Management Analyst Assistant C++ Business Software

Yang Gao

**** * *********** ***, ********* Heights, IL

*********@*****.***, Phone: 312-***-****

Education

Illinois Institute of Technology, Stuart Business School Chicago, IL

Master in Mathematical Finance (May 2009)

Coursework: risk-neutral pricing, Black-Scholes model, futures and options theory, commodity investment,

Monte Carlo simulation in derivative pricing, interest rate modeling & fixed income derivative pricing,

market risk & credit risk management, financial time series analysis, stochastic volatility models, portfolio

management, quantitative investment strategies, CAPM, C++ design patterns.

Illinois Institute of Technology, Department of Applied Math Chicago, IL

Master in Applied Mathematics (May 2007)

Coursework: modern stochastic analysis, numerical scheme and stability analysis in partial differential

equations, stochastic dynamics, real analysis.

Beijing University of Aeronautics and Astronautics Beijing, China

Bachelor in Computational Mathematics (June 2005)

Coursework: linear algebra, calculus, probability & statistic, PDE, C/C++ programming.

Employment

Sealand securities Co., Ltd (Partner with Franklin Templeton Investment) Guangxi, China

Quantitative Analyst (Summer 2008)

Successfully implemented the VAR method to analyze the stock performance in China’s market.

Developed the optimization strategy of the portfolio to mitigate sector risks and improve the performance.

Illinois Institute of Technology Chicago, IL

Teaching Assistant (Aug 2005-May 2007)

Tutored the undergraduate student in Matlab programming .

Digital China Holding Ltd Beijing, China

Market Data Analyst (Summer 2004)

Implemented statistical model to forecast the future stock returns.

Computational Projects

Monte Carlo simulation with control variant in Bermudan option pricing, reduce error to less than one penny. (Matlab)

Monte Carlo simulation based on Gauss copula model in valuation of the CDO. (Matlab)

Callable bond pricing based on BK, BDT, and Hull-White short term interest rate model. (Excel)

Implemented explicit, implicit and Crank-Nicholson scheme for solving Black-Scholes PDE. (C++, Python)

Developed efficient binomial tree with Tian’s parameter in pricing American options. (C++, Python)

Implemented linear and quadratic programming in portfolio construction and backtesting.(Matlab)

Estimated the VAR and expected shortfall via analytical, historical, and Monte Carlo simulation.(Matlab, Excel)

Computational Skills

Programming: C/C++, Matlab, Python, SAS, VBA, S-Plus, R

Other Software: MS Office, Maple, Latex, Mathematica

Others

Passed CFA level 1 exam on Dec 2008, CFA level 2 candidates.

Teaching Scholarship of Illinois Institute of Technology. 08/2005 05/2007.

H1B working visa approved, no further sponsorship required.

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