Head Research Strategist, Global Sigma
Henry is the head Research Strategist for Global Sigma. Global Sigma, launched in 2009, has become one of the most active managers of the weekly option contracts in the industry. Prior to Global Sigma, Henry was the head quant and model developer for volatility arbitrage firm Saiers / Alphabet Management. Earlier in his career, Henry worked on JP Morgan’s Proprietary Trading Desk as a Risk Management Analyst. During some of his tenure at JP Morgan, Henry authored a number of research papers that appeared in the Journal of Functional Analysis, the Wilmott Journal & the Annals of Probability.
Henry’s educational background includes: PhD, Mathematics in Probability and Stochastic Analysis MIT, MIT Presidential Fellowship, MIT Norman Levinson Fellowship.
University of Science and Technology of China, Master in Mathematics.
d a graduate degree from the University of Cambridge, both in mathematics.