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Court,

Apt

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(***)

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H S I N -

C H I A N G

C H E N

Jersey

City

NJ

07310

acoimm@r.postjobfree.com

EDUCATION

PhD

candidate,

Applied

Mathematics

and

Statistics,

09/2010

–

now,

GPA:

3.64/4.0

Stony

Brook

University,

NY

MBA

in

Finance,

09/2004

–

06/2006,

GPA:

3.95/4.0

(financial

engineering

focus)

National

Taiwan

university,

TW

BBA

in

Finance,

09/2000

–

06/2004,

GPA:

3.63/4.0

National

Taiwan

university,

TW

CS

SKILLS

4

years

experience

of

software

development

with

C/C++

under

Linux/Windows

OS

and

large-

scale

numerical

•

simulations

on

supercomputers/Linux

clusters

2

years

experience

in

building

parallel

software

under

distributed

systems

and

multi-

threaded

environments

•

and

the

parallel

computing

APIs

MPI

and

OpenMP

Very

strong

in

OOD,

Algorithms,

and

Data

Structures

•

Proficient

in

SAS

data

mining

and

statistical

analysis

and

•

Familiar

with

Python

and

Bash

shell

scripts

and

SQL,

and

DBMS

such

as

MySQL

and

PostgreSQL

•

PROFESSIONAL

EXPERIENCE

09/2012

–

present,

Research

Assistant,

Stony

Brook

University,

NY

• See

Project

1

11/2007

–

03/2009,

Hedge

Trader,

Polaris

Securities

Co.

Ltd.,

Taipei,

TW

• Issued

and

delta-

hedged

~$15

million

(in

face

value)

equity-

linked

structured

products

(ELNs)

• Modeled

and

priced

ELNs

and

built

software

using

C/C++,

VBA,

and

MATLAB

(50%

time

on

programming)

• Explored

numerical

techniques

including

decomposition/PDE

(finite

difference)/Monte

Carlo

Simulation

with

variance

deduction

methods;

had

experience

using

SQL

and

Bloomberg

machines

PROJECTS

02/2012

–

present:

Large-

scale

3D

simulation

of

fluid

under

Lagrangian

framework

(Supported

by

Brookhaven

National

Laboratory)

[C/C++/STL,

OpenMP

and

MPI,

OOD,

Python

and

Bash

shell

script,

Git,

DDD

debugger,

Unix/Linux]

• Developed

a

new

numerical

method

for

solving

Euler’s

equation

of

fluid

dynamics

(JCP

paper

submitted

2015)

• Designed

and

developed

with

4

team

members

2

fluid

simulation

libraries

in

C/C++

using

OOD

(polymorphism,

templates,

and

design

patterns

such

as

“singleton”,

“abstract

factory”)

• Programmed

under

multi-

threaded

environments

using

OpenMP;

exploited

loop-

level

(local)

and

parallel

region

(global)

parallelization;

using

synchronization

techniques

like

“critical”

and

“atomic”

directives

and

“lock”

runtime

routines

to

avoid

data

races;

achieved

5

times

speedup

on

8

threads

• Coded

under

distributed

systems/Linux

clusters

using

MPI;

synchronized

memory

buffer

exchange

using

“barriers”;

rebalanced

loads

using

self-

designed

techniques;

achieved

8

times

speedups

on

12

cores

• Automated

tasks

using

Python

and

Bash

shell

scripts:

running

large-

scale

simulations

on

Linux

clusters

-

>

post-

processing

of

data

for

visualization

-

>

making

tarballs

of

selected

files

• Co-

designed

2

nearest

neighbor

search

algorithm;

one

using

octrees

(O(nlogn)-

time),

and

the

other

using

a

grid-

cell-

based

spatial

hashing

algorithm

(O(n)-

time

(brute-

force

is

O(n2)-

time)

• Designed

an

“interleaving”

algorithm

to

avoid

data

copies

and

achieved

30%

speedups

(with

10%

extra

space)

• Accumulated

serial/parallel

programming

experience

by

coding/debugging

4~6

hours/day

for

the

past

3

years

06/2005

–

06/2006:

Option

pricing

by

pentanomial

trees

(MBA

thesis

project,

National

Taiwan

University,

TW)

[C/C++/STL,

OOD,

SAS]

• Developed

a

pentanomial-

tree

algorithm

for

pricing

stock

options

under

GARCH-

jump

processes

2

• Achieved

O(n )-

time

complexity

after

adding

jumps

to

the

underlying

stock

(best

tree-

based

algorithm

under

no-

jump

context

is

also

O(n2)-

time)

• Implement

various

financial

algorithms

for

option

pricing

using

C/C++

(programming

time:

3

hours/day)

• Analyzed

and

visualized

statistical

features

of

the

stock

return

distribution

using

SAS

11/2005

–

06/2006:

Adjust

coffee

taste

to

improve

sales

(SAS

class

project,

Applied

Statistics

Center,

TW)

[SAS,

SCA,

SQL]

• Co-

worked

with

5

team

members;

built

and

used

customer

database

from

questionnaires

using

SQL

• Performed

data

mining

using

SAS

based

on

theories

such

as

linear

regression

and

hypothesis

testing,

logistic

regression,

principal

component

analysis,

factor

analysis

and

cluster

analysis

• Interpreted

statistical

results

for

suggestions

on

market

segmentation

and

other

marketing

strategies

11/2004

–

01/2005:

Financial

time

series

analysis

(Time

series

class

project,

National

Taiwan

university,

TW)

[SAS,

SCA]

• Applied

regression

and

time

series

models

(MA,

AR,

ARMA,

ARIMA,

GARCH)

to

analyze

financial

(stock

price)

and

economic

data

(GDP)

using

SAS

and

SCA

COURSEWORK

CS:

data

structure

and

algorithms,

computer

programming,

machine

learning,

DBMS

&

SQL

•

Stat:

mathematical

statistics,

probability

theory,

stochastic

processes,

data

mining,

time

series

analysis

•

Math:

ODEs,

numerical

methods

for

solving

PDEs,

numerical

methods,

numerical

linear

algebra

•

Finance:

continuous-

time

finance,

econometrics,

financial

computing,

futures

and

options

market

•

PUBLICATIONS

• H.

Chen,

R.

Samulyak,

and

W.

Li,

“Lagrangian

particle

method

for

compressible

fluid

dynamics”,

J.

Comput.

Phys.,

submitted,

2015

• R.

Samulyak,

H.

Chen,

H.

Kirk.,

K.

McDonald,

“Simulation

of

high-

power

mercury

jet

targets

for

neutrino

factory

and

muon

collider”,

Proc.

NA-

PAC

2013,

North

American

Particle

Accelerator

Conference,

Sep.

29

-

Oct.

3,

2013,

Pacadena,

CA,

paper

TUPBA09

• H.

Chen

and

R.

Samulyak,

“Lagrangian

Particle

Method

for

Compressible

Euler

Equations

based

on

Generalized

Finite

Differences”,

12th

U.S.

National

Congress

on

Computational

Mechanics,

Raleigh,

North

Carolina,

July

22-

25,

2013.

• H.

Chen

and

Y.

Lyuu,

“A

tree-

based

algorithm

for

option

pricing

under

GARCH-

jump

processes”,

MBA

Thesis,

Department

of

Finance,

National

Taiwan

University,

2006

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