OBJECTIVES

Obtain a senior quantitative programmer position where I can maximize my skills and experience in programming math and quantitative finance.

SUMMARY OF QUALIFICATIONS

Offers more than eighteen years of working experience as an application developer/software engineer in a variety of environments investment bank front office financial research team software development and supporting division with vast number of users etc. . Possesses advanced degrees with strong backgrounds in mathematics numerical analysis/simulation computer science and quantitative finance. Demonstrates expertise in handling complex IT systems and excellent hands-on skills of different programming languages in different operating systems.

EXPERIENCE AND KNOWLEDGE

Stochastic calculus fixed income mathematics linear algebra probability and statistics regression machine learning Heatmap analysis time series analysis numerical methods linear algebra system of nonlinear equations polynomial interpolation/splines differential equations Monte Carlo simulation optimization

Fixed income Treasury/corporate bonds Mortgage/MBS/CMO/ABS collateral cash flow generation bond payment water fall interest rate derivatives break-even loss calculation tranche size optimization sensitivity analysis MBS pricing and risk management engine development OAS calculations interest rate curve and market par rate tweaks effective duration and convexity calculation P L stress testing VaR calculation implementation of loan level and pool level prepayment and default models mortgage data mining machine learning genetic algorithm classification/regression tree

Interest rate derivatives pricing models of swap FRA amortizing swap Cap/Floor swaption etc. interest rate curve construction methodologies volatility cube term structure of interest rates and interest rate model implementation interest rate path/economic path generation Monte Carlo simulation/Quasi-Monte Carlo simulation

Credit CDS and CDS Indices

Equity trading strategies Derivatives

COMPUTER SKILLS

C /C OO analysis design and implementation front and back ends over 15 years of expert-level working experience including SQL STL Boost data structure computational algorithms and C libraries construction application and maintenance .

Visual C GUI development MFC ATL COM IDL

C / .NET CLI Winform ADO.NET LINQ Syncfusion ReSharper

GNU C/C

VBA MS Excel/Excel Add-Ins Visual Basic

SQL ADO ODBC API Database design Stored Procedure

MATLAB Perl XML

NUnit test and Rhino Mocks

Design Patterns Data structures and algorithms

Server side programming and client side GUI development

Multithreading Boost.Thread C Multithreading classes MFC Multithreading classes pthreads and Windows thread APIs

Grid Computing DataSynapse GridServer 5.0 / Parallel Computing PDriver scripting CPPdriver implementation services design and development.

Databases MS SQL Server Oracle MS Access etc.

Platforms and Tools Unix Linux Windows Solaris HP-UX gdb MS Visual Studio windbg Purify make SVN CVS VSS

MAJOR SKILLS Years of experience

WORKING EXPERIENCE AND SELECTED PROJECTS

confidential

Senior Software Engineer

Selected achievements C C

Calculation Engine - Enhancement and maintenance of CDS/CDS Indices module and bond deal module. Implementation of FX derivative DLL wrapper. Maintenance of math library.

Led two series of lectures to junior developers on 1 Introduction of Fixed Income Mathematics 2 Numerical Methods Nonlinear equation solver one- and two-dimensional spline interpolation algorithms of matrix decomposition and eigenvalues error bounds and convergence analysis etc.

confidential

IT Solution Developer/Technical Lead

Selected achievements Visual C C /.NET SQL TD MBS Pricing/Risk Calculation System

Participated in the development of the MBS Pricing/Risk Engine OAS calculations interest rate zero curve and market data tweaks stress testing implementation of an Agency MBS pool prepayment model calculation of OAD OAC DV01s P L EOD risk parameter reporting. Fixed performance issues by re-implementing algorithms and data structures. For example modified the nonlinear equation solver to reduce the OAS calculation time by two-thirds.

Implemented revised and maintained classes in the C math library Linear algebra modules solver of nonlinear equations curve fitting and spline interpolation modules solver of differential equations Monte Carlo simulator etc.

Input data System Created implemented and maintained tools and SQL Server 2008 database to routinely retrieve organize validate and store input data including a variety of security prices rates vols MBS data etc. The data sources include Bloomberg ftp server TD market data file server many other data vendors and websites.

