OBJECTIVE
To work as a quantitative strategist or researcher in a hedge fund,
trading house or investment bank with high upside potential.
SUMMARY
. 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.
EDUCATION
. Ph.D. in Financial Mathematics
Aug. 2006
University of Delaware, Newark, DE
Dissertation: Option Pricing Under the Generalized Tempered Stable
Processes.
Advisors: Prof. Gilberto Schleiniger and Dr. Patrick S.Hagan.
. B.S. in Computational Mathematics
June 2000
Nanjing University, Nanjing, P.R.China
EXPERIENCE
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,
respectively.
. 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
exams.
. Led discussion sessions and Maple labs for finite mathematics and
calculus.
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
requests.
AWARDS
. Teaching Assistantship, University of Delaware
2000 - 2006
. Travel Award, University of Delaware
2005
. Scholastic Excellence, Dean's List, University of Delaware
2004
. People's Scholarship, Nanjing University, P.R.China
1996
. The Second Prize, National Mathematics Contest, P.R.China
1995
CONFERENCE PAPERS
. J.Zhou, P.S.Hagan, and G.Schleiniger, "Generalized Tempered Stable
Process and Option Pricing", 34th FMA Annual Meeting, Chicago, IL, Oct.
2005.
. 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.
LANGUAGES
. English: fluent
. Chinese Mandarin: native
OTHER
. CFA Level Two candidate.
. H1B VISA Holder