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	By zhangaman, on 04/05/2010 18:56
	Views : 413
	Published in : Resumes, Finance

Education:

Rutgers, the State University of New Jersey Newark, NJ

Rutgers Business School, Master of Quantitative Finance May 2010

• Course works:

1. Probability and measure theory, stochastic calculus, financial modeling I & II, options/derivatives, fixed income, corporate finance / financial statement analyses, investment banking, risk management / stress test, numerical analysis
   1. Econometric modeling (time series, regression analysis), Monte Carlo simulation

• Proficient computational skills: Excel/VBA, MatLab, SAS(Certificated), C/C++/Java, SQL, S plus
• Course projects:

1. Filled in missing data by regression, Brownian bridge, etc. methods
   1. Back-tested CAPM, Fama-French model and momentum trading strategies using historical panel data, compared US market sector returns with their volatilities by MatLab
   2. Weighed SLB and HAL's economical comparative advantages as of end of 2008 by studying their 10-k statements, comparing financial ratios and forecasted their pro forma statements
   3. Analyzed PFE/WYE merger & acquisition (2009), A123 company IPO (2009), Marvel Entertainment Group's bankruptcy and restructuring (1997)
   4. Simulated interest rate derivatives and equity derivatives pricing in lattice structure
   5. Constrained optimization for asset allocation and risk minimization
   6. Employed VaR methodology by historical variance-covariance matrix, historical simulation and Monte Carlo simulation methods
      1. Performed model validation according to OCC 2000-16 on an ARIMA model
   7. Numerical integration by Monte Carlo methods, finite difference methods for Partial Differential Equations
      1. Investigated statistical arbitrage trading strategies (pair, mean reversion) by cointegration with MatLab; explored the difference between forecasted and realized P&L

University of North Texas Denton, TX

Ph.D. in Engineering May 2004

Dissertation: Synthesis and characterization of special xerogels for microelectronics

Experience:

Ferro Corporation Penn Yan, NY

Process Engineer 2004-2008

• Applied statistic methods (SPC) to effectively reduce raw material variation by over 90%
• Modeled in-house production process, identified key parameters for stability by regression
  • Increased client’s production yield by technical support, improved customer satisfaction

University of North Texas Denton, TX

Research Assistant 2000-2004

• Initiated a new process for microelectronics, modeled related material’s properties, and its potential impact on devices

Additional:

• US Permanent Resident
• Excellent communication skills
• CFA candidate
• Student member of IAFE

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Last update : 04/05/2010 18:56

Keywords : fixed income, equity, credit, interest rate, model validation, structural finance

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