AutumnOLYMPIAD
COLLECTION
RESEARCHED WITH AUTUMN
KC

Kaihua Cai

Mathematician and quantitative finance professional | IMO 1996 silver medalist | Caltech Ph.D.
New York, New York, United States · academic
LinkedIn

Mathematician turned quantitative finance professional. IMO 1996 silver medalist for China; Caltech mathematics Ph.D. (2005, advisor Wilhelm Schlag); former Member at the IAS School of Mathematics. Now based in New York with skills spanning fixed income, derivatives, quantitative investing and risk management.

Kaihua Cai is a mathematician and quantitative finance professional based in New York. He represented the People's Republic of China at the 1996 International Mathematical Olympiad, winning a silver medal. He earned a Ph.D. in mathematics from the California Institute of Technology in 2005 under Wilhelm Schlag, with a dissertation on the dispersive properties of Schrodinger operators, and was a Member in the School of Mathematics at the Institute for Advanced Study (2006-2007). He later moved into quantitative finance, working on corporate and municipal bond liquidity and trading, and has published in The Journal of Finance and Data Science.

LinkedIn followers1.8K
Details
LocationNew York, New York, United States
UniversityCalifornia Institute of Technology
Quantitative InvestingFixed IncomeDerivativesRisk ManagementVolatilityPortfolio ManagementInterest Rate DerivativesQuantitative AnalyticsPartial Differential EquationsAcademia
Notes
  • Silver medal at IMO 1996 for China with 23 points (P1=7, P2=7, P3=3, P4=5, P5=0, P6=1), ranked 62nd of the six-member Chinese team that won the team competition.
  • Authored 'A New Measure of Corporate Bond Liquidity using Survival Analysis' (The Journal of Finance and Data Science, 2022) with Peter Yesley, and the 2021 working paper 'An Empirical Model for Corporate Bond Liquidity', marking a move from PDEs into fixed-income microstructure.Nov 1, 2022
  • Went straight from IMO silver to a Caltech mathematics Ph.D. (2005, advisor Wilhelm Schlag), then an IAS School of Mathematics membership (2006-2007) - a pure research trajectory that later shifted to quantitative finance.2005
  • LinkedIn skills (Fixed Income, Derivatives, Interest Rate Derivatives, Risk Management) and Capital Markets industry indicate the finance work is bond/rates quant rather than equity quant.
  • People-search directories list a 'Kaihua Cai' as Director at Bank of America and another as Director of Data at Loadsmart - both unverified and could be namesakes; treat the employer as unresolved.

Competition record

China · IMO

1996 · Silver · Rank 62