YAOTIAN ZHANG

**** ********, *** ***, *** York, NY 10031 562-***-**** • acoihm@r.postjobfree.com

E DUCATIONAL BACKGROUND

Master of Arts Program in Mathematics of Finance, 9/2013 – 12/2014

COLUMBIA UNIVERSITY, New York, NY

Coursework: Time-Series, Simulation, Term Structure, Machine Learning, Data Mining, Computational Finance

Project: Priced American Option using implicit finite difference method with Neumann boundary condition;

Constructed yield curve with CDs, futures and swaps by Python, and employed Libor Market

Model with the given volatility to price Libor in arrears, swaptions and CMS swaps GPA:3.85

Bachelor of Science in Mathematics and Economics, Minor in Computer Science, 9/2009-5/2013

UNIVERSITY OF SOUTHERN CALIFORNIA (USC), Los Angeles, CA

Coursework: Numerical methods, Stochastic Process, PDEs, Econometrics, C++ and Java Programming

MAJOR GPA: 3.78 CUMULATIVE GPA: 3.59

E XPERIENCE H IGHLIGHTS

BANK OF T OKYO-MITSUBISHI UFJ (BTMU), Hong Kong

Quantitative Derivative Strategy Intern (6/2014 – 8/2014)

Modified the group’s vanilla instrument pricing tool by C++ f or trading convenience and priced TNN options using

local volatility model by implementing Fast Fourier Transformation in JAVA multithreading environment.

Calibrated the market data to Heston Model by simplex method, constructed the volatility surfaces by Dupire’s

equation and interpolated volatilities with cubic spline by C++.

Estimated the parameters by Extended Kalman Filter and used them to price TNN barrier options with simulation.

MOMMSEN GLOBAL LLC, New York, NY

Quantitative Trading Research Intern (10/2013 – 2/2014)

Built quantitative database by merging CRSP and Compustat Xpressfeed, analyzed database structure in SQL.

Modified portfolio positions and tested accounts performance with multiple trading strategies by Python.

KAPRONASIA CONSULTING, Shanghai, China

Summer Intern, Research Department (6/2013 – 8/2013)

Researched and interpreted on industrial analysis of companies using model fitting and various regression methods.

Conducted statistical analysis using multiple linear and logistic regression, clustering and SVMs.

Estimated GARCH market Models by R to forecast volatility.

EASTLAKE FINANCIAL GROUP, Los Angeles, CA

Summer T rading Intern, Sales & Trading Department (5/2012 – 8/2012)

Conducted Principal Component Analysis on NYSE equities to construct low-dimension Eigen-portfolios.

Estimated the Ornstein-Uhlenbeck process by AR process to generate the trading signals.

Back tested the trading signals and Eigen-portfolios in the past 3 year-timeline

UNIVERSITY OF CALIFORNIA LOS ANGELES (UCLA), Los Angeles, CA

Research Project in Applied and Computational Mathematics REU Program (5/2011 – 8/2011)

Researched data storage networks for file allocation optimization; Investigated file allocation and determined most cost-

effective method with quadratic programming in MATLAB.

S K ILLS & O THER

Programming Languages: C++(4 yrs), JAVA(4 yrs), Python(3 yrs) Tools: Visual Studio, Ubuntu (Linux System)

Software: MATLAB(3 yrs), Excel VBA(1 yr), STATA(1 yr), R(1 yr)

Languages: English(fluent), Mandarin(native)

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