Engineer Software
Resume:
Shelby Gao
Edison, NJ ****
(*32) 317- 4918 (home)
(848) 219- 0391 (cell)
**********@*****.***
Objective
A Quantitative Developer / Analyst Position
Summary of Qualifications
Over 8 years of professional experience in developing and implementing
pricing and trading and risk models for a variety of financial instruments
in fixed income, commodities, credit, equity, and derivatives.
Over 6 year of professional experience in developing and implementing a
variety of interest rate models, volatility trading models, commodity
trading models, calibration, and optimization.
Over 10 years of professional experience in C++, Java, C#, and VBA
programming languages. Over 4 of professional experience Python, Perl
programming. Strong experience in networking, multithreading, stl, and
boost.
Over 10 years of professional experience in quantitative analysis using
SAS, Matlab, and Cognos for statistical methods, stochastic calculus,
linear and nonlinear optimization, time series analysis, and garch
modeling, support vector regression, lasso regression, data and text
mining.
Education
PhD Statistics, Purdue University, August, 1996
Areas in nonparametric regression analysis on time series
MS Applied Statistics, Purdue University, December, 1991
Specialty in multivariate analysis and time series analysis
MS Management, Tsinghua University, China, July, 1987
Specialty in finance and econometrics
BS Mathematics, Sichuan University, China, July, 1982
Major in numerical analysis and computation.
Work Experience
Senior Quantitative Developer Markit 05/2011- present
. Research on large volume of tick data of equity, bonds, ETF, ADR, index
futures, Treasury and sovereign bonds, and CDS, commodity futures,
currency, etc. Study the correlations, volatility, and co-movements among
the above instruments.
. Develop statistical and time series models to predict high frequency
equity, bond, and derivative prices based on research findings.
. Develop advanced forecast models including varying parameter regression,
lasso regression, support vector regression, and data mining methods to
provide better and robust models.
. Research and implement yield curve and commodity forward curve
construction, implement interest rate and volatility models to price
fixed income and equity index derivatives.
. Provide necessary programs and implementation using C++, MTLAB, Python,
and Oracle SQL.
Senior Quantitative Analyst Thomson Reuters 02/2010- 05/2011
. Worked in the Wealth Management team to provide quantitative research and
algorithms for the portfolio construction and optimization process
proprietary data.
. Designed and implemented quantitative solutions for portfolio
optimization, performance contribution, risk attribution using mean-
variance, Black-Litterman, and Value at Risk, quadratic programming.
. Designed and implemented pricing and risk models for equity derivatives,
fixed income securities including corporate bond, convertible bond, and
MBS using C++, R, and Excel VBA.
. Provided statistical analysis on a variety of portfolio analysis and
factor attributions.
Quantitative Analyst ( contractor ) DTCC 08/2008 -
01/2010
. Researched vary large volume of high frequency trading transactional data
using data mining and statistical methods.
. Developed advanced models for transactional and margin risk.
. Developed SQL queries on daily basis for both production and ad hoc needs
from UDB and Sybase.
. Designed and implemented advanced transaction and margin risk algorithm
using advanced statistical and data mining algorithms, C++, and VBA.
. Developed risk and monitoring reports using Java, SQL and Cognos.
Quantitative Developer AVM LP (hedge fund) 01/2007 - 06 2008
Researched and implemented high frequency statistical arbitrage trading
strategies using C++, Linear programming, and optimization algorithms.
Developed and implemented interest rate models, commodity models, and
volatility models to price a variety of interest rate derivative products
including Teeasury Securities, MBS, and currency swap, vanilla and Bermudan
swaptions, repos, and other fixed income securities using C++, C#, Java,
and VBA.
Supported the Treasury, MBD, Credit, and Commodity trading desk on
quantitative modeling and pricing issues.
Developed credit derivative pricing applications to price and lookup MBS,
ABS, CDO tranches using c++, Quantifi, and Intex API.
Designed and implemented grid computing architecture to run risk scenarios
and trading GUI ussing C#, and Digipede.grid computing tool.
Researched and developed statistical arbitrage algorithms for securities
trading using Matlab, R, MS SQL Server.
Senior Financial Engineer (contractor) Fannie Mae, 05/2006 - 12/2006
Implemented interest rate model and subprime mortgage valuation model
including prepayment and default using VC++, Intex API, SAS, Matlab, Excel
VBA, and Loan Performance data for the trading desk.
Implemented ABS, CDO pricing model and sampling algorithms using c++ for
the trading desk.
Researched on ABS index ABX, House Price (CSI) index and future, rating
methodologies of rating agency.
Quantitative Analyst HSBC 01/2005 - 05/2006
Developed in the pricing and risk analytics for whole loan mortgages, asset
backed securities, and market value swaps using Excel VBA, VC++, C#,
interest rate models, simulations, statistical analyses.
Developed different reduced form models for credit derivatives including
CDS and synthetic CDOs.
Implemented algorithms for calculating PFE and counter party risk
Develop and implement mortgage analytics algorithm and reports using C++,
C#, Sybase, and Crystal reports.
Prototype and implement new analytic and reporting system using TIBCO, JMS,
JAVA, XML.
Quantitative Analyst, Bank of America Securities ( contractor)
02/2004-01/2005
Supported the CDS trading desk on quantitative modeling and pricing issues.
Worked on Credit Default Swap, Repo Curves, and Hedge (scenario) reports
using Java and C++, Oracle.
