Class of 2014 Resume Book Mathematics in Finance M.S. Program Courant Institute of Mathematical Sciences New York University October 24, 2014 For the latest version, please go to http://math.nyu.edu/financial_mathematics Job placement contact: Michelle Shin, (212) 998-3009 Shin@cims.nyu.edu New York University A private university in the public service U Courant Institute of Mathematical Sciences Mathematics in Finance MS Program 251 Mercer Street New York, NY 10012-1185 Phone: (212) 998-3104; Fax: (212) 995-4195 Dear Colleague, Attached are the resumes of first semester students in the Courant Institute's Mathematics in Finance Master's Program. We encourage you to consider them for internship positions at your firm during the summer of 2014. These are full-time students, who will graduate from our Master’s program in December 2014. We believe ours is the most elite, the most capable, and the best trained group of students of any program. This year, we admitted less than 7% of those who applied. Their resumes describe their distinguished backgrounds. For the past five years we have a placement record close to 100% both for summer internships and full-time positions. Our students enter into front office roles such as trading or risk management, on the buy and the sell side. Their computing and hands on practical experience make them useful and productive from day one. Our curriculum is dynamic and challenging. For example, the first semester investments class does not end with CAPM and APT, but is a serious data driven class that, for example, examines the statistical principles and practical pitfalls of covariance matrix estimation. During the second semester electives include a class on modern algorithmic trading strategies and one on energy and mortgage backed securities. Instructors are high level industry professionals and faculty from the Courant Institute, the top ranked department worldwide in applied mathematics. You can find more information about the curriculum and faculty at the end of this document, or at http://math.nyu.edu/financial_mathematics/. Sincerely yours, Peter Carr, Executive Director Jonathan Goodman, Chair Petter Kolm, Director ANDREW D BRYANT 29 Avenue B, Apt 4G ▪ New York, NY 10009 ▪ 717-798-2276 ▪ andrew.bryant@nyu.edu EDUCATION NEW YORK UNIVERSITY New York, NY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance (expected – December 2014)  Selected Coursework: Financial Econometrics, Portfolio Optimization, Interest Rate and FX Models, Option Pricing, Computing in Finance  Future Coursework: Time Series Analysis, Computational Methods in Finance, Regulatory Risk Models THE PENNSYLVANIA STATE UNIVERSITY University Park, PA B.S. in Mathematics, B.S. in Economics (Hon.) (August 2009 – May 2013) GPA: 3.86/4.00  Coursework: Financial Mathematics, Econometrics, Probability & Statistics, Money & Banking  Honors: Graduated with Distinction, Schreyer Honors College, Departmental Honors Program in Economics, Phi Beta Kappa, Dean’s List 8x, Schreyer Ambassador Travel Grant  Senior Honors Thesis: “Revisiting the Superstar Externality: LeBron’s �Decision’ and the Effect of Home Market Size on External Value” EXPERIENCE FEDERAL RESERVE BANK OF NEW YORK New York, NY Summer Associate, Risk Group – Credit Risk Management (Summer 2014)  Analyzed collateral student loan asset-backed securities as part of the Enhanced Credit Review process  Developed stress scenarios and scoring metric to be included in formal methodology for evaluating FFELP student loan ABS  Implemented stress scenarios in Intex to assess simulated future cash flows of selected SLABS NEW WORLD PASTA Harrisburg, PA Operations Intern (Summer 2012)  Back-tested two potential new sales forecasting models on the previous 3 years of sales data  Discovered major breakdowns of the models’ accuracy at lower disaggregation levels FROST & SULLIVAN London, UK Business Development Intern (Spring 2012)  Conducted market research on European Research & Technology Organizations (RTOs)  Analyzed macro trends in the sector and recommended on how F&S should market its services to RTOs PROJECTS Active Portfolio Management (Spring 2014)  In 3 person team, implemented a portfolio optimization model in MATLAB which maximizes a portfolio’s Omega Ratio, which accounts for skewness and �fat tails’ in asset returns  Applied our approach to hedge fund return data and compared results with Mean-Variance and mean-CVaR optimization techniques COMPUTER SKILLS/OTHER Programming languages and software: MATLAB, Stata, Java, Microsoft Office, Intex Other: Schreyer Honors College Admissions Interviewer, IAQF member YUAN CHEN 444 Washington Blvd Apt 4314, Jersey City, NJ 07310 ▪ (612) 860-9029 ▪ yuan.chen@nyu.edu EDUCATION NEW YORK UNIVERSITY New York, NY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance (Expected – January 2015)  Finance: Derivatives, fixed income, term structure models, market impact models, portfolio optimization, risk management  Computing: Java applications in asset pricing, trading and portfolio optimization  Future Coursework: Time series & statistical arbitrage, advanced econometric modeling & big data CARNEGIE MELLON UNIVERSITY Pittsburgh, PA MS in Mathematical Sciences (May 2013)  Relevant Coursework: Stochastic calculus, algorithmic trading, machine learning, regression analysis UNIVERSITY OF MINNESOTA, TWIN CITIES BS in Mathematics (May 2011) Minneapolis, MN EXPERIENCE BARCLAYS CAPITAL New York, NY Summer Associate, Quantitative Analytics (June 2014 – August 2014)  Studied pricing methodologies for rates and credit products in the bank  Calibrated two-factor models to market bond prices by OAS; priced corporate and sovereign bonds  Built an interactive tool in IPython Notebook to compute credit delta and LX% of corporate and sovereign bonds using two methods; explained the differences to rates and credit trading desks iTB HOLDINGS INC. New York, NY Spring Intern, Bond Electronic Trading (February 2014 – May 2014)  Extracted data from Bloomberg through API; applied statistical techniques to clean data and analyze the correlations between ETFs and underlying bonds using Python  Constructed optimal hedging solutions for ETFs; built bonds and ETFs trading portfolios HERMES CAPITAL ADVISORS, LLC New York, NY Fall Intern, Equity Quantitative Trading (September 2013 – December 2013)  Built a model in Python using Empirical Mode Decomposition to predict trending and mean-reversion periods; generated trading signals and implemented trading strategies  Researched machine learning algorithms for trading; predicted the realized volatility using intraday data; back-tested and optimized the firm’s trading strategies PROJECTS NEW YORK UNIVERSITY  Financial Computing in Java: Priced exotic options using Monte Carlo simulation in a multithreaded environment; implemented limit order book with basic order fill mechanics  Risk & Portfolio Management in Matlab: Constructed optimal long-short equity portfolios using mean-variance optimization; conducted PCA on yield changes, stock returns and volumes; calculated VaR of a portfolio using various methods  Interest Rate & FX models: Modeled OIS and LIBOR rates; built implied volatility surface for FX options using SABR model and trading time clock  SKILLS AND OTHER Computer Skills: Python, Java, Matlab, MySQL, MS Office Languages: Chinese (Native), English (Fluent) Interests: Poker, Soccer, Skiing, Brainteasers YUSHU CHEN 255 Warren St. Apt 1604 ▪ Jersey City, NJ 07302 ▪ (202) 251-3219 ▪ yushu.chen@nyu.edu EDUCATION NEW YORK UNIVERSITY New York, NY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance (expected – January 2015)  Mathematics & Finance: Stochastic calculus, derivatives, fixed income, regression analysis, meanvariance optimization, VaR, capital markets / accounting (undergraduate)  Computing: Object-oriented programming, data structures, algorithms WASHINGTON UNIVERSITY IN ST. LOUIS St. Louis, MO A.B. (Honors) Mathematics, Economics; Psychology minor (2009 – 2013)  Honors: Dean’s Lists; Recipient of the Lui Scholarship, 2010–2013; Psi Chi Honor Society  Projects: Recreated poker games and multi-player set puzzle in C++ and Java EXPERIENCE Interactive Data Corporation New York, NY Portfolio Analysis Summer Intern (June – August 2014)  Worked on IDC’s premiere fixed income web portal in enhancing evaluated pricing transparency and assisted in market price validation. Pitched a market activity display proposal to leverage all securities information possible while limiting the risk of exposing sensitive material  Developed SQL and VBA tools for database reconciliation and portfolio cleaning and error corrections NuVerse Advisors LLC New York, NY Investment Management Intern (April – May 2014)  Valued the target private company applying weighted DCF method in conjunction with Monte-Carlo simulations on stochastic variables. Incorporated risk constraints as well as adapted the model to resolve circularity conflicts in the key estimates AEGON-INDUSTRIAL Fund Management Shanghai, China Summer Intern (July – August 2013)  Performed fundamental research on target growth companies for portfolio managers, evaluated industry positions, comparative advantages and future prospects based on SEC filings  Validated investment strategy assumptions employing statistical computing and graph analysis in Matlab SWS Research Co., Ltd Shanghai, China Summer Analyst, Global Macroeconomics (June – August 2012)  Produced daily report tracking key market risk factors covering FX, CDS, commodities; interpreted and summarized everyday global macroeconomic data and events for institutional investors  Researched with supervisor on changes and forecasts in global consumption and industrial structure PROJECTS Quantitative Finance (Fall 2013)  Portfolio Management: Cleaned 15 years of daily return and volume data on 500 CRSP stocks in Matlab; performed mean-variance optimization and constructed the efficient frontier   Option Pricing: Priced vanilla options via Monte-Carlo simulation with variance reduction techniques Exchange Simulation: Implemented a limit order book using TreeMap data structure for effective matching in price-time priority SKILLS/OTHER Programming: Java, C++, VBA, Matlab, SQL Other Software: Microsoft Office, EViews, SAS, Bloomberg Activities & Leadership: Summer Exchange in Japan, Study Abroad Ambassador, Teaching Assistant and Mentor at the Department of Mathematics Languages: Chinese (native); English (fluent); Japanese (intermediate) Ziwei (Sylvia) Deng 1 River Court, Apt 606 ▪ Jersey City, NJ 07310 ▪ 347-282-3560 ▪ ziwei.deng@nyu.edu EDUCATION NEW YORK UNIVERSITY New York, NY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance (expected – January 2015) ● Finance: Portfolio Theory, CAPM, option pricing, Black-Scholes model, MBS ● Mathematics: Stochastic calculus, Brownian motion, Ito’s lemma, Monte Carlo simulation ● Future Courses: Time series analysis and statistical arbitrage, Bayesian statistics in finance UNIVERSITY OF TORONTO Toronto, Canada BSc (Honors) in Mathematics and Statistics, Minor in Economics (September 2009 – June 2013) ● Cumulative GPA: 3.92/4.0, Math GPA: 4.0/4.0; Dean’s List ● Honors: Coxeter Scholarship; C.L. Burton Scholarships; Graduated with High Distinction EXPERIENCE ATHENA CAPITAL RESEARCH New York, NY Summer Intern, Quantitative Research (May 2014 – August 2014) ● Investigated rolling intraday correlations of price moves using high-frequency data in Python Pandas and identified signals for trading strategy making ● Designed regression models to conduct PnL performance explanation using R and Python and discovered stylized factors that were significant to PnL changes ● Created automated programs in Python to generate PnL report of strategy performance CHINA CONSTRUCTION BANK Guangzhou, China Summer Intern, Investment Banking Department (July 2012 – August 2012) ● Established an innovative Gold/Foreign Exchange-linked structured product ● Collected and analyzed the gold price/exchange rate within recent 2 years ● Built up Yield Calculation Model and Risk Exposure Model of the structured product ROYAL BANK OF CANADA (RBC) Toronto, Canada Investment Advisor Assistant, Wealth Management Division (November 2011 – March 2012) ● Conducted 80-cold calls per day, introduced portfolio construction and investment reports service to high-net-worth clients ● Helped solve clients’ issues, promoted RBC wealth management products and services PROJECTS NEW YORK UNIVERSITY New York, NY Mortgage-Backed Securities Models (February 2014 – March 2014) ● Built MBS Pass-through model, solved for option adjusted spread (OAS) in Excel ● Created sequential structure with 4 tranches, and PAC structure with cash flows under different PSA in Excel Options Pricing and Order Book Trading Simulation Models (September 2013 – November 2013) ● Built Monte Carlo based simulation model for pricing European and Asian options in both Java and VBA ● Implemented exchange side of order book that supported different types of orders in Java UNIVERSITY OF TORONTO Toronto, Canada Stochastic Optimal Control in Pairs Trading (October 2012 – April 2013) ● Constructed stochastic optimal control model for pairs trading and solved the optimization problems ● Simulated sample paths of trading speeds, inventories and