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**Unformatted text preview: **Class of 2018 Resume Book
Mathematics in Finance M.S. Program
Courant Institute of Mathematical Sciences
New York University
March 15, 2018 For the latest version, please go to
Job placement contact: Michelle Shin, (212) 998-3009
[email protected] 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,
We are pleased to provide you with the resumes of second semester students in the Courant Institute's Mathematics in
Finance Master's Program. They are in their second semester and will graduate from our Master’s program in December
2018. We hope you consider them for summer internship positions at your firm.
We believe our students are the most elite, the most capable, and the best trained group of students of any program. This
year, we admitted less than 8% of those who applied. The resumes you find here describe their distinguished
backgrounds. For the past ten 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 makes them 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, 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
portfolio management. 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 .
Sincerely yours,
Leif Andersen, Industry Adviser
Paul Bourgade, Chair
Petter Kolm, Director KUN JOO MICHAEL ANG
(646) 981-8143 ■ [email protected] EDUCATION
NEW YORK UNIVERSITY
New York, NY
The Courant Institute of Mathematical Sciences
MS in Mathematics in Finance (expected – Jan. 2019) Coursework: OOP in Java, stochastic calculus, dynamic asset pricing models, risk management,
derivative security pricing, Black-Litterman model Future Coursework: Algorithmic trading strategies, interest rate and FX models, portfolio
management and optimization, time-series analysis, continuous time finance
UNIVERSITY OF CAMBRIDGE (ST EDMUND’S COLLEGE)
Cambridge, United Kingdom
BA in Mathematics (2014 - 2017) Coursework: Optimization and control methods, stochastic financial models, analysis, numerical
analysis, statistical modeling, quantum mechanics, mathematical methods EXPERIENCE
NEW YORK UNIVERSITY
New York, NY
Teaching Assistant (Sep 2017 – present) Conducted recitations for 55 students Prepared lesson handouts, wrote and graded quizzes, explained intuition behind concepts.
UNIVERSITY OF CAMBRIDGE
Cambridge, United Kingdom
Research Assistant (June 2017 – Aug 2017) Reviewed developments in network traffic management over the last decade Compared the accuracy, spatial stability and temporal stability of the multilayered perceptron to other
popular machine learning classification techniques Designed experiments to optimize the neural network find its rate of convergence
SINGAPORE ARMED FORCES
Singapore, Singapore
Infantry Officer (Jan. 2012 – Dec. 2013) Developed and coordinated company training programs for 900-1000 men Resolved logistical problems faced by companies during on-the-ground training Managed the discipline, manpower, morale, and personal issues of a team of 10 staff Created new system for cataloguing information and streamlining workflow PROJECTS
Market Mimicry as a Measure of Collective Panic (Dec. 2017) Wrote programs in Java to test for indicators of market mimicry based on fully connected network of
influencer nodes. Identified optimal training window for predicting future mimicry levels in time-series data. Developed toolbox for extending research to similar indicators, time-series analysis and managing
different data types
Analysis of Performance Data (Mar. 2016 – Apr. 2017) Performed statistical analysis in MATLAB and R on unemployment and academic data Statistical tools used : Newton-Raphson for MLE search, Cramer-Rao to create asymptotic
confidence intervals, chi-square test for homogeneity, hypothesis testing with linear models
Parabolic Partial Differential Equations (Dec. 2016 – Jan. 2017) Found approximate solutions to boundary-value PDE via Fourier series decomposition in MATLAB Compared accuracy and stability of approximation schemes: FTCS, Richardson, Crank-Nicholson COMPUTER SKILLS/OTHER
Programming Languages And Other Software: Java, MATLAB, R, Python, Bloomberg, LaTeX, Office
Languages: English (native), Mandarin (fluent), French (proficient), Arabic (beginning)
Publications: “Network Traffic Classification via Neural Networks” (Technical Report) MARTIN ARIENMUGHARE
(202) 460-1535 ■ [email protected] EDUCATION
NEW YORK UNIVERSITY
The Courant Institute of Mathematical Sciences
MS in Mathematics in Finance (expected – January 2019) New York, NY Coursework: OOP in JAVA, stochastic calculus (conditional expectation, martingales), BlackLitterman model, Monte Carlo and finite difference methods, applications of Black-Scholes
formula to stochastic processes, risk management, time series analysis, regression models Future Coursework: Risk management (VaR, stress testing), continuous time finance, interest
