Summary

• Over 8 years of professional experience in developing and implementing pricing and trading and risk models for a variety of financial instruments in fixed income, commodities, credit, equity, and derivatives.
• Over 6 year of professional experience in developing and implementing a variety of interest rate models, volatility trading models, commodity trading models, calibration, and optimization.
• Over 8 years of professional experience in C , Java, C , and VBA programming languages. Over 4 of professional experience Python, Perl programming. Strong experience in networking and multithreading programming.
• Over 10 years of professional experience in quantitative analysis using statistical methods, stochastic calculus, linear and nonlinear optimization, time series analysis, and garch modeling, support vector regression, lasso regression, data and text mining.

Work Experience

Senior Quantitative Developer

Confidential

• Research on large volume of tick data of equity, bonds, ETF, ADR, index futures, Treasury and sovereign bonds, and CDS, commodity futures, currency, etc. Study the correlations, volatility, and co-movements among the above instruments.
• Develop statistical and time series models to predict high frequency equity, bond, and derivative prices based on research findings.
• Develop advanced forecast models including varying parameter regression, lasso regression, support vector regression, and data mining methods to provide better and robust models.
• Research and implement yield curve and commodity forward curve construction, implement interest rate and volatility models to price fixed income and equity index derivatives.
• Provide necessary programs and implementation using Core Java, C , MTLAB, Python, and Oracle SQL.

Senior Quantitative Analyst

Confidential

• Designed and implemented pricing and risk models for equity derivatives, fixed income securities including corporate bond, convertible bond, and MBS using C , R, and Excel VBA.
• n using mean-variance, Black-Litterman, and Value at Risk, quadratic programming.
• Worked in the Wealth Management team to provide quantitative research and algorithms for the portfolio construction and optimization process proprietary data.
• Designed and implemented quantitative solutions for portfolio optimization, performance contribution, risk attributio
• Provided statistical analysis on a variety of portfolio analysis and factor attributions.

Quantitative Analyst contractor

Confidential

• Researched vary large volume of high frequency trading transactional data using data mining and statistical methods.
• Developed advanced models for transactional and margin risk.
• Developed SQL queries on daily basis for both production and ad hoc needs from UDB and Sybase.
• Designed and implemented advanced transaction and margin risk algorithm using advanced statistical and data mining algorithms, C , and VBA.
• Developed risk and monitoring reports using Java, SQL and Cognos.

Quantitative Developer

Confidential

• Researched and implemented high frequency statistical arbitrage trading strategies using C , Linear programming, and optimization algorithms.
• Developed and implemented interest rate models, commodity models, and volatility models to price a variety of interest rate derivative products including Teeasury Securities, MBS, and currency swap, vanilla and Bermudan swaptions, repos, and other fixed income securities using C , C , Java, and VBA.
• Supported the Treasury, MBD, Credit, and Commodity trading desk on quantitative modeling and pricing issues.
• Developed credit derivative pricing applications to price and lookup MBS, ABS, CDO tranches using c , Quantifi, and Intex API.
• Designed and implemented grid computing architecture to run risk scenarios and trading GUI ussing C , and Digipede.grid computing tool.
• Researched and developed statistical arbitrage algorithms for securities trading using Matlab, R, MS SQL Server.

Senior Financial Engineer contractor

Confidential

• Implemented interest rate model and subprime mortgage valuation model including prepayment and default using VC , Intex API, SAS, Matlab, Excel VBA, and Loan Performance data for the trading desk.
• Implemented ABS, CDO pricing model and sampling algorithms using c for the trading desk.
• Researched on ABS index ABX, House Price CSI index and future, rating methodologies of rating agency.

Quantitative Analyst

Confidential

• Developed in the pricing and risk analytics for whole loan mortgages, asset backed securities, and market value swaps using Excel VBA, VC , C , interest rate models, simulations, statistical analyses.
• Developed different reduced form models for credit derivatives including CDS and synthetic CDOs.
• Implemented algorithms for calculating PFE and counter party risk
• Develop and implement mortgage analytics algorithm and reports using C , C , Sybase, and Crystal reports.
• Prototype and implement new analytic and reporting system using TIBCO, JMS, JAVA, XML.

Quantitative Analyst

Confidential

• Supported the CDS trading desk on quantitative modeling and pricing issues.
• Worked on Credit Default Swap, Repo Curves, and Hedge scenario reports using Java and C , Oracle.
• Researched on and implemented a variety of Credit Risk Models including structural form models and relative value based approach.
• Researched on and implemented Markov switching models for credit spread changes and trading signals.
• Researched on and implement time series volatility models.

Senior Programmer

Confidential

• Maintained daily market databases using MS SQL server and MySQL databases on W2K and UNIX SUN Solaris platforms. Design and modeling database tables for new applications.
• Designed and implemented a variety of applications and tools in VC and PERL on Windows 2000 and Windows NT .
• Designed and implemented trading system, databases, statistical models, Excel VBA reports for the trading and hedging of fixed income portfolios.
• Implemented fixed income and credit modeling, pricing, and hedging algorithms using VC , PERL, Eclipse, Calypso.
• Supported the Treasury, CMO trading desk on quantitative modeling and pricing issues.
• Provided analytics algorithms and programs to implement Term Structure model for fixed-income products including Treasury, Agency, CMO, and swaps, and Credit derivatives.
• Developed applications for analytic and modeling using C , Java, and perl for bond portfolios.
• Developed daily hedge reports and prepayment reports using Perl, Visual Basic and VBA, Splus.
• Modeled and created databases for a variety purposes.