running wealth and analyzed their patterns with the changes in different parameters of the pairs trading model in Matlab COMPUTER SKILLS/OTHER Programming – Python (with Pandas, Numpy, Rpy2, Matplotlib, Datetime), Java, LINUX, MySQL, Matlab, R, SAS, Mathematica Languages – Cantonese (Native), Mandarin (Native), English (Fluent) PETER TRAMYEON FWU 100 Christopher Columbus Dr, Apt 322 ▪ Jersey City, NJ 07302 ▪ 949-748-9853 ▪ peter.fwu@nyu.edu EDUCATION NEW YORK UNIVERSITY New York, NY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance (September 2013 – Present)  Mathematical Finance Coursework: Stochastic calculus and stochastic processes, martingales Brownian motion, Ito calculus, forward and backward equations. University of California, Irvine Irvine, CA Ph.D. and M.S. in Physics (September 2006 – March 2013)  Thesis: Application of Finite Element Modeling Methods in Magnetic Resonance ImagingBased Research and Clinical Management   Publication: Ten published papers and two in preparation for academic journals Award: UC Regent’s Scholarship for outstanding academic records and personal achievement National Taiwan University Honor Bachelor of Science in Physics (September 2000 – June 2004)  Awards: “Presidential Award for Academic Excellence” Taipei, Taiwan EXPERIENCE PineBridge Investment New York, NY Quantitative Research Intern (June 2014 – Present)  Developed and maintained alpha and risk models for European sovereign bonds  Automated data collection and consolidation process from multiple resources in R Standard & Poor’s, Quantitative Analytics Research Group New York, NY Quantitative Associate Intern (February 2014 – April 2014)  Developed testing modules for credit rating model for insurance companies in Matlab  Improved user interface of credit rating tool for nonprofit public social housing provider Hermes Capital Advisors, LLC New York, NY Quantitative Trading Intern (September 2013 – January 2014)  Developed next day stock price prediction platform from empirical mode decomposition (EMD) and pattern recognition algorithm, k-nearest-neighborhood in Python University of California, Irvine Irvine, CA Research Assistant and Postdoctoral researcher (Jan 2010 – August 2013)  Exploited 3-D Finite Element Method to model heat transfer on complex object (human prostate tissue with blood perfusion) with in-house program developed in MATLAB, to achieve individual specialized treatment before surgery COMPUTER SKILLS/OTHER Programming Languages: MATLAB, R, MySQL, C++ , Java, Python Languages: English (Fluent), Mandarin (Native) Citizenship: United States YIPING (Heather) HE 425 Washington Blvd, Apt 1403 ▪ Jersey City, NJ 07310 ▪ (917) 940-2001 ▪ yiping.he@nyu.edu EDUCATION NEW YORK UNIVERSITY New York, NY The Courant Institute of Mathematical Sciences GPA 3.7/4.0 MS in Mathematics in Finance (expected – December 2014) • Quantitative Finance: Brownian motion, Ito’s Lemma, stochastic differential equations, BlackScholes, greeks, short-rate models, mean-variance optimization, regression analysis • Computing: Object-oriented design in Java, data structures, Monte Carlo simulation • Future courses: Time series analysis, advanced econometric models and big data PEKING UNIVERSITY GPA 3.7/4.0 Beijing, China Bachelor of Engineering and Economics, double degree (2009 – 2013) • Selected coursework: Probability & statistics, data structures and algorithms, derivatives • Scholarship: National Scholarship (top 1%), PetroChina Elite Scholarship (top 3%) EXPERIENCE RBC Capital Markets New York, NY Summer Analyst, Fixed Income and Currency Quant Group (Summer 2014) • Developed a two-factor short-rate model using correlated Vasicek processes, calibrated multiple parameters by genetic algorithm and Levenberg-Marquardt algorithm, used in yield curve building, government bond pricing, risk calculation and scenario analysis • Performed the role as a desk quant, modified group’s vanilla instrument pricers for trading convenience, constructed data and building methods for New York end-of-day curves • Presented various modeling approaches to global team members in weekly meetings Bank of China International Securities Beijing, China Intern, Research Department (2012 – 2013) • Collaborated in macro-analysis, researched and analyzed world-wide data for industry research • Collected information of process and policy about interest rates liberalization in developing countries like India and Brazil as examples for the reform in China PROJECTS Portfolio Optimization • Processed 15 years of daily return and volume data of US equity from CRSP database, cleaned data with Hampel Filter using Matlab • Estimated the expected return vector and covariance matrix, performed mean-variance optimization and constructed the efficient frontier Option Pricing by Monte Carlo Simulation • Established Monte Carlo based framework in Java for pricing European and Asian option • Implemented antithetic method and stats collector to improve efficiency Fluid dynamics project on Mesh Deformation Method • Updated computational meshes as domain changes caused by aircraft deformation by radial basis function interpolation, applied to both 2D and 3D examples • Solved misshaped problem to avoid illegal meshes, doubled the maximum rotation angle while guaranteeing computational efficiency by optimization COMPUTER SKILLS/OTHER Programming: Languages: Interest: VBA, Java, C, MATLAB, R (beginner) English (fluent), Mandarin (native) Piano, dancing, swimming, table tennis RUIKUN HONG 465 Washington Blvd, Apt #2607S, Jersey City, NJ, 07310 ▪ (917)593-4986 ▪ ruikun.hong@nyu.edu EDUCATION NEW YORK UNIVERSITY .. New York, NY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance (expected – January 2015)  Derivative Securities: forward, futures and option pricing, Black-Scholes model  Stochastic Calculus: Ito’s lemma, reflection principle, Girsanov’s theorem  Computing in Finance: OOP, data structure, design pattern, order book simulation  Risk & Portfolio Management: linear regression, CAPM, mean-variance optimization  Interest Rates: change-of-numeraire technique, Vasicek model, Hull-White model ECOLE CENTRALE PARIS Paris, France Diplôme d’ingénieur (expected – January 2015)  Relevant coursework: measure theory, martingale, statistical hypothesis testing UNIVERSITY OF PARIS-SUD (Paris XI ) BS in Fundamental and Applied Mathematics (June 2012) Orsay, France EXPERIENCE Cohen & Steers, Summer Intern in Quantitative Strategies Team (June 2014 – August 2014)  Applied principal component analysis with orthogonal and oblique rotation methods to …..identify the risk factors and the risk exposure of portfolio  Estimated the marginal risk contribution of each asset in the portfolio  Applied VAR model to estimate the tracking error of portfolio on weekly and monthly basis  Built the Excel interface using VBA to visualize the tracking error analysis PROJECTS Portfolio Optimization With Fixed Transaction Cost (November 2013)  Applied Lagrange relaxation method to estimate the lower bound of objective function  Implemented subgradient method in Python and optimized a non-convex problem  Presented the project as a finalist of the Prize for Excellence at Morgan Stanley Stock Option Pricing with Monte Carlo Simulation(October 2013 – December 2013)  Priced European and Asian options using Monte Carlo simulation with antithetic stock paths  Implemented the simulation with middleware and multithreading approach separately Using GPU for Financial Analysis and Modeling (September 2012- June 2013)  The GPU architecture and CUDA programming model  Tested functions related to linear algebra in the CUBLAS, and LAPACKPP .library  Implemented the K-means algorithm with CUDA and achieved the classification based on ......eigenvalues of the correlation matrices with S&P 100 COMPUTER SKILLS/OTHER Programming languages: Java, Python, R Languages: Chinese (native), French (fluent), English (fluent) Interests: basketball, piano, poker YUNFAN JIN 30 Newport Pkwy Apt# 2506 ■Jersey City, NJ 07310 ■(917) 847-0606 ■yfjin@nyu.edu EDUCATION NEW YORK UNIVERSITY New York, NY Courant Institute of Mathematical Sciences MS in Mathematics in Finance (expected – January 2015)  Brownian Motion, Itȏ’s lemma, numeraires, interest rate models, local volatility models, FX markets, exotic options, finite difference methods, Gaussian quadrature, risk measures, Java PEKING UNIVERSITY Beijing, China BS in Applied Mathematics & BA in Economics (September 2009 – July 2013) EXPERIENCE Numerix LLC New York, NY Financial Validation Engineering Intern (May 2014 — August 2014)  Scripted callable path-dependent deals and priced them with different MC types  Validated new features regarding hybrid models with various components including Hull White, Black-Karasinski, CIR, Heston, Dupire, LSV, credit transformation models, etc.  Compared pricing results among built-in and scripted deals of Asian, European, American, Lookback and Barrier options, Cap/floors, swaps, swaptions, CMS swaps/options, CDS, etc. National Development and Reform Commission Beijing, China Research Assistant, Energy Research Institute (March 2013 — June 2013)  Programmed Excel files with VBA to complete various kinds of regression analysis  Compared the correlations among prices of various assets and delivered written report analysis China Everbright Bank Shanghai Branch Shanghai, China Intern, Corporate Banking Department (July 2012 — August 2012)  Accurately assembled original credit documents for future auditing and historical archiving ACADEMIC PROJECTS Interest Rate & FX Models and Continuous Time Finance  Constructed yield curve with CDs, futures and swaps by Python, and employed Libor Market Model with the given volatility to price Libor in arrears, swaptions and CMS swaps  Calibrated SABR models to FX ATM Vols, Risk Reversals and Market Strangles, plotted implied volatility curves and interpolated volatilities by time with weekend effects  Employed the historical S&P500 data to deduce the �implied volatilities over a period’, with which the delta hedges of options at certain strikes produce no profit or loss Computational Finance in Java  Applied k-means clustering to partition many points on a given space into several clusters  Performed Monte Carlo simulations with Antithetic approach to price path-dependent options  Utilized multithread to distribute data among several clients with JMS to increase efficiency C++ Programming Practice: Five-in-a-row Game  Developed a game system and designed strategic artificial intelligence to play with others COMPUTER SKILLS & OTHER    Programming: Java, C++, Python, Matlab, R, SAS, VBA, SQL Honor/Award: First Prize in 2010 National College Physics Contest for non-Physics students Language: Mandarin (native), English (fluent) Mark Paul Kondrla Jr. 286 Clarkson Avenue ▪ New York, NY –11226 ▪ 856-287-8311 ▪ mpk319@nyu.edu EDUCATION NEW YORK UNIVERSITY New York, NY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance (expected – January 2015)  Finance: Econometrics, Black-Scholes model, CAPM, execution strategies, MBS, energy markets, GARCH  Mathematics: stochastic differential equations, Brownian motion processes, Monte-Carlo methods DREXEL UNIVERSITY Philadelphia, PA B.Sc. in Physics & Mathematics (September 2008 – June 2013)  Senior Thesis : “An Analytical Dose and LET Algorithm to Perform Radiobiological Optimization in Proton Therapy” EXPERIENCE LINCOLN FINANCIAL GROUP Philadelphia, PA Quantitative Strategist - Equity Risk Management (May 2014 – August 2014)  Developed a C# program to parse through the hedging portfolio to populate the SQL database with any new trades or updates to trades made that business day  Contributed to the variance swap pricing library for the new liability hedging system  Performed an asset reconciliation on all OTC trades, in the hedging portfolio, so that accurate valuations could be used for back testing purposes PERELMAN CENTER FOR ADVANCED MEDICINE Philadelphia, PA Researcher - Radiation Oncology (December 2011 – July 2013)  Designed and implemented an analytical dose and linear energy transfer algorithm, using MATLAB, to replace Monte-Carlo simulations for proton radiotherapy  Derived a normal tissue complication probability model for proton radiotherapy using linear energy transfer  Submitted a paper to Physics in Medicine and Biology titled: “FoCa: A modular treatment planning system for proton radiotherapy with research and educational purposes” (July 2014) DREXEL UNIVERSITY MATHEMATICS DEPARTMENT Philadelphia, PA Researcher - Mathematics Department (March 2011 – December 2011)  Constructed an algorithm in C++ to solve time-dependent partial differential equations arising in models for a vortex sheet with surface tension  Discovered families of solutions with even and odd symmetries, for a vortex sheet, that are time periodic  Accepted paper in Quarterly of Applied Mathematics titled: “Computing Time-Periodic Solutions of a Model for the Vortex Sheet with Surface Tension” COMPUTER SKILLS/OTHER Programming Languages: C++ (2 yrs), MATLAB (2 yrs), Java (1 yr), Python (1 yr), C# (0.5 yr) Other Software: Excel, SQL, Maple, LaTeX Interests: Golf, Chess, Personal Investing, Weight Lifting, Beer Brewing Citizenship: United States LAURA LE 33 Minna Street ▪ Brooklyn, NY 11218 ▪ (518) 253-1540 ▪ laura.le@nyu.edu EDUCATION NEW YORK UNIVERSITY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance (expected – Jan 2015)     Finance: Mean-variance optimization, Black-Litterman model, risk-based asset allocations, market impact models, risk-neutral valuation, Greeks, VaR, interest rate models Mathematics: Linear regression, principal component analysis, Brownian motion processes Computing: Object oriented programming, data structures Future coursework: Time series and statistical arbitrage, Bayesian statistic, hidden Markov model NATIONAL UNIVERSITY OF SINGAPORE B.Sc. (Honors) in Quantitative Finance (Aug 2006 – May 2010)  New York, NY Singapore Honor: Recipient of Singapore Government Scholarship (4 years) EXPERIENCE INVESTMENT TECHNOLOGY GROUP Summer Quantitative Analyst (Jun 2014 – Aug 2014)    Designed outlier filtration for US corporate bond quotes using hierarchical clustering Researched and implemented ITG corporate bond analytic engine in C# using Quantlib Examined and improved the construction logic of ITG US corporate bond Best Bid and Offer BNP PARIBAS Associate, Fixed Income IT (Jul 2010 – Jul 2013)    New York Singapore Supported electronic trading, low-latency pricing and algorithmic trading systems for 20+ traders in future execution, UST, USD swaps, AUD government bonds, AUD swaps, and other Asia currency desks Integrated and implemented new electronic trading projects such as deployed e-trading KRW swaps, participated in Dodd-Frank implementations for e-trading USD swaps Communicated and collaborated daily with global groups of traders, sales, quants, developers and business analysts to promote usages and improve resilience of electronic trading platform ACADEMIC PROJECTS A comparison of risk parity, minimum variance and maximum diversification (Apr 2014)  Implemented risk parity, minimum variance and maximum diversification strategies Market temporary impact model (Mar 2014)  Built temporary impact model with nonlinear regression in Matlab using 3-month NYSE TAQ data based on Almgen et al.’s Direct Estimation of Equity Market Impact Mean-variance and Black-Litterman portfolio optimizations (Dec 2013)  Cleaned 15 years of daily return and volume data of 500 stocks and constructed optimal portfolios with mean-variance and Black-Litterman model in Matlab COMPUTER SKILLS/OTHER Programming Languages: Java, C++, SQL, Matlab Languages: English (fluent), Vietnamese (native) Certificates: Scored in top 25% for Financial Risk Manager (GARP) in Jan 2010 CHEN LI 1 River Court, Apt 509 ▪ Jersey City, NJ 07310 ▪ (201) 616-8776 ▪ chen.li.1077@nyu.edu EDUCATION NEW YORK UNIVERSITY New York, NY The Courant Institute of Mathematical Sciences Master of Science in Mathematics in Finance, (Dec 2014) • Quantitative Investment: Quantitative trading strategy, portfolio theory and optimization, time series analysis, statistical arbitrage, machine learning, Bayesian statistics • Derivative Pricing: Stochastic calculus, interest rate & FX models, scientific computing PEKING UNIVERSITY Beijing, China Bachelor of Science in Physics, (Jul 2013) • Relevant Courses: Investments, macroeconomics, econometrics, Matlab programming in financial engineering, data structure and algorithm, fixed income products and pricing EXPERIENCE CITI Hong Kong, China Summer Analyst, Equity Derivative Trading (Jun 2014 – Jul 2014) • Created trading signals indicating intraday patterns of stock price; Wrote a VBA program to retrieve new data from Bloomberg and update signals for more than 300 stocks automatically • Developed and backtested delta hedging strategies that are based on the signals I created Summer Analyst, Multi-asset Investment Solution & Citi Funds (Jul 2014 – Aug 2014) • Designed and priced a structured product linked to mutual funds with volatility target • Backtested and improved a target date fund strategy that utilizes portfolio optimization and momentum signals to gain downside protection and adjustment in varying market condition J.P. MORGAN Shanghai, China Intern, Global Corporate Bank (Jan 2013 – Feb 2013) • Researched twenty companies in China using public research reports and the Wind terminal • Analyzed potential business opportunities within these companies through their business models, demands for financial products, future directions and industry outlooks • Collaborated with Financial Markets Division to update financial product materials for clients GUOSEN SECURITIES Intern, Quantitative Investment Strategies Team (Jun 2012 – Aug 2012) • • Shanghai, China Developed quantitative strategies in China stock markets using Matlab and Tinysoft; analyzed its performance in different market environments in history (two reports were published) Conducted statistical analysis on supervisor’s quantitative trading strategy; increased the winning percentage from 45% to over 55% and satisfied our buy-side clients RESEARCH PROJECTS Consistent Modeling for Options on SPX and VIX Beijing, China Research Assistant (Jan 2013 – Jun 2013) • Utilized massive VIX options data to conduct maximum likelihood estimation for threedimensional stochastic volatility models with jump terms using Mathematica and Matlab SKILLS & OTHERS Programming Skills: C/C++, Matlab, Excel VBA, Java (beginner), R (beginner) Honor: First Prize in China National Mathematical Olympiad (Jan 2008 & Jan 2009) Investing: Manage a real HK stock portfolio (+6.2% since Oct 2013) Certificate: CFA Level II Candidate SHUO LI 40 Newport Parkway, Apt 2610 ▪ Jersey City, NJ 07310 ▪ (609) 423-5125 ▪ li.shuo@nyu.edu EDUCATION NEW YORK UNIVERSITY New York, NY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance (expected – December 2014)  Programming: Java programming for finance application including trading, research, hedging, and portfolio management  Derivatives: Futures, forwards, options, interest rate swaps PRINCETON UNIVERSITY B.A. in Economics with Finance Certificate (2006-2010) Princeton, NJ EXPERIENCE JPMorgan Chase & Co. Summer Associate – Risk and Modeling Analytics (summer 2014)      Developed non-linear models to capture quartile characteristics of individual fico scores to enhance default models’ predictions Used R to back-test fico score models from aggregating individual forecasts and confirmed its performance under stress scenarios such as financial crisis, in comparison with common industry practice of assuming no change on individual scores Applied SQL package in R for faster vectorized computation in large data set Extensively used ggplot2 package to enhance visual clearance of graphical presentations Compared different variable selection procedures and validated their stabilities under big but noisy data BOM Enterprise Sports Trader/Analyst (2010-2013)       New York, NY Freehold, NJ Assisted in the management of a $5+ million fund and monitored the portfolio to minimize risk exposure and maximize potential gain Projected security movements and set price alerts in order to adjust holding positions during the trading period Created comprehensive investment strategies based on event simulations dependent on market pricing, agency rating, league, team and individual player’s historical performances Utilized multi-threading technique to increase data collection and post calculation speed Updated models and optimized trading algorithms using Python and VBA to enhance trading efficiency Executed trades daily, based on internal model estimation and real time volatilities COMPUTER SKILLS/OTHER Programming languages: R, JAVA, Python, MATLAB , VBA Other Software: Stata, Excel Languages: Mandarin (Native), English (Fluent) XIANGYU LIN 475 Washington Blvd, Apt 4607N ▪ Jersey City, NJ, 07310 ▪ 517-899-7694 ▪ xl1112@nyu.edu EDUCATION December 2014 M.S. Mathematics in Finance, Courant Institute, New York University Quantitative: Econometrics, Portfolio Optimization May 2013 B.A. Mathematics, Michigan State University Other Coursework: Finance; Economics; Accounting; Computer Science EXPERIENCE June 2014—Present Paradigm Asset Management New Product Development Intern Advisor: Dr. Petter Kolm  In progress of developing a frontier product that uses hedge fund’s 13-F filing to identify potential alpha signals in the aggregated hedge fund holdings data  Researched into the global hedge fund industry to gain strong understanding of the investment approach, alpha source, and instruments used in different hedge fund strategies  Established end to end factor model implementation procedure covering: selecting custom set of market factors by hedge fund investment strategy, applying return based style analysis, and generating performance evaluation and style classification reports  Developed a proprietary hedge fund database to reconcile holding/return data into suitable structures; refined 13-F holding database by performing data integrity testing to improve cleanliness and accuracy;  Applied statistical analysis to investigate the linkage among AUM, performance and other characteristics to generate robust trading signal; in progress of applying double-sort methodology on signals and building back-testing engine in MATLAB  Consolidated HFR dead fund pool with database to reduce survivorship bias; examined 13-F timeliness issue to avoid look-ahead bias; made adjustment for dividends and stock splits;  Participated in investor meeting to introduce the new product; lead the weekly progress meeting GTJA Securities Co., Ltd. August 2012 – August 2013 Proprietary Equity Trading  Opportunistic Investing:  Studied and traded investing strategies that ride on corporate transactional events that impact intra-day stock price, including merger arbitrage, IPO, sector-focused trending, and other special situations  Learned and used fundamental valuation and analysis involved in the basic event-driven strategies  Quantitative & Directional  Established pre-trade routine to target stocks by previous trading volume and daily price range  Monitored Level II quotes and order flow and track technical signals to gauge trading continuation  Performed post-trade analysis on past trades to optimize trading methodology and model  Achieved .7% on 19 trading day out of 4 month on an algorithmic strategy on S&P intra-day pattern  Achieved 12.11% annualized absolute return with Sharpe ratio of 0.86 May 2012 – August 2012 Quantitative Trading Intern  Independently developed a strategic trading algorithm with trade size optimized by price and time  Assisted in developing the infrastructure prototype to automate data processing and co-integration analysis procedure to generate trading signal; achieved efficiency beats MATLAB co-integration function  Conducted feasibility research of pairs trading strategy and index replication on CSI 300 sector indices SKILLS & OTHER Programming & Software: MATLAB, C++, SQL Server(basic) Achievement: 95 percentile in Chinese National Mathematics Olympiad 2006 Project: - fund of funds portfolio optimization in Omega framework; - apply hierarchical clustering to group hedge fund returns with CSIDM indices correlation distance; - all-weather portfolio: restructuring covariance by identifying crisis period with Mahalanobis distance; - feasibility of pairs trading strategy on the Google’s Class A (GOOGL) and Class C (GOOG) shares; - volatility arbitrage on corporate earnings announcement and forecasted implied-realized Vol spread; CHAOXIE (CHARLES) LIU 25 River Drive South, Apt 2209 ▪ Jersey City, NJ 07310 ▪ (718) 755-2328 ▪ chaoxie.liu@nyu.edu EDUCATION NEW YORK UNIVERSITY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance (present - Jan 2015 expected) New York, NY  Option Pricing: Derivatives securities, stochastic calculus, Interest rate and FX models   Portfolio Management: Regression analysis, active portfolio management Algorithmic Trading: Algorithmic trading and quantitative strategies  Future courses: Time series analysis and statistical arbitrage, big data in finance NATIONAL UNIVERSITY OF SINGAPORE B.Sc. (Hons) in Quantitative Finance (Jul 2005 - Jun 2009) Singapore, Singapore  Award: Scholarship for academic excellence by Singapore Ministry of Education  Thesis: Implemented stochastic control PDE model in Matlab with Crank-Nicolson scheme to price insurance claim (variable annuity with GMWB rider) EXPERIENCE Investment Technology Group Algorithm Trading Summer Analyst (Jun 2014 – Jul 2014) New York, NY  Analyzed volume at various dark pools using data published by FINRA; Compared results with ITG’s data and TAQ data to improve the existing execution algorithm  Developed database in Access to consolidate, manipulate and process data from various data sources Australia and New Zealand Bank Quantitative Analyst (Sept 2009 – Jul 2013) Singapore, Singapore    Performed quantitative support for rates option trading desk on a daily basis Contributed actively to building Excel based options pricing trading system Validated and tested pricing analytics. Liaised with traders on analytics requirement and delivery  Collaborated with a team of 4 people to integrate, test and deliver a VBA pricing library for non-callable IR derivatives in a timely manner Enhanced and tested various calibration strategies of linear Gaussian model in C++ pricing library; implemented Monte-Carlo scheme for LGM model in C++   Designed tools for traders to publish volatility daily, and submit