rates & FX models (fixed income models, vanilla options, first-generation exotics), statistical
arbitrage (Kalman filter, pairs trading strategies)
HOWARD UNIVERSITY
Washington, DC
Ph.D. (Aug. 2010 – May 2016) Coursework: Markov process, hypothesis testing, decision functions, regression, PDEs, BlackScholes, Ito’s lemma, numerical methods, energy derivatives, VaR, portfolio models
LINCOLN UNIVERSITY
Lincoln University, PA
BSc. in Physics & Mathematics (Aug. 2005 – Dec. 2008) EXPERIENCE
MIAMI REGIONAL UNIVERSITY
Miami Springs, FL
Faculty (Nov. 2016 – June 2017) Used MyStatLab & Excel to conduct statistical analyses to real data Taught nursing students how to create confusion matrices using real drug testing results Analyzed data of rehospitalization and discharge of newborns to forecast rehospitalization odds
MARYMOUNT UNIVERSITY
Arlington, VA
Adjunct Faculty (Jan. 2016 – May 2016) Used Excel to perform linear regression, and compare linear models for a given data set
Instructed students in optimization and decision analyses, to perform risk and sensitivity analysis PROJECTS
HOWARD UNIVERSITY
Washington, DC
Dissertation: Modeling Quasi-Linear Hyperbolic Systems Using MATLAB Built and tested HLLC-NC Riemann solver to model hydrodynamic systems Developed simplification to HLLEM-NC model, resulting in up to 20.4% flop count reductions
UNIVERSITY of MICHIGAN
Ann Arbor, MI
Millennium Simulation Galaxy Clusters Analysis Using FORTRAN Analyzed velocity distributions of dark matter halos using the Navarro-Frenk-White profile Obtained instances of dark matter halos that failed to possess intrinsically non-Gaussian flattopped velocity distributions; further analysis indicated possible mergers
PERSONAL PROJECTS
German Credit Data Analysis Using R Developed machine-learning model to predict a credit applicant’s probability of default (PD)
Finding Arbitrage in Currency Exchange Cycles Using C++ Boost Graph Library Updated Bellman-Ford algorithm in BGL to track arbitrage cycles in currency exchange cycles COMPUTER SKILLS/OTHER
Programming Languages: C++, Java, R, MATLAB
Languages: English (Native), Urhobo (Intermediate)
Leadership: Howard Plaza Towers Building Coordinator, HU Yearbook Policy Board Member MADHUR BHATTAD
(334) 804-4219 ■ [email protected] EDUCATION
NEW YORK UNIVERSITY, NY, NY
January 2019
The Courant Institute of Mathematical Sciences
MS in Mathematics in Finance Coursework: Stochastic calculus, risk management, OOP in Java, regression models, fixed income,
equity derivatives, Greeks, active portfolio management, securitized products Recitation leader: Introduction to Mathematical Modeling
INDIAN INSTITUTE OF TECHNOLOGY, GUWAHATI, INDIA
May 2017
B.Tech in Mathematics and Computing Coursework: Calculus, probability, statistics, optimization, financial engineering, data structures
and algorithms, scientific computing, Monte Carlo methods, economics
Certifications: CFA Level 1 (CFA Institute), Lean Six Sigma Green Belt (KPMG) EXPERIENCE
RBT ALGO SYSTEMS, MUMBAI, INDIA
June 2016-July 2016
Algorithmic Trading Intern Implemented and back-tested machine learning based positional trading strategy for Index futures Pitched the strategy to a group of 30 brokers explaining the benefits and the limitations
INDIAN INSTITUTE OF TECHNOLOGY, GUWAHATI, INDIA
July 2016 – March 2017
Finance and Economics Club Mentor Initiated and led quantitative finance lecture series, workshops and mentoring programs Researched, prepared and delivered lectures on topics including CAPM, algorithmic trading, VaR,
global financial crisis, and derivative securities to around 100 campus students
INDIAN INSTITUTE OF SCIENCE, BANGALORE, INDIA
May 2015-July 2015
Research Assistant Computationally analyzed behavior of Simple Totally Asymmetrical Simple Exclusion process Wrote simulations in R to verify previous research findings on conditional probability distributions PROJECTS
Forex Price Prediction Using Neural Networks (Indian Institute of Technology- Guwahati) Observed the long memory effect in the exchange rates between INR and a few major currencies Used Elman-Jordan Neural Networks for forecasting subsequent values in the currency time series
Option Pricing in Matlab (Indian Institute of Technology- Guwahati) Valuated European, American, Asian, Look-Back and Barrier options using binomial model Simulated geometric Brownian motion to price European and Asian options Priced European option via Black Scholes PDE using finite difference schemes
Exchange simulation (NYU Courant) Simulated exchange with efficient bid and offer books giving participants send-order and cancelorder functionalities in Java
Toy OAS model (NYU Courant) Calculated implied OAS for a given pass-through of mortgages using Monte Carlo over different