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Quantitative Research and Analytics

Senior Software Engineer/Quantitative Developer

Selected achievements Visual C GNU C C SQL VB/VBA MATLAB Perl

Moody s Mortgage/Auto Loan Metrics A model for assessing the risks and credit enhancement levels of residential mortgage loan/auto loan pools used by the internal rating team and external securitization teams and trading desks.

a Enhanced and maintained the software of all internal and external releases for the model. Helped quantitative analysts and researchers of quant group write custom code for different research purposes. Involved customer support work to address issues from different trading desks.

b Enhanced and maintained part of the C quantitative research library. For example enhanced and maintained valuation module of interest rate swaps. Implemented and researched algorithms for Monte Carlo simulator. Re-coded data interpolation classes to improve performance. Re-coded matrix decomposition class with improved numerical algorithm to achieve better results.

c Implemented the module of economic path generator simulation of two-factor Cox-Ingersoll-Ross short rate model calculation of bond prices and mortgage rates simulation of home price index and unemployment rate .

e Redesigned and coded the calculation engine in an object-oriented pattern through a new implementation of different functions of static/dynamic factors of prepayment and default models to merge subprime and prime models from the separate legacy code. Designed and coded the interface of the calculation engine class library shared by several applications and solved issues of class interdependency.

Moody s RMBS Information System single-person project from modeling to implementation Designed and implemented a system by developing a non-parametric statistics approach with a machine learning algorithm classification tree method to evaluate the performance of a RMBS pool under a stressed scenario. The data of approximately 15 million loans in the Moody s RMBS Trustee database was used to establish the system. This work is currently being prepared for publication.

Overcollateralization Model of RMBS optimization of a nonlinear system

Implemented the model for use in mortgage pool securitization. Worksheets and VBA/C modules included collateral cash flow generation bond payment water fall interest rate derivatives break-even loss calculation tranche size optimization stress testing sensitivity analysis etc. Actively interacted with rating analysts for different requirements.

Pool Comparison A program used to compare characteristics between different mortgage pools using a statistics algorithm of classification and regression trees single-person project .

Designed architecture of the application Tree/Node architecture interaction with mortgage database and pool files loan attribute abstraction data structure sorting and searching algorithms tree graph output GUI demo etc. . Researched different grouping algorithms for non-ordered categorical variables and coded this part using Genetic Algorithm. Extended application to other asset classes student loans auto loans credit card loans etc. .

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Development

Software Developer

Worked on projects for various clients as assigned 95 were in-house development . Completed entire development life cycles for several projects including PI Processbook 1.3-3.1 Trend Control 1.0 PipeSystem 1.0-3.0 Visual C C /.NET SQL Perl VBA XML .

Member of a team that developed PI ProcessBook from version 1.3 to 3.1. Participated in new functionality design and coding maintenance and customer support solving different user issues such as code efficiency performance of SQL query and stored procedure user VBA script debugging etc. PI ProcessBook is a software package used for displaying comparing and analyzing large sets of real-time industry process data from PI data servers and other relational databases SQL server Oracle Sybase . It consists of about one million lines of code in C Windows version and C Web version and supports about 100 000 users worldwide.

Was responsible for a period of about two years for enhancement maintenance and customer support of two PI ProcessBook time series and statistics analyses add-ins SQC Statistical Quality Control and XYPlot. SQC automates the task of charting historic and real-time data of processes and of performing statistics calculations. Implemented many new statistical models and functions. XYPlot analyzes different types of data set pairs and calculates linear correlation lines correlation coefficients and other statistical parameters.

Participated in the design and implementation of a piping network simulation software. Constructed a mathematical model based on fluid mechanics theory. Designed and coded an analyses package at back end on a Unix workstation. Researched and tested several different algorithms for solving nonlinear systems of equations. The software proved to be a powerful tool for analyses and cost optimization for large piping network systems up to several hundred nodes and more than 10 000 equipment parts.

confidential

Programmer/Analyst

Analyzed enhanced maintained and was involved in customer support for BondMaster a financial software package with over one million lines of FORTRAN code on VAX and PRIME used by nearly one hundred corporate trust banks nationwide. Implemented fixed income analytics server bond analytics rates of return analytics CMO analytics etc.

Worked for Corporate Trust Desktop applications a C client-server support software package for BondMaster. Implemented Security Control Corresponding Management and Wire Control modules including design of GUI and relational database tables coding of SQL query and stored procedures.

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Software Engineer Consultant

Participated in software group. Coded for design and analyses software of heater exchangers and condensers in FORTRAN. Collected data of many different physical parameters needed in calculations such as viscosity of liquids and relative roughness of materials. Implemented data table files and reusable subroutines to calculate data curves or surfaces utilizing inter/extrapolation and function fitting algorithms.