volatility to market data publisher (Markit Group) monthly  Setup and maintained end-of-day risk reports in official trading system for all the rates options portfolios. Delivered a C# library to transfer report information from trading system to Excel  Performed collateral/funding value adjustment impact analysis for over 100,000 trades COMPUTER SKILLS/OTHER Programming languages: C++ (2 yrs), Java (1 yr), VBA (4 yrs), C# (0.5 yr), Matlab (3 yrs), R (3 yrs) Other Software: MS-Excel/Access, Reuters, Murex Languages: English (fluent), Chinese (native) Qualification: Passed CFA Level 1 exam on first attempt JUNYING SHEN 425 Washington Blvd, Apt 2201 ▪ Jersey City, NJ 07310 ▪ (217) 898-7867 ▪ junying.shen@nyu.edu EDUCATION NEW YORK UNIVERSITY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance (expected – December 2014) New York, NY  Finance: Put-call parity, Black-Scholes formulas, the Greek letters, CAPM, Black-Litterman model, mean variance optimization, VaR , Backtesting  Math: Discrete Gaussian processes, Markov chains, Brownian motion, Ito’s Lemma UNIVERSITY OF ILLINOIS AT URBANA-CHAMPAIGN BS in Finance & BS Liberal Arts and Science in Mathematics (2009-2013)  Champaign, IL Honors: Summa Cum Laude, High Distinction (Math), Highest Honors (Finance), Edmund J James Scholar, Beta Gamma Sigma Business Honor Society, Finance Academy Member EXPERIENCE AIG Intern, Enterprise Risk Management, Portfolio Analytics (June 2014-August 2014)      Assigned core financial risk charges to AIG’s new investments by running 3-step risk charge module in R Identified and resolved data issues impacting the overall risk usage monitoring process Designed risk usage methodology in R based on previous quarter’s calculation in Excel Enhanced and implemented risk attribution template in R by decomposing risk usage change into different buckets including changes in rating, maturity, seniority, quantity, market movement, etc. Commented on firm wide and business units risk limit usage EY (Ernst & Young) Intern, Transactional Advisory Services (June 2013-August 2013)    New York, NY Shanghai, China Conducted and presented integrated background research on Chinese Buyout Funds market Built initial investment VS IRR model based on scenario to support valuation analysis Created M&A target list for client and consolidated research findings regarding target buyer PROJECTS Portfolio optimization in Matlab (Fall 2013) New York, NY  Cleaned 15 years of daily return and volume data in CRSP stocks database by using Hampel Filter to detect and remove outliers  Estimated the expected return vector and covariance matrix; performed mean-variance optimization and constructed the efficient frontier COMPUTER SKILLS/OTHER Programming Languages: Java (0.5 year), Matlab (1 year), VBA (0.5 year), Mathematica (1.5 years) Other Software: Bloomberg, Capital IQ, MorningStar EnCorr Languages: Chinese (Native), English (Fluent) TIANRUI SHEN 1 River Court, APT 606 ▪ Jersey City, NJ 07310 ▪ 347-784-8472 ▪ tianrui.shen@nyu.edu EDUCATION NEW YORK UNIVERSITY New York, NY The Courant Institute of Mathematical Sciences GPA: 3.8/4.0 M.S. in Mathematics in Finance (expected – January 2015)  Financial Theory: Regression models, efficient frontier and optimization, Black-Scholes pricing model, Greeks, interest rate models, stochastic volatility models;  Mathematics: Brownian motion, stochastic calculus and stochastic processes, Ito calculus;  Computing: Object-oriented design in Java; data analysis and modeling in Matlab UNIVERSITY OF TORONTO, ST. GEORGE GPA: 3.97/4.0 Toronto, ON Honors B.S. in Statistics with High Distinction, Minor in Mathematics (2009 – 2013)  Honors: The Bryson Scholarship in Actuarial Science (2013); Dorothy Walters Scholarship (2012); Dean’s List for High Academic Performance (2010 – 2013) EXPERIENCE Morgan Stanley New York, NY Summer Analyst in Strats and Modeling Division, Credit Desk Strats (June 2014 – August 2014)  Created a corporate bond RFQ (request-for-quote) quoting strategy framework based on RFQ sizes and public order book information on exchange using clustering analysis  Query data from in-house database and joined tables from different servers through KDB/Q  Implemented and presented the two dimensional quoting strategy sheet for RFQ using R University of Toronto Toronto, ON Statistical Consultant, Department of Statistics (September 2012 – May 2013)  Collaborated with students and researchers from Department Biology; provided statistical consultation regarding efficiency of pollen transfer through plant intermingling  Discovered a fitted model for the data by local smoothing and bootstrap using SAS and R Soochow Securities Co., Ltd Jiangsu, CHINA Summer Intern, Investment Banking Department (June 2012 – August 2012)  Conducted a research project aiming at discovering potential factors that influenced the issue price of an IPO by the method of regression using R  Presented the estimated issue price of a new IPO before it was settled and publicized PROJECT Interest Rate and FX Modeling in Matlab New York, NY  Constructed yield curve by using interest rate instruments, such as CD, futures and swaps;  Calibrated SABR model for FX options to construct volatility surface using event weighted scheme to take weekends and events into account Trading Simulation Framework in Java New York, NY  Established Monte Carlo based framework to price European and Asian options by antithetic method to reduce variance  Implemented order book simulations with basic order fill mechanics Risk & Portfolio Management in Matlab New York, NY  Constructed optimal long-short and long-only equity portfolios by CAPM and BlackLitterman model based on 15-year historical data of 646 stocks using Mean-Variance Optimization  Performed PCA analysis on treasury maturity rate changes, stock returns and stock volumes COMPUTER SKILLS/OTHER Programming: Java, C, C++, VBA; Other Software: Matlab, R, SAS, KDB/Q Certificate: Society of Actuary: Exam P (2011); FM (2011); MLC & MFE (2012); C (2013); VEE Lin Shi 444 Washington Blvd, Apt 4314 ▪ Jersey City, NJ 07310 ▪ (917) 708-0200 ▪ lin.shi@nyu.edu EDUCATION NEW YORK UNIVERSITY New York, NY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance (expected – January 2015) • Finance: Black-Scholes, Monte Carlo simulations, VaR, CAPM, portfolio optimization • Math: Linear regression and inference, Brownian motion • Computing in Java: object-oriented design, data structure NANJING UNIVERSITY BS in Physics and BEcon in International Finance (July 2011) Nanjing, China EXPERIENCE SOCIÉTÉ GÉNÉRALE CIB Hong Kong, HK Summer Intern, Global Markets (May 2014 – present) • FX Derivatives Trading: priced CNH options using Local Volatility model, implemented a specific interpolation method in both VBA and C# to build the CNH volatility surface; • Cross Asset Solutions: studied and understood various structured products, analyzed investment solution for inflation; provided a framework for hedging tail risk; • Equity Index Trading: back tested the profitability of the HSI and HSCEI trading strategy • CVA Trading: assisted traders in daily risk management tasks by building tools to automate routine tasks BANK OF CHINA Beijing, China Analyst, Global Market Division (Aug 2011 – Jan 2013) • Researched FX options pricing models and made localized modification for CNY options pricing methods • Monitored FX updates and conducted fundamental and technical analysis on FX markets • Prepared marketing materials and presented to corporate clients to promote FX products; assessed clients’ risk tolerance CHINA INTERNANTIONAL FUND MANAGEMENT CO.,LTD Beijing, China Intern, Sales Department (Jan 2009 – Feb 2009) • Implemented sales skills, identified potential clients, promoted stocks of China’s Growth Enterprise Markets (GEM), resulting in 40 new account openings PROJECTS RISK & PORTFOLIO MANAGEMENT IN MATLAB • Analyzed movements in the market variables using PCA; Conducted mean-variance optimization to construct optimal long-short equity portfolio MONTE CARLO SIMULATION • Priced European options and Asian options in JAVA by simulating continuous time process in a multi-threaded environment COMPUTER SKILLS/OTHER Programming Languages& Other Software: Python, JAVA, C#, MATLAB, VBA, SQL, MS Office Languages: Mandarin (native), English (fluent) HUACHEN SONG 465 Washington Blvd, Apt 2607S▪ Jersey City, NJ 07310 ▪ (917) 573-6472 ▪ huachen.song@nyu.edu EDUCATION NEW YORK UNIVERSITY New York, NY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance (expected – January 2015)  Finance: Black-Scholes model, Greeks, interest-rate models, FX models, local volatility model, stochastic volatility model, VaR, Copula model, digital options, variance swaps  Mathematics: stochastic calculus, backward and forward Kolmogorov equations, optimal control, jump diffusion processes, Dupire’s formula, linear regression  Programming: object-oriented design, design patterns, finite difference method TSINGHUA UNIVERSITY Beijing, China BS in Mathematical Sciences (August 2009 - July 2013)  Honors: Zhenggeru scholarship for academic excellence EXPERIENCE LINCOLN FINANCIAL GROUP Philadelphia, PA Quantitative Strategist Intern, Equity Risk Management Department (June-August, 2014)  Constructed IR curve in C++, calculated convexity adjustments for futures in Hull-White model, implemented 4 different interpolations and n-dimensional Newton-Raphson method under polymorphism and template design, to provide discount factor for the pricing engine  Acquired historical market data from Bloomberg in VBA, processed and loaded data into MySQL database, implemented similar automatic daily procedure in Perl for back testing  Completed the Hedge Trading System design, implemented data transmission among MySQL database, spreadsheet, memory and XML file in C#, to provide the traders with an Excel plugin using C++ runtime library as the pricing engine for options, futures and swaps  Performed C# code refactoring, implemented delegate and interface to generalize it, utilized data structure, range processing and LINQ to reduce runtime from 4 minutes to 2 minutes ZHONGSHAN SECURITIES Beijing, China Intern, Sales Department (July-August, 2012)  Collaborated in a three-person team to analyze financial statements of four companies per day, presented report on company performance to entire sales department PROJECTS Option Pricing with Monte Carlo Simulation (October 2013) New York, NY  Implemented Monte Carlo in Java to price arithmetic Asian option Interest Rate and Foreign Exchange Modeling (March-May 2014) New York, NY  Implemented yield curve construction using CD, futures and interest rate swaps, computed the partial PV01s for interest rate swaps to provide hedging strategies  Valuated the Libor in arrears swap and CMS considering convexity adjustment  Calibrated the SABR model for FX options to construct the volatility curve, utilized eventweighting scheme to take weekend effects into consideration COMPUTER SKILLS/OTHER Programming languages: C++, Java, SQL, C#, Perl, XML, LINQ Other Software: Microsoft Word, Excel, PowerPoint, R, MATLAB, VBA, Python, Linux Languages: English (Fluent), Mandarin (Native) NIANHUI (ELLA) SONG 423 W 118th Street, Apt. 3D, New York, NY, 10027, 646-469-3512, nianhui.song@nyu.edu EDUCATION NEW YORK UNIVERSITY New York, NY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance (expected – December 2014) Mathematics: Linear Regression, PCA, Ito’s Calculus, PDE, SDE, Brownian motion, Martingales Derivative Securities: Black-Scholes pricing models, Greeks, Interest rate and FX models Portfolio Management: Efficient frontiers, Mean-Variance Optimization (MVO), Black-Litterman model, Factor models, Value at Risk Future Courses: Time Series Analysis and Statistical Arbitrage, Advanced Econometric Modeling EMORY UNIVERSITY, Chemistry Department Atlanta, GA Ph.D. in Physical Chemistry (September 2008 – August 2013) Thesis: “Single Quantum Dot Electron Transfer Dynamics” Published 14 peer reviewed journal papers, presented at two international conferences UNIVERSITY OF SCIENCE AND TECHNOLOGY OF CHINA (USTC) B.S. in Material Physics (September 2004 – July 2008) GPA: 3.85/4.30. Math GPA: 4.2/4.3. Rank in class: 1/27 WORK EXPERIENCE Hefei, China SMBC Capital Markets New York, NY Summer Intern in Quantitative Research Group (June 2014 – Present) Explored different approaches to quantify fair values of volatility skew in interest rate derivatives: Optimized daily P&L of arbitrary portfolios to predict future volatility skews Proposed and implemented different local-stochastical volatility models to simulate option prices and extract implied volatilities using Black’s formula Supported daily trading activities: Maintained trading books and monitored trading risks; Developed programs (VBA) to improve trading book functionality and to manipulate trading records Emory University Atlanta, GA Research Assistant (September 2008 – August 2013) Developed methodology to study jump processes in light emitting nanoparticles and quantified stochastic transitions between different physical states Implemented Maximum Likelihood Analysis to analyze exponentially distributed data ACADEMIC PROJECTS Efficient Frontier Construction and Portfolio Optimization (Fall 2013) Cleaned 15 years of daily return data of 500 