interest rate paths, a given PSA curve and the present value of the MBS COMPUTER SKILLS/OTHER
Programming Languages: Java, Python, R, Matlab, C, C++, MySQL
Languages: English (fluent), Hindi (Native), Marathi (fluent)
Achievements: Selected as a delegate for Asia Investment Banking Conference in Hong Kong (2016), earned
gold certificate in Bloomberg aptitude test (2014), all India rank 2nd in national mathematics talent contest SIMEON BIKORIMANA
(646) 241-4137 ■ [email protected] EDUCATION
NEW YORK UNIVERSITY
The Courant Institute of Mathematical Sciences
MS in Mathematics in Finance (expected – January 2019) New York, NY Current Coursework: Portfolio optimization, option pricing, econometrics, risk management, asset
pricing, CAPM, OOP in Java
THE CITY COLLEGE OF THE CITY UNIVERSITY OF NEW YORK
New York, NY
Ph.D. in Electrical Engineering (September 2012 – September 2017)
B.E. in Electrical Engineering (January 2009 – December 2011) EXPERIENCE
THE CITY COLLEGE OF THE CITY UNIVERSITY OF NEW YORK
New York, NY
Instructor for Advanced Photonics Engineering Lab (January 2015 – July 2017) Guided students on how to collect and analyze data from undergoing optical experiments Taught how to determine the reproducibility and statistical variation of the experimental setup
Adjunct Lecturer for Engineering Economics Course (January 2013 – May 2017) Taught how to solve economic problems involving comparison and selection of alternatives by
using present worth, annual worth, future worth, rate of return, and payback period analysis Evaluated students’ performance and provided grades for 100 students
NORVATIS CAPITAL MANAGEMENT, LLC
New York, NY
Analyst Intern (June – August 2016) Researched and analyzed data regarding investment opportunities in agribusiness in Rwanda Built a valuation DCF model in Excel for small enterprises
JOURNAL OF THE AMERICAN CHEMICAL SOCIETY
Washington, DC
Volunteer Reviewer (December 2016 – September 2017) Reviewed manuscripts submitted for publication in a peer-reviewed scientific journal of Langmuir Provided feedback and comments to authors to improve their manuscripts' quality PROJECTS
THE CITY COLLEGE OF THE CITY UNIVERSITY OF NEW YORK
New York, NY
Development of Dual-Wavelength Semiconductor Optical Amplifier-based Fiber Compound-Ring Laser
for Continuous-Wave Terahertz Photomixing (Dissertation) Designed and investigated the performance of a novel fiber laser resonator
Terahertz Time-Domain Spectroscopy Designed, simulated, and characterized thin-film-based THz photoconductive antennas Analyzed experimental data in frequency domain using the Fast Fourier Transform in MATLAB Calibrated and redesigned antenna structures to meet specification requirements
Nonlinear Optical Characterization of Nanomaterials Built optical test-beds to study ultrafast dynamics in multilayer and semiconductor nanomaterials Retrieved third-order nonlinear optical coefficients of samples using data-fitting with MATLAB
TCP/IP Denial of Service (DoS) Attack Mechanism Developed an algorithm to launch a TCP DoS attack using socket programming in Python Used time-dependent variation of traffic and its statistical parameters to detect the DoS attack COMPUTER SKILLS/OTHER
Programming Languages: Java, Python, VBA
Other Software: MATLAB, LabVIEW/Automation, HFSS, CST Microwave Studio simulation tools
Award/Honors: CUNY-NASA SOLARPREP research scholarship, Tau Beta Pi, Eta Kappa Nu
Languages: Kinyarwanda (native), English (fluent), French (intermediate) MING CHENG
(646) 897-9053 ■ [email protected]
EDUCATION
NEW YORK UNIVERSITY
New York, NY
The Courant Institute of Mathematical Sciences
MS in Mathematics in Finance (expected - January 2019)
•
Coursework: Derivative securities pricing, portfolio optimization (mean-variance analysis and
Black-Litterman Model), risk management (VaR and Factor Models), active portfolio
management (transaction cost model), market microstructure (sequential trading model),
numerical methods, OOP and data structures in Java
UNIVERSITY OF TORONTO
Toronto, ON
Honors BS in Mathematical Finance with High Distinction (September 2013 – June 2017)
• Coursework: Statistical inference, linear regression, time series analysis, differential equations,
nonlinear optimization, CAPM EXPERIENCE
PUDONG DEVELOPMENT BANK
Beijing, China
Quantitative Research Assistant (May 2016 – August 2016)
• Evaluated prospective corporate bond purchases based on debt structure analysis according to
leverage, equity and liquidity ratios to determine their internal credit ratings
• Executed investigations on newly launched regulations and their impacts on different financial
markets to help traders improve their trading strategies
• Analyzed client histories and requests in support of portfolio customization
MEITUAN.COM
Beijing, China
Data Analyst Intern (May 2015 – August 2015)
• Cleaned large amount of data using VBA to build database for products
