Project Engineer

F ei Song ** Marvin Lane, Piscataway, NJ

• 732-***-**** • *******@*******.*******.***

M ATHEMATICAL FINANCE (M.S.)

OBJECTIVE: To obtain a position in Quantitative, Computational Finance or related fields.

With steady & extensive knowledge in:

Applied Mathematics & Statistics Finance, Business Management (BA) Science (PhD Experience)

Solid quantitative & computational abilities in C++, MatLab, SAS (Certified Programmer).

and Working and Professional experience in:

Summer Intern (Modeling) Quant and Statistical analysis (2+ years) Science research (5+ years)

Key Words:

Quick learner & Multi-task taker, C++/MatLab/SAS/VBA, Intern & PhD research Experience.

EDUCATION

Rutgers University (New Brunswick), NJ, USA

Major: Mathematical Finance Degree: M.S. Expected Graduation: May 2010 GPA: 3.8/4.0

QUALIFICATIONS

Programming: C++, Matlab, VBA Statistical Packages: SAS, R, Minitab and SPSS

Computer: MS Office (Excel, PowerPoint, Word) Language: Chinese (Native), English (Fluent)

WORKING EXPERIENCE

Data Engineer and Modeler DRBC, Ewing, NJ. May 2009-Present

• Data mining and Statistical analysis of Pre-modeling data, model calibrations for PCB model.

Modeler & Project Coordinator MERI, Lyndhurst, NJ. January 2007-May 2009

• Time Series and Predication model building, Data mining, coordinating different project segments.

Research Assistant & Lecturer Rutgers University, Newark, NJ. September 2006- May 2009

• Proposal, report and paper writing, problems solving, PhD research and undergraduate teaching.

P ROJECTS

Research Thesis: Pricing European Double Barrier Option with Underlying Bates Stochastic Volatility Jump

Diffusion Process Using Monte Carlo Simulation Method. (C++, Excel/VBA)

Built an on-time transactions platform of bond exchange independently with functions including: real-time price

updating, customer management, accounts protection, visualization (C

Cluster Analysis independently to study the potential orthopedic equipment customers and gains in east coastal

regions of US and Contributed to the group project of Statistical Analysis of low income housing in Utah,

Connecticut and New Jersey (SAS)

Serial Projects:

Implementation of financial models using C++, Matlab and VBA (9 Projects). Employed numerical

methods include MC, binomial and trinomial trees, finite difference solution of PDEs, FFT. Assets classes

include equities, fixed income and interest rates and credits.

Financial time series analysis and predication (7 Project + PhD Research). Used AR, MA, ARMA, VAR,

ARCH, GARCH models to study the real market data (R).

RELEVANT COURSEWORK

Advanced Probability and Statistics Fixed Income and Securities Analysis Computational Finance

Data Interpretation Mathematical Finance (Stochastic Calculus) Method of Statistic Inference

Numerical Analysis Programming Finance (C++) Regression Analysis Time Series Analysis

Contact this candidate