stocks; Predicted expected returns using CAPM and Black-Litterman models; Estimated covariance matrix using historical correlation between stocks Conducted MVO to construct efficient frontiers and optimized portfolios Tutorial on Robust Asset Management (Spring 2014) Documented robust mean variance optimization methodology utilized in asset management Applied saddle-point algorithm to robust MVO and constructed more conservative efficient frontier compared with traditional MVO. Cluster Analysis of Hedge Fund Indices (Spring 2014) Applied hierarchical method on 10 CISDM hedge fund monthly indices to group the assets Constructed a dendrogram of the analysis and identified 4 groups based on asset correlations COMPUTER SKILLS AND OTHER Programming Languages: VBA, Java, C++, Matlab Certification: CFA Level II Candidate HUANG SUN 30 Newport Parkway, Apt#2506 ■Jersey City, NJ 07310 ■+1 (917) 940-9358 ■huang.sun@nyu.edu EDUCATION NEW YORK UNIVERSITY New York, NY The Courant Institute of Mathematical Sciences MSc in Mathematics in Finance (expected - January 2015)  Finance: Black-Scholes and the Greeks, Derivatives Pricing, Mean-Variance Optimization, Black-Litterman Model, CAPM, Duration and Convexity, Value at Risk, mortgage-backed securities, FX models  Mathematics: Brownian Motion, Ito Calculus, Martingale, Linear Regressions, Monte-Carlo Simulation WUHAN UNIVERSITY Wuhan, China BA in Economics and BSc in Mathematics, Overall GPA: 3.85 (completed - June 2013)  Relevant Courses: Probability, ODE, Financial Economics, Macroeconomics, Econometrics  Honors: First-class Scholarship of Wuhan University (5%), 2010, 2011; Meritorious Winner of 2012 Mathematical Contest in Modeling (9%), 2012; Outstanding Graduates of Wuhan University (5%), 2013  Study Abroad: National University of Singapore; Financial Accounting, Corporate Finance EXPERIENCE CDB CAPITAL Beijing, China Summer Analyst, Direct Investment Division (July 2014-August 2014)  Yield Curve Trading Strategies: PCA on decomposition of Bond Yield Curve and Corporate Bond Pricing  Bayesian Arbitrage Strategy: executed with CSI 300 Index Futures, Shanghai Copper & Aluminum Commodity Futures  Pair Trading Strategy: strategy based on coefficient of determination between individual stock and industry ROUBINI GLOBAL ECONOMICS New York, US Intern, Latin American Research Group (January 2014-April 2014)  Followed and summarized Latin American macroeconomic news and research reports. Provided support to the Latin American coverage team economists  Assisted on data management (with Bloomberg Terminal, Haver and Eviews), and formed short written analysis on weekly market update  Built interest rate curves for Brazil to forecast its Open Market Committee interest rate decision CHINA INTERNATIONAL CAPITAL CORPORATION (CICC) Beijing, China Intern, Debt Capital Market (January 2013-February 2013)  Worked on deals with DCM team; gained exposure to different debt types and industries  Staffed on a 1-billion CNY private debt offering deal. Discussed note’s term structure with clients, promoted note’s credit rating, compiled reports for internal compliance and prepared documents for regulators  Prepared pitch books for potential debt offering opportunities for urban development investment companies PROJECTS Excellence Award in Morgan Stanley HPC in Finance Challenge (November 2011)  Optimized a portfolio of 1 million USD invested in European exotic options with one-year maturity, based on GARCH model and Monte-Carlo simulation in MATLAB and EViews  Summarized portfolio’s daily P&L. Revised the model to contain risk considerations  Five-day gross return of the portfolio was ranked top 15 out of 72 teams COMPUTER SKILLS/OTHER     Computer Skills: Proficient in Microsoft Office, Bloomberg, JAVA, MATLAB, Haver and EViews Language: Mandarin (native), English (fluent) Certificate: Passed CFA Level 1 in June 2012 Hobbies: Piano, Tennis ZIQING (MICHAEL) TANG 255 Warren St., Apt. 806 • Jersey City, NJ 07302 • (201) 682-1469 • zt351@nyu.edu EDUCATION NEW YORK UNIVERSITY New York, NY The Courant Institute of Mathematical Sciences Master of Science in Mathematics in Finance Dec 2014  Math & Finance: Itō calculus, Black-Scholes applications, quantitative trading strategies, portfolio optimization  Computing: test-driven software development, distributed computing, multithreading  Future coursework: Advanced Econometric Modeling and Big Data, Time Series Analysis and Statistical Arbitrage UNIVERSITY OF TORONTO Toronto, Canada B.A.Sc. in Engineering Science with Honors: Major in Engineering Mathematics, Statistics and Finance May 2013  Project: Optimal execution model (Almgren-Chriss), finite difference method for Black-Scholes PDE  Relevant coursework: Financial Optimization Models, Financial Trading Strategies, System Software EXPERIENCE LINCOLN FINANCIAL GROUP Philadelphia, PA Summer Intern – Trading Strategy Jun 2014 – Aug 2014  Developed back-testing algorithms for hedging strategies and systematic trading signals to improve current hedging performance for Lincoln’s variable annuity (VA) guarantees  Researched and replicated a market risk indicator that incorporates volatility information from equity, currency and credit markets, helping make better trading decisions on timing  Performed ad-hoc tasks including automating the process of generating daily market dashboard from Bloomberg, vetting fund performance reports and existing fund mapping analysis in R SIGNAL TECHNOLOGIES, LLC New York, NY Spring Intern – Algorithmic Trading Jan 2014 – May 2014  Developed and optimized the back-testing framework of the firm’s proprietary algorithmic trading system in Python  Back tested the trading strategy with two years of high frequency data to find the appropriate parameters for generating trading signals HYDRO ONE NETWORKS Toronto, Canada Student Intern – Asset Analytics Sept 2011 – Aug 2012  Developed tools and processes for rationalizing asset databases, supporting a corporate-wide asset analytics project that aims to achieve cost-effective maintenance practices  Identified gaps in business process for updating database and implemented remedial actions, ensuring accuracy and completeness of corporate information PROJECT NEW YORK UNIVERSITY  Option pricing in Java: Priced European and Asian options using Monte Carlo simulation with multithreading  Algorithmic trading: Built market impact model with high frequency trades and quotes data  Corporate bond trading strategy (in progress): Construct a dataset of relevant trading data for liquid U.S. corporate bonds, analyze and back test traditional bond trading strategies using empirical statistics and optimization techniques ADDITIONAL     Programming/Software: C/C++, Java, MATLAB, Python, MS Excel (VBA), Bloomberg, Morningstar Direct, Capital IQ Languages: English (Fluent), Mandarin (Native) Certification: 2015 Level II Candidate in the CFA Program Investing: Canadian equity portfolio (+18.08%, Aug 2012 – May 2013) LAI WEI 280 Marin Blvd., Unit 12N ▪ Jersey City, NJ 07302 ▪ (929) 271-9389 ▪ lai.wei@nyu.edu EDUCATION NEW YORK UNIVERSITY New York, NY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance (expected - January 2015)  Portfolio & Risk: statistical (PCA), explicit (Fama-French) & implicit (Barra) factor models, VaR, CVaR  Derivatives: Black-Scholes model, energy derivatives, options pricing, Monte Carlo simulation, Greeks UNIVERSITY OF MICHIGAN Ann Arbor, MI MS in Electrical Engineering (April 2013) , GPA: 3.97/4.00  Fellowship: University of Michigan Departmental Fellowship (full tuition waiver and monthly stipend) BS in Electrical Engineering (January 2011), GPA: 3.85/4.00  Award: Summa Cum Laude (graduated with the highest honor) EXPERIENCE NOMURA HOLDINGS Hong Kong Quant Investment Strategies Summer Intern (June 2014 – August 2014)  Designed a fund of 33 Taiwan funds for ING Group based on Sharpe ratio, Calmar ratio, correlation with risk parity portfolio, volatility control and market volatility/momentum-based risk filters in Matlab  Augmented funds with shorter history using their corresponding USD funds as proxies after FX hedging  Constructed a multi-asset portfolio of 15 ETFs by performing constrained principal component analysis; assigned weights based on factor exposure to the principal components and ranking of past dividend paid  Built a data acquisition framework to get data from Oracle Database and Bloomberg by Python and SQL  Replicated MSCI price and total return indices in Python with constituents data extracted from database  Designed a VIX trading signal involving Economic Policy Uncertainty Index, TED spread, PMI, and etc. FOUNDER SECURITIES Beijing, China Quantitative Strategy Summer Intern (July 2013 – August 2013)  Implemented a strategy using idiosyncratic volatility derived from the Fama-French three-factor model  Backtested 8 years of data from the China Stock Market; on average, the portfolio of stocks with the lowest idiosyncratic volatility outperformed that with the highest by 13% annually  Programmed in Matlab to evaluate monthly idiosyncratic volatility to guide the rebalancing of portfolios  Monitored portfolio risk by calculating 1-month 99% VaR through historical simulation of 4-year data CREDIT SUISSE FOUNDER SECURITIES (JOINT VENTURE) Beijing, China Corporate Finance Summer Analyst (May 2013 – June 2013)  Analyzed price trends and production data for different kinds of cargo ships to guide the issuance of stock for China Shipbuilding Industry Corporation PROJECTS Trading and Pricing Simulation Framework in Java and Matlab (2013 - 2014)  Established Monte Carlo simulations to price European and Asian options with specified stopping criteria  Implemented order book programs for stock exchange dealing with FOK, IOC and ordinary limit orders  Priced a spread option between PJM peak power and Henry Hub natural gas contracts in Matlab Portfolio Management in Matlab (Fall 2013)  Constructed optimal long-short equity portfolios by mean-variance optimization and CAPM COMPUTER SKILLS  Matlab, Java, Python, SQL, Bloomberg, FactSet, Excel, VBA, Linux KUN WU 110 River Dr. Apt.2206, Jersey City, NJ 07310 ▪ (919) 889-4216 ▪ kun.wu@nyu.edu EDUCATION NEW YORK UNIVERSITY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance (expected – January 2015)    New York, NY Finance: Black-Scholes PDE, risk-neutral measure, Greeks, term-structures of interest rates, factor and principal-component models, mean-variance optimization, VaR,/CVaR Mathematics: Ito's lemma, martingales, Brownian motion, SDE, reflection principle Programming: Order book simulation, OOP, design patterns, test driven development NORTH CAROLINA STATE UNIVERSITY Raleigh, NC PhD in Physics (August 2008 - August 2013)  Dissertation Topic: Computational research on semiconductor defect structures  Publication: Six papers published in academic journals SHANGHAI JIAO TONG UNIVERSITY BS in Physics & Optics (September 2004 - July 2008) Shanghai, China EXPERIENCE Bank of America Merrill Lynch New York, NY Summer Associate (June 2014 – August 2014)  Applied Principal Component Analysis (PCA) to swaption volatility surface movement  Achieved higher accuracy of MBS daily P&L attribution by testing new methodologies  Designed and implemented a graphic user interface for CMO trading desk to parse trading records and perform customized P&L attribution Hermes Capital Advisors New York, NY Quantitative Intern (January 2014 – March 2014)  Modeled stock price mean-reverting behavior with Ornstein–Uhlenbeck (Vasicek) process  Developed and tested algorithms to detect/forecast inter-day trends in stock prices PROJECTS Stock Option Pricing (October 2013 – December 2013)  Priced European and Asian options using Monte Carlo simulation with antithetic stock paths  Enhanced the simulation with middleware and multithreading approach separately  Applied trinomial tree and explicit scheme for American option pricing SKILLS/OTHER Programming Languages: Java , Python, C++ Other Software: MATLAB, Mathematica, Linux operating system, Microsoft Office, SAS, Latex Languages: Mandarin (fluent), English (fluent) Interests: Sailing, Skiing, Hiking, Camping, Table Tennis LINGYU WU 425 Washington Blvd. Apt 1403 ▪ Jersey City, NJ 07310 ▪ (240) 888-6281 ▪ lingyuwu@nyu.edu EDUCATION New York, NY NEW YORK UNIVERSITY The Courant Institute of Mathematical Sciences M.S. in Mathematics in Finance (expected – December 2014) GPA: 3.96/4.00  Quantitative Finance: Black-Scholes model, Markov processes, Stochastic calculus, Feynman-Kac formula, HJB equation, numéraire , pricing theory, quanto and composite options, barrier options, short-rate models, LIBOR market model, SABR model, regression analysis  Computing: Object-oriented design, test-driven development, data structures, scientific computing  Future coursework: credit models, time series analysis, statistical arbitrage College Park, MD UNIVERSITY OF MARYLAND M.S. in Electrical Engineering (graduated – May 2013) GPA: 3.90/4.00  Research: Theoretical statistics; generalized Stam inequalities on Fisher information  Coursework: Stochastic processes, mathematical statistics, probability theory, real analysis, PDEs Beijing, China TSINGHUA UNIVERSITY B.S. in Mathematics and Physics (graduated – July 2011) GPA: 90% EXPERIENCE New York, NY CREDIT SUISSE GROUP