resume_book_2017.pdf - Class of 2018 Resume Book Mathematics in Finance M.S Program Courant Institute of Mathematical Sciences New York University For

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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

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