Master of Math Finance, risk modeling

Jiayu(Leo) Dong

*** **** ** *** **** New York, NY 10044

Tel: (310) 760-1245Email: **********@*****.***

LinkedIn: http://www.linkedin.com/in/jiayudong

SUMMARY

A Mathematical Finance Master with solid background in Quantitative Finance, Statistical Analysis, Portfolio

application, Econometrics modeling, Fixed Income analysis and programming skills.

Diversified experience in investment firm, NGO, and financial software firms.

Strong problem-solving, communication and technical skills with trade support and portfolio analysis experience.

EDUCATION

RUTGERS UNIVERSITY New Brunswick, NJ 2011-2013

Master of Science in Mathematical Finance

Courses and topics: Portfolio Optimization, Stochastic Calculus, Computational Finance, Regression, Econometrics,

Fixed Income, Monte-Carlo Simulation, CAPM, APT, Option Pricing, Time Series, VaR.

Thesis (Portfolio Application): Constructed Alpha model by Matlab by adding Price/Sales ratio to Fama-French factor

model and run regression analysis to forecast portfolio equity returns with 5 year data of S&P 100 as benchmark; came

up with optimized trading strategy.

Capital Return Project: Developed a multi-linear Regression model by SAS to estimate capital returns of listed UK

firms. The model conducted variables selections to build more efficient model that agreed with real world problem.

Option Pricing Project: Developed a Bates model in C++ using Finite Difference Method with stochastic volatility and

jump diffusion to price American put option closely match the benchmark result from Numer ix software.

Volatility Forecasting Project: Applied QMLE in Matlab to estimate parameters of GARCH (1,1) model to test the

forecasted volatility accuracy under different sampling frequency and forecasted horizon in Currency Exchange market.

UNIVERSITY OF COLORADO DENVER Denver, CO 2008-2010

Bachelor of Arts in Economics GPA: 3.75

Courses: SAS Methodology, Econometrics, Problem-Solving by Excel and Access.

EXPERIENCE

IMAGINE SOFTWARE New York, New York Summer Internship 2013

Product Support Analyst

Conducted the presentation of client support in trading strategy and risk manag ement tool, model projection and VaR.

Acquired basic support skills of portfolio management, such as monitor the P&L, trade execution, data visualization.

Obtained the client support techniques, such as test batch files, upload/download large volume data, to serve clients .

Interacted and watched day-to-day work with senior analyst on email and phone call to support troubleshooting.

NUMERIX LLC New York, New York Summer, Fall Internship 2012

Financial Technical Writer

Drafted user-oriented guide on creating financial instruments in Excel; such as swaps, options, and derivatives.

Demonstrated technical presentation on applying DITA, XML skills to daily work within documentation team.

Refined 300+ case-tracking solutions from Salesforce originated from clients and Support Team to enrich User Guide.

UN INDUSTRIAL DEVELOPMENT ORGANIZATION Beijing, China Summer Internship 2011

Investment Support

Developed investment report based on African investment strategy regarding energy and resource.

PREDICTWALLSTREET, INC. Denver, Colorado Spring Internship 2010

Portfolio Analyst

Tracked, calculated and forecasted portfolio performance in Excel with company’s stock indicator to support investment.

Researched competitors in financial industry and reported to employer to understand its competitive position.

Collected data on stock forecasts from user predictions to support building company own database .

COMPUTER SKILLS

Programming & Database: Matlab, C++, SAS, R, Eviews, LaTeX, SQL, VBA.

Application: Excel Macro, XML, Access, Bloomberg, PowerPoint, W ord, Outlook, Numerix, Imagine Trading S ystem.

EXTRACURRICULAR

FRM (Financial Risk Manager) level I; familiarity with Dodd-Frank and Basel II/III.

Founder and first president of Intercultural Club, Beijing sponsored by University of Colorado Denver.

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