AG. Summer Associate, Quantitative Strategies (June 2014 – August 2014)  Studied toxicity of dealer-to-customer order flows on US Treasuries, processed 2 year’s RFQ trades data, related price change after a transaction to its size, aggressiveness and customer identity  Collaborated with Treasuries desk and Quantitative Market Making team, applied the toxicity model and aggregated price impact into information for determining markups and managing inventory  Developed model to match RFQ done-away trades with public database to uncover trade prices  Lectured by quantitative modelers from various asset classes, built spreadsheet routines for yield curve construction and pricing of swaps, CMS, swaptions, CMO, CDS, etc. College Park, MD UNIVERSITY OF MARYLAND Graduate Teaching Assistant (August 2011 – May 2013)  Assisted teaching three junior courses: Probability Theory, Electromagnetics, Signals and Systems  Gave lectures, led weekly discussions and advised student projects on various technical topics  Received good feedback and a top overall evaluation score 3.76/4 (university average 2.62/4) Shenzhen, China GUOSEN SECURITIES CO. LTD. Summer Intern, Financial Engineering Division (May 2012 – August 2012)  Implemented momentum trading strategies using C++ for CSI 300 stock market index futures; optimized position management to double the simulation returns  Researched effective arbitrage patterns for CSI 300 index futures and ETFs; presented reports on position management and tracking error estimates and controls PROJECTS OPTION PRICING SIMULATION IN JAVA  Established Monte Carlo based framework in path-dependent options pricing  Implemented antithetic method and distributed computing using ActiveMQ to improve efficiency COMPUTER SKILLS/OTHER Programming: Other Software: Language: Java (intermediate), C++ (intermediate) MATLAB (intermediate), Python (beginner), Mathematica (beginner) English (fluent), Mandarin (native) YUXI (DAISY) WU 425 Washington Blvd, Apt #2201 ▪ Jersey City, NJ, 07310 ▪ (917) 940-4726 ▪ yuxi.wu@nyu.edu EDUCATION New York University New York, NY Courant Institute of Mathematical Sciences MS in Mathematics in Finance (expected – Jan 2015)  Mathematics: Black-Scholes, Monte Carlo, Brownian Motion, Ito’s Lemma, Time Series Analysis  Finance: Portfolio Optimization, VaR, Greeks, CAPM, Mortgage Backed Securities, Interest Rate and FX, Financial Econometrics Wuhan University, Institute for Advanced Study Wuhan, China BSc in Mathematics & BA in Economics, GPA: 3.9/4.0, Ranked:10/120 (Sep 2009 – Jun 2013)  Honors: Excellent Student Scholarship (top 5%), Meritorious Student Awards (top 10%)  National Research Project (top 1%): Financing Difficulties of Small Enterprises in China EXPERIENCE Brandywine Global Investment Management Philadelphia, PA Quantitative Research, Intern (Jun 2014 – Aug 2014)  Built quantitative database by merging CRSP and Compustat Xpressfeed; analyzed Xpressfeed database structure in SQL server and proposed requirements for Quant database production  Matched portfolio accounts on EAGLE server with Quant database; modified portfolio positions and test accounts performance with multiple strategies  Researched on large capital 130/30 portfolios strategy, optimized risk-adjusted performance ZS Associates Shanghai, China Consulting Assistant, Intern (Jan 2013 – Apr 2013)  Worked with global pharmaceutical manufacturer to help consolidate and streamline operations  Built quantitative model for assessing company performance  Used data from 73 distributors to identify performance-related factors  Optimized factor weights and established valuation coordinate system  Designed complex Excel model for 417 indexes, processed and analyzed large data set Bank of China, International (BOCI) Beijing, China Investment Research Analyst, Intern (Jul 2012 – Aug 2012)  Analyzed market and financial data from over 80 public companies in FMCG industry using WIND  Researched and wrote report on the backdoor listing of Changjiang Media Group  Analyzed the tourism industry to assess growth potential, and presented advice to investors PROJECT Portfolio Optimization in MATLAB New York, NY Group Leader (Oct 2013)  Cleaned and analyzed 15 years’ daily data of 674 stocks from CRSP database using MATLAB  Calculated expected return with CAPM model and performed mean-variance optimization Quantitative Trading System for Commodity Futures Wuhan, China Leader; Champion among over 180 teams; was awarded $10,000 (Mar 2011 – Nov 2011)  Created high-frequency trading system based on statistical arbitrage and triple risk control  Developed commodity futures trading strategy, achieved 177% annual return  Proposed business plan as the product manager, signed cooperation contract with CIFCO COMPUTER SKILL/OTHERS Computer skills: Java, MATLAB, R, Excel, SQL, Python Interests: marathon, badminton, debate, photography, science fiction ZONGHAN (ERIC) YAN 235 West 48th Street, #23F ▪ New York, NY 10036 ▪ (646) 331-1659 ▪ zonghan.yan@nyu.edu EDUCATION NEW YORK UNIVERSITY New York, NY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance (expected – December 2014) • Mathematical Finance: portfolio management, Black-Litterman, risk measures, stochastic applications, fixed income, derivatives pricing, yield curve construction • Computing: options pricing, object-oriented design patterns, order book construction, data structures and algorithms UNIVERSITY OF WASHINGTON Seattle, WA BS in Applied and Computational Mathematical Sciences: Mathematical Economics BS in Economics, magna cum laude, (September 2009 – March 2013) • Annual Dean's List (2009 – 2013), Cumulative GPA: 3.90/4.0 • Selected to be a lead speaker to give an academic presentation at Department of Economics in 2012 Topic: Firm-size Distribution and Cross-Country Income Differences EXPERIENCE NOMURA Hong Kong Summer Analyst, Investment Banking (June 2014 – August 2014) • Conducted research, built comps, and prepared company and investor profiles • Proposed and presented financing structure and pricing/rationale for debt issuances in several projects • Established hedging strategies minimizing client’s foreign exchange risk exposure within debt capital market • Developed efficient searching strategies for pitching targets and provided the list of inaugural international high yield bonds candidates in Southeast Asia CHINA DEVELOPMENT BANK SECURITIES Beijing, China Summer Intern, Portfolio Management (May 2013 – August 2013) • Performed portfolio analysis for multiple accounts, implemented and maintained strategic asset allocation • Improved portfolio construction process, achieved risk reduction, and developed a stock price movement prediction model • Researched stocks in the Shanghai Composite Index and performed the equity analysis PROJECT NEW YORK UNIVERSITY New York, NY Active Portfolio Management (March 2014 – April 2014) • Applied Black-Litterman expected return and covariance matrix by Stein-type shrinkage approach to the process of portfolio optimization • Minimized estimation errors and reached more stable and efficient results given small sample size and large number of variables COMPUTER SKILLS/OTHER Computer Skills: Java, Matlab, R, Microsoft Office, Bloomberg, Dealogic, Capital IQ Certifications in Progress: Passed CFA Level I Exam (June 2012) Foreign Languages: Mandarin (Native) Leadership: Co-founder of University of Washington Chapter of Stock Investment Society (September 2012 – May 2013) KEMIN (EVELYN) YANG 425 Washington Blvd, Apt#2201 ▪ Jersey City, NJ 07310 ▪ 201-234-9279 ▪ kemin.yang@nyu.edu EDUCATION New York University New York, NY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance (expected – Dec 2014) GPA: 3.84/4.0  Math & Statistics: Brownian motion, martingales, Ito’s Lemma, PCA, regression analysis  Finance: put-call parity, Black-Scholes, Greeks, CAPM, mean-variance optimization, VaR  Programming: object-oriented design, data structure, portfolio optimization using MATLAB, option pricing by Monte Carlo simulation Renmin University of China Beijing, China B.Econ. in Finance & B.S. in Mathematics (Sep 2009 – Jun 2013) GPA: 3.80/4.0  Awards: National Scholarship (1%); 1st Prize Academic Excellence Scholarship (3%) EXPERIENCE Capula Investment Management London, UK Fixed Income Summer Intern (Jun 2014 – Aug 2014)  Global leading hedge fund focusing on fixed income relative value trading with AUM ~$10B  Created and maintained data processing tools and databases to improve traders’ efficiency to conduct short-end curve regression and to analyze basis curves, carry and roll down, net basis, and implied repo rate  Built a tool to complete monthly adjustment for 10 real-money portfolios twice successfully; selected and auto-grouped bonds into DV01-neutral sectors and calculated target position of the representative bond as well as other analytical data for each individual group  Calculated swaption volatility and learned to analyze and hedge relevant convexity trades Guosen Securities Corporation Limited Beijing, China Quantitative Analysis Intern (Aug 2012 – Apr 2013)  Developed a trading strategy of Linear Low Density Polythene (LLDPE) futures using MATLAB and SQL Server, with annualized return over 30% and information ratio over 1.5  Conducted real-money test with 93,000 RMB as a preliminary assessment of trading profitability for 6 months  Generalized and automated the analysis process of LLDPE futures trading strategy  Co-translated the active management “bible”, Active Portfolio Management, 2nd edition (McGraw-Hill, Richard C. Grinold and Ronald N. Kahn), published in 2014 PROJECTS Market Sentiment and Equity Return (Nov 2011 – Apr 2013) Beijing, China  Established structural Vector Autoregressive (SVAR) models to investigate sentimental influence of The Wall Street Journal on predicting returns in eight regional markets Interest Rate and FX Modeling (Feb 2014 – May 2014) New York, NY  Implemented yield curve construction using CD, futures, and interest rate swaps  Calibrated SABR model for FX options to construct volatility curve with event-weighting scheme to take the influence of weekends into account COMPUTER SKILLS/OTHER Software: MATLAB, VBA, Excel, Java, SPSS, SQL Server Languages: English (fluent), Mandarin (native), Cantonese (native) Leadership: Microfinance manager for EduCARE India; VP of RUC Security Investment Association ZEHUA YE 465 Washington Blvd, Apt 2607S ▪ Jersey City, NJ 07310 ▪ (347) 322-0726 ▪ zehua.ye@nyu.edu EDUCATION NEW YORK UNIVERSITY New York, NY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance (expected – December 2014)  Mathematics: Brownian motion, Ito’s calculus, Markov Chains, regression analysis, PCA  Finance: Black-Scholes, Greeks, portfolio optimization, VaR, interest rate models, local volatility model, stochastic volatility model  Programming: Object-oriented programming, Monte Carlo method, data structure Hong Kong University of Science and Technology Hong Kong, China B.Sc. in Applied Mathematics, Minor in Business (September 2009 – June 2013)  Honors & Awards: Dean’s List Award (2011) EXPERIENCE Luminus Management, LLC New York, NY Summer Analyst (Jun 2014 – Aug 2014)  Constructed a factor model using Matlab GUI to explore and visualize the risk factors to which the company’s energy portfolio is exposed both currently and during the crisis  Designed the algorithm to maintain and update portfolio information including daily PnL, trading records for the company’s largest portfolio in energy sector using VBA and SQL  Modeled the power price based on the weather conditions within the PJM footprint using quantitative methods; Interpreted the price spikes in July of 2010-2012 and August of 2010 Shanghai VStone Capital Co., Ltd. Shanghai, China Summer Intern (Jun 2012 – Aug 2012)  Conducted stress test using Matlab on company’s momentum trading strategy for CSI 300 stocks; Adjusted parameters and achieved 25% better simulated annual return  Built a multifactor model and conducted regression analysis on the exposure of company’s portfolio to various macroeconomic factors; Contextualized the results in a written report PROJECTS Computational Finance Projects (2013)  Built an option-pricing engine using Monte-Carlo simulation with antithetic stock paths (Java)  Designed algorithm to clean 15 years of data from CRSP, eliminated outliers using Hampel filter and conducted PCA-based covariance matrix estimation (Matlab) Asymmetric-Robust Value-at-Risk Modeling (2012)  Extracted and tested historical data within different periods using Bloomberg API and VBA  Conducted robust portfolio optimization using Asymmetric-Robust VaR model and generated over 30% better realized VaR on average than CVaR-based optimization model COMPUTER SKILLS/OTHER Programming Languages: Java, Python, C++ (beginner) Other Software: Bloomberg API, Microsoft Office, Matlab, VBA, R, SQL Languages: English (Fluent), Mandarin (Native) Interests: Marathon, Basketball YUE YU 465 Washington Blvd Apt 1407S, Jersey City, NJ 07310· (401)489-1257·york.yu@nyu.edu EDUCATION NEW YORK UNIVERSITY, New York, NY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance (expected graduation: January 2015)  Courses: Binomial trees, Black-Scholes, CAPM, factor and principal-component models, Brownian motion and Ito calculus, econometrics and statistical analysis of financial data, portfolio management BROWN UNIVERSITY, Providence, RI Bachelor of Science (September 2008 – May 2012) GPA (3.96/4.00)  Majors: Applied Mathematics-Economics (Finance track); Mathematics  Awards and Honors: Hartshorn-Hypatia Prize in Preparatory Mathematics; 2nd place in William Lowell Putnam Competition; Co-organizer of Brown University "Year of China" EXPERIENCE Cyrus Capital Partners New York, NY Quantitative Summer Analyst (June 2014 – August 2014)  Built risk and trading tools for Cyrus Capital Partners, a distressed securities investment advisor.  