for each team. My time at trading mainly involved support tasks and I had only one major project that I worked on - NSE data analysis. Some of the other work that I did was on HSCE/HSI Volatility spread analysis and in optimizing one of the more important tools. At structuring, I worked on building a stand-alone pricer for an exotic derivative called "Knockout Accumulator". Other work involved giving live pricings for clients and other minor support tasks. All of the above are explained in detail in the presentation I made to the company at the end of my internship, the print-out of which is in the following pages.