Experience Business Development Time C# Support

Dr. Xinghua (Mark) Wang

*****

EDUCATION

. Solving large-scale partial differential equation systems for light

propagation in complex photonic structure. Large Scale optimization

method in multi-dimension space. Parallel computing using MPI in Unix

Beowulf cluster, 11 peer review journals, and 14 conference

proceedings. Support NASA, DARPA laser communication projects.

(Top 3 in China)

. : Interest rate model (Vasicek, CIR, Hull-White, HJM, Libor/SABR, CEV,

Heston and Longstaff Schwartz) and numerical solution/calibration of

multi-factor stochastic process with stochastic volatility extension and

jump diffusion. Fixed income derivative (FRA, interest rate swap,

caps/floor, and swaption) pricing with QuantLib. Implementation of LIBOR

market, calibration of volatility smile/skew using SABR model. Hedging

interest rate exposure of fixed income portfolio using IRS, LIBOR futures

etc.

Quantitative portfolio strategy: Hedging currency, inflation, GDP,

interest rate, duration, basis etc risk factors in a global macro fixed

income portfolio. Mean-variance portfolio optimization with implied repo,

credit and liquidity arbitrage. Developed multi-factor return-forecasting

model for equity/commodity index that separates stochastic and time

varying component of return to achieve significant forecasting power (out

of sample R2>4% ), using technical indicators, company specific risk

factors (wealth consumption ratio, book to market, momentum, etc),

arbitrage factors (such as commodity futures open interest, inventory

data etc.) and macroeconomic factors.

8 years' experience in trading equity, E-mini futures, and equity

derivatives.

. : Stochastic process, Ito's calculus, Girsanov theorem, Fynman-Kac,

Kolmogorov forward/backward equation. Numerical solution to PDE systems

using Finite difference method and Fast Fourier transform. Convex

optimization, linear programming, nonlinear programming.

. /Econometrics: Time series analysis: AR, MA, ARCH, GARCH, VAR, VEC model

using S-Plus, R and Matlab econometric toolbox. Monte Carlo Simulation,

high dimension low discrepancy sequence for fast convergence, Markov

chain Monte Carlo.

. 10 years of experience in high performance modeling, highly proficient

in C++,C#, Matlab, Excel VBA, R, SAS, SQL, QuantLib, Boost C++ Lib and

multiple language integration. Multi-threading and synchronization in

.Net, custom garbage collector and static memory pool for low latency

application. Interactive broker C# API.

WORK EXPERIENCE

. : Develop stochastic optimization method in multi-dimension space for

obtaining globally optimized engineering solution for several GE

businesses. Perform Monte-Carlo simulation to modeled tolerance and

statistical distribution in optical system.

. : Lead early stage technology evaluation and business competitiveness

analysis, interface with GE internal customer and government agencies.

Applying six sigma statistical methodologies to business development.

. : Lead development of time series and machine learning classification

algorithm library for analysis of large sets of Raman spectroscopy

data. Developed real time image and signal processing in C++, windows

graphic user interface in C# with database support.

. : Support a variety of government research projects.

ADDITIONAL INFORMATION

. : Kent State SPIE and OSA student chapter president (2004-2005)

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