Monitored interest rate sensitivity metrics; expanded concept of duration to securities type such as common equity, defaulted bond, preferred stock and convertible bond.  Developed market volatility model based on Arbitrage Pricing Theory and Fama-French three factors.  Conducted fundamental analysis on target industries, i.e. global iron ore demand and supply. Taichi Capital New York, NY Fund of Funds Analyst (July 2012 – March 2013)  Arranged investor meetings and interviewed fund managers based on strategy and past performance  Exercised due diligence investigations and research on target fund emphasizing on risk/return profile  Constructed hedge fund/ private equity fund database and maintained company website  Compiled daily market report from hedge funds and private equity funds Jade Capital Management New York, NY/Shanghai, China Private Equity Summer Analyst (June 2011 – August 2011)  Focused on private equity investment target firm China Risk Finance, a private sector loan provider  Conducted analysis on market potential, competitiveness and future projections of firm profitability  Finished investment presentations and oversaw daily case progress, reporting to partners of JCM Brown Investment Group Providence, RI Research Committee Member (September 2008 –May 2012)  Bought and sold stocks through a weekly “proposal-counterproposal” process with real money (such as presenting buy proposal on CVS and Citigroup, and sell proposal on Cisco)  Researched and analyzed specific companies in the portfolio, using both fundamental and technical methods with S&P 500 as benchmark (diversification and value-oriented) COMPUTER SKILLS & LANGUAGES    Programming Languages: Matlab(intermediate); Java(intermediate);SAS(intermediate); C(intermediate); Python(basic); R(basic); VBA(basic) Other Software: Microsoft Excel(advanced); Word(intermediate); PowerPoint(intermediate) Languages : English(fluent); Mandarin(native); Cantonese(fluent) YULONG ZHANG 425 Washington Blvd, Apt# 2201, Jersey City, NJ, 07310 | 201-450-7201 | yulong.zhang@nyu.edu EDUCATION NEW YORK UNIVERSITY New York, NY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance, GPA 3.46 (Sep 2013 – expected Jan 2015)  Finance: Black-Scholes, Greeks, volatility smile/skew, duration, convexity, PV01, VWAP, market impact, optimal execution, short rate models (Vasicek, CIR, Hull-White), LIBOR market model  Mathematics: Linear regression, PCA, Markov chain, martingale, Ito’s lemma, OU process  Computing: Tick data processing, object oriented programming, data structures and algorithms, unit testing, ActiveMQ, multi-threading, order book mechanics, Monte-Carlo simulation South China University of Technology Guangzhou, China BS in Computer Science (Sep 2009 – May 2013)  Exchange Student at Polytechnic Institute of NYU for two years, GPA 3.81 (Sep 2010-May 2012)  Honors and Activities: Merit Scholarship, Dean’s Lists, Tutor of probability and calculus EXPERIENCE State Street Global Advisors Boston, MA Quantitative Equity Research Intern (Jun 2014 – Aug 2014)  As part of the multifactor alpha model consolidation, evaluated alpha signals in terms of data coverage, information coefficient, return spread, and other metrics  Developed portfolio analytic tools in the integrated environment of R and IBM Netezza for SSgA’s in-database analytic library  Wrote VBA script to automatically format signal test results and create charts from the output Signal Technologies, LLC New York, NY Quantitative Analyst Intern (Feb 2014 – May 2014)  Parsed 1.5 million SEC insider trading filings in Python and imported parsed data into database  Used regression to analyze relationship between these insider trading and stock returns Huatai Great Wall Futures Co., Ltd. Shenzhen, China Summer Analyst, Research Department (Jul 2012 – Aug 2012)  Assisted researchers to construct market neutral strategies that long stock portfolios and short CSI 300 index futures; backtest the strategy in MATLAB ACADEMIC PROJECTS Market Impact and Tick Data: Calibrated a market impact model similar to Almgren Chriss’s on 3-month TAQ data; determined optimal return frequencies to get rid of bid-ask bounce Monte Carlo Simulation in Java: Priced Asian and European options with object-oriented approach, antithetic decorator, ActiveMQ, multi-threading, and unit testing Interest Rate: Bootstrapped yield curve using forwards and swaps; used the curve to price Libor in arrears swap, callable swap, and CMS spread swap; performed PCA on treasury securities of various maturities Portfolio Optimization: Cleaned CRSP data and constructed portfolio using mean-variance optimization Movie Review Predicating Algorithm in C++: Designed an algorithm to predict movie reviews on scale of 1-5; trained and tested the algorithm on a dataset of 250MB; achieved average error of less than 0.8 COMPUTER SKILLS C++, Java, Python, MATLAB, SQL, R, Excel, VBA, MongoDB, Netezza, Linux (basic) YUTING (KRISTIN) ZHANG 30 Newport Parkway, Apt 2606 ▪ Jersey City, NJ 07310 ▪ (917) 940-8116 ▪ yuting.zhang@nyu.edu EDUCATION NEW YORK UNIVERSITY New York, NY The Courant Institute of Mathematical Sciences M.S. in Mathematics in Finance (expected – December 2014)  Mathematics: Stochastic calculus, Brownian motion, Martingales, Ito calculus  Quantitative Finance: Black-Scholes model, portfolio optimization, CAPM, binomial trees, linear regression, econometrics, VaR, risk management  Computing: Object-oriented programming, data structure, Monte Carlo simulation CENTRAL UNIVERSITY OF FINANCE & ECONOMICS Beijing, China B.S. in Mathematical Finance & Economics (graduated – July 2013)  Courses: Probability, statistics, real analysis, stochastic processes, macro/micro-economics  Honors: 2nd Prize in US Mathematical Contest in Modeling, Honor Graduate, 1st class scholarship  Projects: predictive modeling using data mining, BP neural network and genetic algorithm EXPERIENCE COHEN & STEERS CAPITAL MANAGEMENT New York, NY Quantitative Research Summer Analyst (June 2014 – Aug. 2014)  Worked closely with Portfolio Manager to improve existing asset allocation models  Run statistical test on time series data such as stationarity, look-ahead bias, outliers and robustness  Performed factor analysis using principle component analysis (PCA) and in-sample back-testing CITIBANK Beijing, China Wealth Management Intern (Oct. 2012 – Nov. 2012)  Worked with fund manager to provide investment and portfolio advice for clients  Communicated with prospective clients and organizing information on Citibank financial products DELOITTE TOUCHE TOHMATSU (DTT) Beijing, China Tax & Business Advisory Summer Intern (July 2012 – Aug. 2012)  Conducted research on Chinese tax regulatory policies, updated relevant changes to the audit team  Verified balance sheets and identified potential risk within the internal consulting project PROJECTS Portfolio Construction Using Mean-Variance Optimization in MATLAB New York, NY  Cleaned dirty data, optimized long-short, long-only equity portfolios, traced out efficient frontiers  Estimated covariance matrices and expected returns under CAPM and Black-Litterman model Market Risk Methodologies & VaR Models in Excel New York, NY  Filled missing data via interpolation, bootstrap, Brownian Bridge and regression-based infill  Measured VaR using Variance/Covariance, Historical Simulation and Monte Carlo approaches  Performed stress testing and back-testing over credit, FX, equity, commodity and IR time series SKILLS     Programming: Java (intermediate), C++ (intermediate), MATLAB (intermediate), Python (basic) Other Software: Excel, Access, R, Stata, Bloomberg Qualifications: Candidates for CFA Level II, FRM Part II Languages: English (fluent), Chinese Mandarin (native) The Mathematics in Finance Masters Program Courant Institute, New York University Academic Year 2014-2015 The curriculum has four main components: 1. Financial Theory and Econometrics. These courses form the theoretical core of the program, covering topics ranging from equilibrium theory to Black-Scholes to Heath-JarrowMorton. 2. Practical Financial Applications. These classes are taught by industry specialists from prominent New York financial firms. They emphasize the practical aspects of financial mathematics, drawing on the instructor’s experience and expertise. 3. Mathematical Tools. This component provides appropriate mathematical background in areas like stochastic calculus and partial differential equations. 4. Computational Skills. These classes provide students with a broad range of software skills, and facility with computational methods such as optimization, Monte Carlo simulation, and the numerical solution of partial differential equations. First Semester Practical Financial Applications Financial Theory and Econometrics Derivative Securities ___ Risk & Portfolio Mgmt. with Econometrics Second Semester Third Semester Advanced Risk Management ___ Interest Rate and FX Models ___ MBS and Energy Derivatives Fin. Eng. Models for Corp. Finance ___ Active Portfolio Management ___ Project and Presentation ___ Algorithmic Trading & Quant. Strategies ___ Time Series Analysis & Stat. Arbitrage Continuous Time Finance Mathematical Tools Stochastic Calculus Credit Markets and Models ___ Regulation & Regulatory Risk Models PDE for Finance Computational Skills Computing in Finance Scientific Computing Computational Methods for Finance ___ Advanced Econometric Modeling and Big Data Practical Training. In addition to coursework, the program emphasizes practical experience. All students do Masters Projects, mentored by finance professionals. Most full-time students do internships during the summer between their second and third semesters. See the program web page http://math.nyu.edu/financial_mathematics for additional information. MATHEMATICS IN FINANCE MS COURSES, 2014-2015 PRACTICAL FINANCIAL APPLICATIONS: MATH-GA 2752.001 ACTIVE PORTFOLIO MANAGEMENT Spring term: R. Lindsey Prerequisites: Risk & Portfolio Management with Econometrics, Computing in Finance. The first part of the course will cover the theoretical aspects of portfolio construction and optimization. The focus will be on advanced techniques in portfolio construction, addressing the extensions to traditional mean-variance optimization including robust optimization, dynamical programming and Bayesian choice. The second part of the course will focus on the econometric issues associated with portfolio optimization. Issues such as estimation of returns, covariance structure, predictability, and the necessary econometric techniques to succeed in portfolio management will be covered. Readings will be drawn from the literature and extensive class notes. MATH-GA 2753.001 ADVANCED RISK MANAGEMENT Spring term: K. Abbott Prerequisites: Derivative Securities, Computing in Finance or equivalent programming. The importance of financial risk management has been increasingly recognized over the last several years. This course gives a broad overview of the field, from the perspective of both a risk management department and of a trading desk manager, with an emphasis on the role of financial mathematics and modeling in quantifying risk. The course will discuss how key players such as regulators, risk managers, and senior managers interact with trading. Specific techniques for measuring and managing the risk of trading and investment positions will be discussed for positions in equities, credit, interest rates, foreign exchange, commodities, vanilla options, and exotic options. Students will be trained in developing risk sensitivity reports and using them to explain income, design static and dynamic hedges, and measure value-at-risk and stress tests. Students will create Monte Carlo simulations to determine hedge effectiveness. Extensive use will be made of examples drawn from real trading experience, with a particular emphasis on lessons to be learned from trading disasters. MATH-GA 2757.001 REGULATION AND REGULATORY RISK MODELS Fall term: K. Abbott and L. Andersen Prerequisites: Risk Management, Derivative Securities (or equivalent familiarity with market and credit risk models). The course is divided into two parts. The first addresses the institutional structure surrounding capital markets regulation. It will cover Basel (1, MRA, 2, 2.5, 3), Dodd-Frank, CCAR and model review. The second part covers the actual models used for the calculation of regulatory capital. These models include the Gaussian copula used for market risk, specific risk models, the Incremental Risk Calculation (single factor Vasicek), the Internal Models Method for credit, and the Comprehensive Risk Measure. MATH-GA 2796.001 MORTGAGE-BACKED SECURITIES AND ENERGY DERIVATIVES Spring term: G. Swindle and L. Tatevossian