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Software Engineer Assistant

New York, New York, 10022, United States
May 25, 2010

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To work as a quantitative strategist or researcher in a hedge fund,

trading house or investment bank with high upside potential.


. Four years working experience in quantitative trading strategies and

portfolio management.

. Over three years research experience in financial modeling and option

pricing theory.

. Time series analysis, statistical arbitrage, probability theory,

stochastic calculus, numerical methods.

. Strong interpersonal communication and project management skills.

. C / C++, Matlab, SQL, Windows / Linux, Latex.


. Ph.D. in Financial Mathematics

Aug. 2006

University of Delaware, Newark, DE

Dissertation: Option Pricing Under the Generalized Tempered Stable


Advisors: Prof. Gilberto Schleiniger and Dr. Patrick S.Hagan.

. B.S. in Computational Mathematics

June 2000

Nanjing University, Nanjing, P.R.China


Quantitative Analyst, Schonfeld Group LLC, New York, NY June

2006 - Present

Quantitative Trading Strategies Team

. Created and enhanced both intraday and overnight quantitative strategies

(Sharpe ratio 2.7+) on US equity market using proprietary indicators.

. Managed the life-cycle research and trading of the 50mm portfolio and

generated annual PnL of 8.4mm in 2007, 15.8mm in 2008 and 4.2mm in 2009,


. Developed and back tested various high-frequency and mid-frequency mean

reversion strategies based on relative value arbitrage techniques.

. Developed applications in C++ and SQL to automate the model verification

and performance evaluation processes in production.

. Performed extensive research and analysis on market data to improve the

quality of trades.

Quantitative Research Intern, Emergent Trading Fund L.P., New York, NY

June 2005 - Aug. 2005

. Proposed and implemented new time series forecasting ideas including the

volatility estimation and trend prediction.

. Investigated and implemented multivariate GARCH models in Matlab and

built an optimized portfolio using an improved mean-variance method.

. Conducted portfolio VaR analysis under multivariate non-Gaussian models

and back tested its performance.

Research Assistant, University of Delaware, Newark, DE

June 2002 - June 2006

. Proposed the Generalized Tempered Stable Process for the dynamics of

stock returns. Developed the option pricing formula and calibrated the

model to S&P500 call options across maturities and strikes.

. Derived the partial integro-differential equation under the GTSP model

for European options. Proposed a higher order implicit-explicit finite

difference scheme to solve the PIDEs.

. Developed an efficient Monte Carlo method coupled with the control

variate technique for the valuation of vanilla and exotic options.

Instructor and Teaching Assistant, University of Delaware, Newark, DE

Sept. 2000 - Jan. 2006

. Held full responsibilities for multivariate calculus including presenting

lectures, holding office hours, and creating homework, projects and


. Led discussion sessions and Maple labs for finite mathematics and


Software Engineer Intern, Sparknet Software Co. Ltd., Nanjing, P.R.China

Feb. 2000 - May 2000

. Project: Management Information System for the Fire Department of Jiangsu

Province: SparkFIRE V1.0

. Analyzed and designed the database framework for the information system.

. Implemented and tested ASP and SQL programs to process all kinds of web



. Teaching Assistantship, University of Delaware

2000 - 2006

. Travel Award, University of Delaware


. Scholastic Excellence, Dean's List, University of Delaware


. People's Scholarship, Nanjing University, P.R.China


. The Second Prize, National Mathematics Contest, P.R.China



. J.Zhou, P.S.Hagan, and G.Schleiniger, "Generalized Tempered Stable

Process and Option Pricing", 34th FMA Annual Meeting, Chicago, IL, Oct.


. J.Zhou and G.Schleiniger, "Monte Carlo Valuation of Path-dependent

Options under the GTSP Model", 13th INFORMS Applied Probability

Conference, Ottawa, Canada, July 2005.

. J.Zhou and G.Schleiniger, "An Efficient Implicit-Explicit Finite

Difference Approach for Option Pricing in Exponential L vy Models",

1005th AMS Meeting, University of Delaware, April 2005.


. English: fluent

. Chinese Mandarin: native


. CFA Level Two candidate.

. H1B VISA Holder

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