Kriss Jason - Probability Theory Financial Crises Applied...

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Jason Kriss 153 Suffolk Street Apt 4, New York, NY 10002 Phone: (507) 254-8894 | Email: [email protected] EDUCATION NEW YORK UNIVERSITY New York, NY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance (expected – December 2011) s Finance : Black-Scholes, arbitrage-based pricing of derivatives, CAPM, principal component analysis and factor models, time series and forecasting, credit risk, short-rate models s Mathematics : stochastic calculus, Brownian motion, partial and stochastic differential equations, martingales, Feynman-Kac formula s Computing : object-oriented pricing library in C++, trading simulation with market impact, finite difference methods, back-testing volatility trading strategies in MATLAB s Spring Coursework : Continuous Time Finance, Scientific Computing, Interest Rate and FX Models, PDEs for Finance UNIVERSITY OF MINNESOTA (May 2010) Minneapolis, MN BS in Economics and Mathematics, GPA: 3.91/4.00 s Graduated with high distinction s Coursework in Financial Economics, PhD level Econometrics, International Finance, C++,
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Unformatted text preview: Probability Theory, Financial Crises, Applied Linear Algebra, Money and Banking s Senior thesis on econometrically and statistically detecting collusion in government procurement auctions EXPERIENCE UNIVERSITY OF MINNESOTA ECONOMICS DEPARTMENT Minneapolis, MN Research Assistant, Professor Patrick Bajari (October 2007 – January 2010) s Developed programs in Python to process websites and assemble datasets s Built, manipulated, and analyzed datasets using Stata and MATLAB UNIVERSITY OF MN FOUNDATION INVESTMENT ADVISORS Minneapolis, MN Summer Analyst (June 2008 – August 2008) s Maintained endowment’s investment database by monitoring fund commitments, capital calls, distributions, and asset values s Supported the Investment Manager in preparing annual investment review for board of directors s Designed Excel/VBA tools to more efficiently track private equity investments COMPUTER SKILLS Programming languages: C++, Python Other software : Excel/VBA, MATLAB, Stata...
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