Engineering Financial

Yan Yan

*** ********** ****, *******, ****** City, NJ 07310 201-***-**** ***********@*****.***

Education

Stevens Institute of Technology, Hoboken, NJ

Master of Science in Financial Engineering 12/2013

Coursework: Design Patterns and Derivatives Pricing Stochastic Calculus Pricing & Hedging Introduction to Financial

Engineering Computational Methods in Finance Portfolio Theory and Applications

Central China Agricultural University (HZAU), Wuhan, China

Bachelor of Science in Food safety and Quality 06/2012

Honors: Dean’s List for Academic Performance Triple A Student of University Technological Innovation Advanced

Individual Yicong Huang Scholarship

Relevant Coursework: Financial Mathematics Advanced Mathematical Modeling Time Series Analysis Mathematical

Modeling Advanced Calculus Statistics & Probabilities Statistics Simulation

Experience

5/2013–9/2014

Syrah Trading Technologies, Jersey City, NJ

Quantitative Research Analyst, develop algorithm for equity option analytics (product OptionsPlay)

Worked with head of strategy to improve existing option pricing models

Build Volume Profile to get volume-weighted trade price to calculate the benchmark trade price for TCA

Developed probability package for option trading, including probability of profit/probability cone

Evaluated US stocks by 11 fundamental ratios, and generated algorithms to get a score for each stock within the sector

Created a set of algorithm to get all Support/Resistance levels for each stock

Contributed optimal covered call strategy to get a 95.7% winning chance, with 4.7% annualized return

Conducted seasonality strategy to generate a portfolio with 4% return beating SPY

Validated and tested various technical indicators to create stock selection model

Developed volatility calculation package, with option implied vol/delta weighted stock implied vol/vega weighted implied

vol index/volatility switch model

Mathematical Modeling Rewards

Meritorious Prize, Mathematical Contest in Modeling, 2011 (US)

National Second prize, China Undergraduate Mathematical Contest in Modeling, 2010

Third place in Hubei Province, T he Third Central China Mathematical Invitation Competition in Modeling, 2010

Paper and Publication

First Author of paper “Minimum Repeater Model in Both Flat and Mountainous Area based on Goal Programming," The

2nd International Conference on Multimedia Technology (2011ICMT), IEEE, ISBN: 978-1-61284-773-3, 978-1-61284-772-6,

May 30, 2011.

Research Projects

Dark Pool Agent Based Model Monte Carlo Simulation Fall/ 2012

Processed Monte Carlo simulation to obtain both the order book and trader’s records for Dark Pool

Simulated the mechanic of Dark Pool trades through distributions of stock prices, volume, arrival rates, and other

parameters

Influence of World Expo to Macro-Economy by Vector Auto-regression Model (VAR) Spring/ 2011

Influenced distribution after the set-up and prediction of VAR; substituted two groups of data predicted by the Gray system

GM (1,1) into VAR

Applied the influence of financial crisis and Beijing Olympic Games as dummy variables into the CAMP model

Influence of Shanghai World Expo on Yield Rate of Main Industries Spring/ 2011

Applied data mining to determine share prices; brought the influence of significant events as the dummy variable into CAPM

Created a CAMP with dummy variable and gain the extraneous earnings of the Expo by concept stock

Researched different constraints of goal programming

Skills

Technical Skills: MATLAB, C++, VBA, SQL, R, Python, Bloomberg, MS Office suits

Certification: CFA I Candidate

Languages: English (Fluent), Chinese (Native)

Contact this candidate