Manager Analyst

RYAN MOK

*** *. ****** ***, **** **C 646-***-****

Chicago, IL 60611 *******@***.***

EDUCATION

CARNEGIE MELLON UNIVERSITY, TEPPER SCHOOL OF BUSINESS New York, NY

Master in Computational Finance 9/08 - 05/11(expected)

. An interdisciplinary program including finance, mathematics,

statistics and programming

. Coursework topics included

o Applied Mathematics - Stochastic Calculus (Ito's Formula,

Martingale & Markov Property, SDE), Numerical Method

(Discretization and Finite Difference Method), Monte Carlo

Simulation, Statistics, Probability and Time Series Analysis

o Financial Modeling - Black Scholes Model, Stochastic Volatility

Model, Ho-Lee Model, Vasick Model, CIR Model, and HJM Framework

o Programming - C++,MATLAB, Excel VBA and SPLUS

ILLINOIS INSTITUTE OF TECHNOLOGY Chicago, IL

Master of Science in Finance 9/02-03/04

HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY Hong Kong

Bachelor of Science in Civil Engineering

9/99-5/02

Final Project: Implemented Genetic Algorithm to find the optimum

structure under material constrain (MATLAB) 05/02

EXPERIENCE

CITADEL INVESTMENT GROUP Chicago, IL & New York, NY

Valuation Analyst 10/08 - present

. Developed and implemented the valuation verification framework for all

products trading across the Citadel Managed Funds

. Implemented Monte Carlo Simulation to price illiquid Enhanced

Equipment Trust Certificate (EETC) Bond, which is backed by leases on

commercial airliners.

MORGAN STANLEY New York, NY

Senior Manager - Valuation Risk Group 10/05 -10/08

. Performed independent valuation and calibration for Interest Rate

Option/Exotic Desk

. Developed a spreadsheet to calibrate the ATM, and Skew Volatility of

SABR model

. Calibrated the ATM Forward Volatility Grid of the HJM framework model

. Calculated implied in-house model parameters to the broke quotes,

products included Bermudan Swaption, CMS Spread Option and Forward

Volatility

. Communicated the complex numerical result to desk traders and senior

trading management

. Promoted from Associate to Manger in the first year, and promoted to

Senior Manager in the second year

BANK OF AMERICA Chicago, IL

Analyst - Quantitative Middle Office 08/04 - 10/05

. Analyzed and validated the risk for both vanilla and exotic Interest

Rate desk

CHICAGO BOARD OF TRADE

Chicago, IL

Floor Trader Assistant

09/03 - 08/04

. Developed and managed delta hedging spreadsheet for option market

marker

. Received salary increase four times in a year based on the performance

ADDITIONAL INFORMATION

. Interest: Soccer, Swimming, Squash, and Reading

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