Prerequisites: basic bond mathematics and bond risk measures (duration and convexity); Derivative Securities, Stochastic Calculus. The first part of the course will cover the fundamentals and building blocks of understanding how mortgage-backed securities are priced and analyzed. The focus will be on prepayment and interest rate risks, benefits and risks associated with mortgage-backed structured bonds and mortgage derivatives. Credit risks of various types of mortgages will also be discussed. The second part of the course will focus on energy commodities and derivatives, from their basic fundamentals and valuation, to practical issues in managing structured energy portfolios. We develop a risk neutral valuation framework starting from basic GBM and extend this to more sophisticated multifactor models. These approaches are then used for the valuation of common, yet challenging, structures. Particular emphasis is placed on the potential pitfalls of modeling methods and the practical aspects of implementation in production trading platforms. We survey market mechanics and valuation of inventory options and delivery risk in the emissions markets. MATH-GA 2797.001 CREDIT MARKETS AND MODELS Fall term: V. Finkelstein Prerequisites: Computing for Finance, or equivalent programming skills; Derivative Securities, or equivalent familiarity with financial models; familiarity with analytical methods applied to Interest Rate derivatives. This course addresses a number of practical issues concerned with modeling, pricing and risk management of a range of fixed-income securities and structured products exposed to default risk. Emphasis is on developing intuition and practical skills in analyzing pricing and hedging problems. In particular, significant attention is devoted to credit derivatives. We begin with discussing default mechanism and its mathematical representation. Then we proceed to building risky discount curves from market prices and applying this analytics to pricing corporate bonds, asset swaps, and credit default swaps. Risk management of credit books will be addressed as well. We will next examine pricing and hedging of options on assets exposed to default risk. After that, we will discuss structural (Merton-style) models that connect corporate debt and equity through the firm’s total asset value. Applications of this approach include the estimation of default probability and credit spread from equity prices and effective hedging of credit curve exposures. A final segment of the course will focus on credit structured products. We start with cross-currency swaps with a credit overlay. We will next analyze models for pricing portfolio transactions using Merton-style approach. We also will discuss portfolio loss model based on a transition matrix approach. These models will then be applied to the pricing of collateralized debt obligation tranches and pricing counterparty credit risk taking wrong-way exposure into account. MATH-GA 2798.001 INTEREST RATE AND FX MODELS Spring term: L. Andersen and A. Gunstensen Prerequisites: Derivative Securities, Stochastic Calculus, and Computing in Finance (or equivalent familiarity with financial models, stochastic methods, and computing skills). The course is divided into two parts. The first addresses the fixed-income models most frequently used in the finance industry, and their applications to the pricing and hedging of interest-based derivatives. The second part covers the foreign exchange derivatives markets, with a focus on vanilla options and first-generation (flow) exotics. Throughout both parts, the emphasis is on practical aspects of modeling, and the significance of the models for the valuation and risk management of widely-used derivative instruments. FINANCIAL THEORY AND ECONOMETRICS: MATH-GA 2707.001 TIME SERIES ANALYSIS AND STATISTICAL ARBITRAGE Fall term: F. Asl and R. Reider Prerequisites: Derivative Securities, Scientific Computing, and familiarity with basic probability. The term "statistical arbitrage" covers any trading strategy that uses statistical tools and time series analysis to identify approximate arbitrage opportunities while evaluating the risks inherent in the trades (considering the transaction costs and other practical aspects). This course starts with a review of Time Series models and addresses econometric aspects of financial markets such as volatility and correlation models. We will review several stochastic volatility models and their estimation and calibration techniques as well as their applications in volatility based trading strategies. We will then focus on statistical arbitrage trading strategies based on cointegration, and review pairs trading strategies. We will present several key concepts of market microstructure, including models of market impact, which will be discussed in the context of developing strategies for optimal execution. We will also present practical constraints in trading strategies and further practical issues in simulation techniques. Finally, we will review several algorithmic trading strategies frequently used by practitioners. MATH-GA 2708.001 ALGORITHMIC TRADING AND QUANTITATIVE STRATEGIES Spring term: P. Kolm and L. Maclin Prerequisites: Computing in Finance, and Capital Markets and Portfolio Theory, or equivalent. In this course we develop a quantitative investment and trading framework. In the first part of the course, we study the mechanics of trading in the financial markets, some typical trading strategies, and how to work with and model high frequency data. Then we turn to transaction costs and market impact models, portfolio construction and robust optimization, and optimal betting and execution strategies. In the last part of the course, we focus on simulation techniques, back-testing strategies, and performance measurement. We use advanced econometric tools and model risk mitigation techniques throughout the course. Handouts and/or references will be provided on each topic. MATH-GA 2751.001 RISK AND PORTFOLIO MANAGEMENT WITH ECONOMETRICS Fall term: P. Kolm. Spring term: M. Avellaneda Prerequisites: univariate statistics, multivariate calculus, linear algebra, and basic computing (e.g. familiarity with Matlab or co-registration in Computing in Finance). A comprehensive introduction to the theory and practice of portfolio management, the central component of which is risk management. Econometric techniques are surveyed and applied to these disciplines. Topics covered include: factor and principal-component models, CAPM, dynamic asset pricing models, Black-Litterman, forecasting techniques and pitfalls, volatility modeling, regimeswitching models, and many facets of risk management, both theory and practice. MATH-GA 2755.001 PROJECT AND PRESENTATION Fall term and spring term: P. Kolm Students in the Mathematics in Finance program conduct research projects individually or in small groups under the supervision of finance professionals. The course culminates in oral and written presentations of the research results. MATH-GA 2791.001 DERIVATIVE SECURITIES Fall term: M. Avellanda. Spring term: B. Flesaker An introduction to arbitrage-based pricing of derivative securities. Topics include: arbitrage; risk-neutral valuation; the log-normal hypothesis; binomial trees; the Black-Scholes formula and applications; the Black-Scholes partial differential equation; American options; one-factor interest rate models; swaps, caps, floors, swaptions, and other interest-based derivatives; credit risk and credit derivatives. MATH-GA 2792.001 CONTINUOUS TIME FINANCE Fall term: P. Carr and A. Javaheri. Spring term: B. Dupire and F. Mercurio Prerequisites: Derivative Securities and Stochastic Calculus, or equivalent. A second course in arbitrage-based pricing of derivative securities. The Black-Scholes model and its generalizations: equivalent martingale measures; the martingale representation theorem; the market price of risk; applications including change of numeraire and the analysis of quantos. Interest rate models: the Heath-Jarrow-Morton approach and its relation to shortrate models; applications including mortgage-backed securities. The volatility smile/skew and approaches to accounting for it: underlyings with jumps, local volatility models, and stochastic volatility models. MATHEMATICAL TOOLS: MATH-GA 2706.001 PDE FOR FINANCE Spring term: R. Kohn Prerequisite: Stochastic Calculus or equivalent. An introduction to those aspects of partial differential equations and optimal control most relevant to finance. Linear parabolic PDE and their relations with stochastic differential equations: the forward and backward Kolmogorov equation, exit times, fundamental solutions, boundary value problems, maximum principle. Deterministic and stochastic optimal control: dynamic programming, HamiltonJacobi-Bellman equation, verification arguments, optimal stopping. Applications to finance, including portfolio optimization and option pricing -- are distributed throughout the course. MATH-GA 2902.001 STOCHASTIC CALCULUS Fall term: J. Goodman. Spring term: A. Kuptsov Prerequisite: Basic Probability or equivalent. Discrete dynamical models: Markov chains, one-dimensional and multidimensional trees, forward and backward difference equations, transition probabilities and conditional expectations. Continuous processes in continuous time: Brownian motion, Ito integral and Ito’s lemma, forward and backward partial differential equations for transition probabilities and conditional expectations, meaning and solution of Ito differential equations. Changes of measure on paths: Feynman-Kac formula, CameronMartin formula and Girsanov’s theorem. The relation between continuous and discrete models: convergence theorems and discrete approximations. COMPUTATIONAL SKILLS: MATH-GA 2041.001 COMPUTING IN FINANCE Fall term: E. Fishler and L. Maclin This course will introduce students to the software development process, including applications in financial asset trading, research, hedging, portfolio management, and risk management. Students will use the Java programming language to develop object-oriented software, and will focus on the most broadly important elements of programming - superior design, effective problem solving, and the proper use of data structures and algorithms. Students will work with market and historical data to run simulations and test strategies. The course is designed to give students a feel for the practical considerations of software development and deployment. Several key technologies and recent innovations in financial computing will be presented and discussed. MATH-GA 2043.001 SCIENTIFIC COMPUTING Fall term: A. Rangan. Spring term: Y. Chen Prerequisites: multivariable calculus, linear algebra; programming experience strongly recommended but not required. A practical introduction to scientific computing covering theory and basic algorithms together with use of visualization tools and principles behind reliable, efficient, and accurate software. Students will program in C/C++ and use Matlab for visualizing and quick prototyping. Specific topics include IEEE arithmetic, conditioning and error analysis, classical numerical analysis (finite difference and integration formulas, etc.), numerical linear algebra, optimization and nonlinear equations, ordinary differential equations, and (very) basic Monte Carlo. MATH-GA 2045.001 COMPUTATIONAL METHODS FOR FINANCE Fall term: A. Hirsa Prerequisites: Scientific Computing or Numerical Methods II, Continuous Time Finance, or permission of instructor. Computational techniques for solving mathematical problems arising in finance. Dynamic programming for decision problems involving Markov chains and stochastic games. Numerical solution of parabolic partial differential equations for option valuation and their relation to tree methods. Stochastic simulation, Monte Carlo, and path generation for stochastic differential equations, including variance reduction techniques, low discrepancy sequences, and sensitivity analysis. MATH-GA 2046.001 ADVANCED EONOMETRIC MODELING AND BIG DATA Fall term: G. Ritter Prerequisites: Derivative Securities, Risk & Portfolio Management with Econometrics, and Computing in Finance (or equivalent programming experience). A rigorous background in Bayesian statistics geared towards applications in finance, including decision theory and the Bayesian approach to modeling, inference, point estimation, and forecasting, sufficient statistics, exponential families and conjugate priors, and the posterior predictive density. A detailed treatment of multivariate regression including Bayesian regression, variable selection techniques, multilevel/hierarchical regression models, and generalized linear models (GLMs). Inference for classical time-series models, state estimation and parameter learning in Hidden Markov Models (HMMs) including the Kalman filter, the Baum-Welch algorithm and more generally, Bayesian networks and belief propagation. Solution techniques including Markov Chain Monte Carlo methods, Gibbs Sampling, the EM algorithm, and variational mean field. Real world examples drawn from finance to include stochastic volatility models, portfolio optimization with transaction costs, risk models, and multivariate forecasting
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