Researched on and implemented a variety of Credit Risk Models including
structural form models and relative value based approach.
Researched on and implemented Markov switching models for credit spread
changes and trading signals.
Researched on and implement time series volatility models.
Senior Programmer, VP SPM llc Stamford, CT
06/2002 - 02/2004
SPM llc is a hedge fund specializing in fixed income and mortgage
Provided analytics algorithms and programs to implement Term Structure
model for fixed-income products including Treasury, Agency, CMO, and swaps,
and Credit derivatives.
Supported the Treasury, CMO trading desk on quantitative modeling and
pricing issues.
Implemented fixed income and credit modeling, pricing, and hedging
algorithms using VC++, PERL, Eclipse, Calypso.
Designed and implemented trading system, databases, statistical models,
Excel VBA reports for the trading and hedging of fixed income portfolios.
Designed and implemented a variety of applications and tools in VC++ and
PERL on Windows 2000 and Windows NT .
Maintained daily market databases using MS SQL server and MySQL databases
on W2K and UNIX (SUN Solaris) platforms. Design and modeling database
tables for new applications.
Developed applications for analytic and modeling using C++, Java, and perl
for bond portfolios.
Developed daily hedge reports and prepayment reports using Perl, Visual
Basic and VBA, Splus.
Modeled and created databases for a variety purposes.
Senior Software Engineer Real Media, Inc 04/2000 - 06/2002
Worked in the internet advertisement inventory management team to research,
analyze and specify requirements, design, and implement a variety of
statistical models, optimization algorithms, and Monte Carlo simulation
using C++, SAS, S-Plus, and SPSS.
Developed a variety of inventory and demand forecasting models using time
series analysis including ARIMA, GARCH, nonparametric regression, and
neural networks.
Designed and implemented a variety of software modules using VC++, Java,
J2EE, Rational Rose, Artisan real-time OO tool, and design patterns on
Windows NT environments.
Designed and implemented distributed central server, web server, servlet
using C++, socket ( TCP/IP), java, and multithreading techniques.
Extensive SQL programming using on Oracle, PL/SQL, MySql, and MS SQL
databases. Developed data access layer for accessing different RDBMS.
Senior Programmer Analyst PriceWaterhouseCoopers, LLP, 0719/97 - 04/2000
Worked in the Asset Securitization Group to design and implement asset
securitization analysis system that can be used to value, reverse engineer,
and model CMO, ABS, CMBS, and other type of deals.
Developed and implemented interest rate and volatility models using GARCH
and nonparametric regression methods for fixed income analytics and
pricing.
Designed and implemented C++ software to value fixed income derivatives
products including interest rate caps and floors, swaptions, and other
exotic options.
Designed and implemented analytic software and bond tracking system using
C++, VBA, and Java.
Extensive programming utilizing C++ under Windows NT, SUN Solaris with SQL,
Oracle, ODBC.
Provide quantitative analysis and programs for fixed-income, especially
mortgage, valuation and appraisal.
A contract position to develop and test a data management system to process
and migrate mortgage data in order to support financial research. Tools
include SAS, C, UNIX Shell, JCL, DB2, UNIX (Solaris) and SQL.
Developed C, SAS and Perl programs to provide house price appraisal for
both internal and external clients.
Designed and implemented term structure models to value fixed income
products including mortgage backed securities, servicing rights, swaps,
and derivatives using finite difference and Monte-Carlo simulation methods.
Tools include C and C++ programming languages, Sybase in UNIX (SUN Solaris)
and Windows NT, Perl and Korn Shell.
Provided SAS programs to perform data analysis and statistical modeling for
mortgage prepayment and default analysis.
Designed and implemented SAS programs to process and aggregate daily and
monthly mortgage loans to support servicing portfolio and mortgage deal
evaluation as well as valuing derivative products including interest rate
cap and swaptions.
Designed and implemented SQL stored procedures and C programs to interface
with Sybase SQL server.
Lead Software Engineer (cconsultant0 Tektronix, Inc, Indianapolis, IN
06/95 - 07/97
Tecktronix is a technology company producing digital equipments
Researched on digital signal processing techniques with statistical methods
and stochastic processes. Developed programs with SAS and MATLAB to
implement algorithms on UNIX (SUN Solaris) and Windows NT platforms.
Designed and implemented embedded, real-time, and front-end application
software systems using in Visual C++, C, SQL and PERL, TCP/IP for digital
signal data acquisition and measurement.
Implemented a C++ class library that can be customized into a variety of
applications for different product-lines.
Involved in software development life cycle and process improvement effort
to define tasks for each phase of a software development process.
Statistical Developer (Consultant) Boehringer-Mannheim, Co.
Indianapolis, IN 05/93-06/95
BM is a pharmaceutical company producing medical equipments
Researched on non-invasive biomedical techniques for diabetes patient care
products using differential equations, stochastic processes, and
statistical methods. Created Excel macros to validate the statistical
analysis.
Developed SAS programs to perform statistical analysis and modeling using
different methods including principal component analysis, linear and non-
linear regressions to provide calibration models, error budget, and other
measures.
Developed software and firmware for monitoring and calibrating medical
devices using C++ and Visual Basic on Windows NT platform.
Migrated SAS programs from VAX/VMS to UNIX, and from UNIX to Windows NT
later on.
Reference available upon request
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