• Calibrated a factor model for profits in collaboration with 10 team members and successfully
forecasted the future profit with historical data to a desired level of precision PROJECTS
NEW YORK UNIVERSITY
New York, NY
Algorithm Design based on Monte Carlo simulation
•
Developed an algorithm to price options and back-tested its performance with market data
•
Applied antithetic variates method to accelerate convergence
•
Utilized parallel computing and OpenCL to accelerate the implementation
Machine Learning: K-Means Clustering
•
Conducted two different K-Means algorithms with random initialization of clusters
•
Applied generic template techniques and test-driven principals in Java
•
Implemented metrics to evaluate and compare performance of the 2 algorithms
Portfolio Optimization
•
Cleaned the Dow Jones industrial average index historical data and analyzed the filtering impact
on descriptive statistics, such as annualized return, Sharpe ratio, and covariance matrix
•
Performed mean-variance portfolio optimization through shrinkage estimation and PCA
•
Evaluated its numerical stability with its condition number
Research on the microstructure of CBL’s trading in 2008
• Reproduced BBO spreads according to Roll model, using rolling 30-minutes intervals
• Implemented the full Lee-Ready algorithm to classify trades then implemented the full multiperiod Glosten-Milgrom model to plot the sequence of , the probability of value depreciation SKILLS
Programming Languages: Java, Python, R, MATLAB, Excel VBA YINING (LILY) CHENG
(614) 975-8869 ■ [email protected] EDUCATION NEW YORK UNIVERSITY
The Courant Institute of Mathematical Sciences
MS in Mathematics in Finance (September 2017 – January 2019)
• Coursework: Risk & portfolio management, factor models, derivatives pricing and Greeks, BlackScholes formula, stochastic calculus, OOP in Java, fixed income math EMORY UNIVERSITY
BS in Mathematics, High Honor (August 2013 – May 2017)
• New York, NY Atlanta, GA Coursework: ODEs and PDEs in Finance, numerical analysis, econometrics, data structures,
abstract algebra, complex and real analysis, regression analysis EXPERIENCE
Beijing, China INDUSTRIAL SECURITIES CO., LTD
Equity Products Research Intern (June 2017 – July 2017)
• Developed semi-annual sales reports of equity products for Beijing branches in Excel and in PPT
• Assisted analyzing and comparing the revenue growth of equity products to 13 other branches
• Researched over 20 industry reports and over 30 financial statements, compared the historical
stock price patterns to select a growing stock, and resulted a 7.8% return in 20 days
• Cooperated with the intern team in designing an employee incentive and compensation system to
improve working efficiency and quality, and led to an approval by the senior management
ZHONGHELIAN E-COMMERCE CO., LTD
Jinhua, China
Software Internship (May 2015 – July 2015)
• Adopted the Objective-C (OC) language and IOS user interfaces(UI) controls
• Cooperated with the supervisor in developing an E-Commerce IOS App PROJECTS
New York, NY New York University
Options Pricing using Monte Carlo Simulation
• Priced European and Asian options using Monte Carlo Simulation with antithetic decorator in Java
• Implemented distributed simulation using client/server framework to accelerate computation
• Used GPU (OpenCL) to generate Gaussian random variables by Box Muller transformation
Robust Portfolio Optimization
• Performed mean-variance optimization on seven Vanguard funds; achieved a reasonable portfolio
allocation by using robust estimators of statistics and covariance matrices in Python
• Constructed a Black-Litterman portfolio integrating market views and market capitalization
K-Means Clustering in Two Dimensions
•
• Implemented K-Means algorithm to group 2D points in test-driven development in Java
Modified K-Means by clustering points into fix-sized groups; compared the traditional and
modified K-Means performances and convergence rates under different initial conditions
The Philips Curve in 1950-2016
•
• Researched the lagged relationship between inflation and unemployment rate; fitted a linear model
of Philips Curve in Python; evaluated the significance of fitted coefficients using hypothesis test
Studied the causality of inflation due to unemployment using Granger causality test COMPUTER SKILLS/OTHER Programming Languages: Java, Matlab, Python, R
Other Software: Microsoft Office, LaTex
Languages: Chinese (native), English (fluent), German (beginner) ZIHAO GAO
(917) 476-6815 ■ [email protected] EDUCATION
NEW YORK UNIVERSITY
New York, NY
The Courant Institute of Mathematical Sciences
MS in Mathematics in ...

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- Spring '12
- margarettatker
- Math, Mathematical finance, Monte Carlo methods in finance, Courant Institute