Financial Analysis

Wei Liu

Jersey City, NJ, ***** ****@***.*** phone: 213-***-****

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OBJECTIVE

An internship or full-time position in the filed of quantitative finance.

QUALIFICATIONS

1. Strong problem solving and modeling ability from physics research

2. Strong quantitative analysis skills from mathematics courses study

3. Quick learning ability gained from research and various course

projects

4. Background in stochastic calculus and financial derivatives

EDUCATION

PhD in Applied Mathematics August 2010 University of

Southern California (USC)

GPA: 3.9/4.0

MS in Mathematical Finance May 2010 University of

Southern California (USC)

GPA: 3.9/4.0

BS in Computational Mathematic July 2005 Wuhan University, China

GPA: 3.7/4.0

RELATED COURSES

. Core courses: Real Analysis, Probability Theory, Applied

Probability, Mathematical Statistics, Numerical Analysis,

Ordinary and Partial Differential Equations, Filtering Theory,

Stochastic Processes, Stochastic Differential Equations.

. Related Economic Courses: Economics of Financial Markets, Time

Series.

USC PROJECTS

Financial Time Series Analysis

5. Conducted time series analysis on real-world financial data with

SAS

6. Analyzed the volatility of IBM stock price using the conditional

heteroscedastic model

Financial Informatics and Simulation

7. Calculated European/American/Exotic option price using

binomial/Monte Carlo approach

8. Priced European/American options using least-squares Monte-Carlo

(LSMC) approach

9. Applied CIR model in interest rate analysis

10. Priced MBS applying PSA/Proprietary Prepayment models

11. Numerical Solutions of ODE and PDE

12. Implemented FTBS/Crank-Nicolson/Lax-Wendroff schemes for solving

parabolic/hyperbolic equations.

13. Analytically and numerically solved a time-periodic diffusion

equation and studied the accuracy of different numerical

methods.

PUBLICATION

. Estimate Speed and Damping in the Stochastic Wave Equation, Wei

Liu and Sergey Lototsky,

Accepted, to be published

. Parameter Estimation in Hyperbolic Multichannel Models, Wei Liu

and Sergey Lototsky,

accepted in the volume "SPDE's and Applications - VIII", to appear

in the Quaderni di Matematica, Series edited by Dipartimento di

Matematica, Seconda Universit di Napoli.

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