Data Engineering

YUE CHAO

**** ***** **** . *** *****, MI *****

*******@*****.*** . 513-***-****

EDUCATION UNIVERSITY OF MICHIGAN Ann Arbor, MI

Financial Engineering

Master of Science in Financial Engineering, December 2009

Related Coursework: Markets Portfolio Analysis and Investments,

Advanced Derivatives Risk Management, Continuous Optimization

Methods, Options & Futures Decision Making, Statistical Analysis

of Financial Data, Stochastic Analysis for Finance

UNIVERSITY OF CINCINNATI Cincinnati, OH

Computer Science

Master of Science, May 2008

Related Coursework: Applied Algorithm Design, Object-Oriented

Programming, Data Structure, Database Management

EXPERIENCE BANK OF CHINA / BAIN & COMPANY, INC. Beijing, China

May 09 - Aug Financial Service Intern in Bank of China front desk

09

Built local volatility and interest rate models to price long

term FX option. The volatility model incorporates FX volatility

smile, and calibrated by actively traded FX option. Selected

Hull-White model as the interest rate model and calibrated by

caplet and swaption market data.

Priced Power-Reverse Dual-Currency swap (FX Linked Notes) through

Monte Carlo methods by integrating the local volatility and

Hull-White models.

Used close form solution to price European, American, Barrier,

Digital FX options, the validation process includes: verified

market data such as exchange rate, yield curve and volatility,

developed pricing models and compared the results with

third-party.

Final valuation of PRDC swap and FX options had an excellent

match with third-party.

Sep 08 - Apr UNIVERSITY OF MICHIGAN Ann Arbor, MI

09

Projects in Financial Engineering

Formulated a monetary model to forecast short and long-term

AUD/USD currency exchange rate movements.

Constructed global asset allocation portfolio using equities,

fixed income, and currencies from developed and emerging markets.

Field Action Project with Integry Energy Company to price energy

spread option and establish delta hedge model.

Jan 08 - Apr SUN MICROSYSTEMS, INC. Cincinnati, OH

08

Graduate

intern

Developed algorithm for parallel computation of inverses matrices

using Java and MPI to demonstrate functionalities of Sun's

product.

Designed a demo to simulate online messaging system utilizing

multiple threads and Java network by Sun's product.

May 07 - Aug THE PROCTER & GAMBLE COMPANY

07

Graduate Cincinnati, OH

intern

Parsed flat chemical and bioinformatics data files using Perl and

UNIX shell scripts and stored them into mySQL database.

Designed algorithm to generate structures of chemical compounds

from data in the mySQL database.

Implemented an algorithm to build chemical and biological data

ontology which uses as chemical compound search engine.

ADDITIONAL Operating systems: MS-Windows, UNIX, Linux

Programming Languages: Java, C/C++, Matlab, VBA, R

Computer Skills: Microsoft Office Products, JSP, MPI, SQL, JDBC

Native speaker in Mandarin Chinese

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