Project Risk Management

YANHUI MI

***-** **** **, ***. ***

Phone: 765-***-****

Forest Hills, NY 11375

Email: abodht@r.postjobfree.com

[pic]

Professional Objective

Quantitative Analysis, Financial Derivative Analysis, Asset Pricing, Model

Valuation, Quant Development, Statistical Arbitrage, Machine Learning,

Portfolio Analysis, Financial Econometrics, Risk Management, Marketing

Analysis, etc

[pic]

Working Experiences

< Quantitative Analyst, Standard Chartered Bank

2011.1 ~ 2012.12

. Built swap curves based on different financial instruments of fixed

incomes to price bonds, interest rate swaps, and cross currency

swaps.

. Implemented and calibrated different interest rates models such as

short rate models (Hull-White), Libor market model and SABR model.

. Used short rate model to price some complex products such as

Bermudan Swaption by numerical methods such as trees.

. Calibrated the credit model such as hazard rate model from CDS.

. Learning the CVA models.

< Research Assistant, Purdue University

2006.8 ~ 2010.12

Project: A new stochastic volatility model with jumps for equities with

Bayesian analysis and option pricing

. Built stochastic volatility models for Black-Scholes and Levy

process based on Non-Gaussian Ornstein-Uhlenbeck process.

. Used Levy subordinator to improve the models and made Bayesian

estimation and prediction with MCMC algorithm for the volatility

and future returns.

. Produced more efficient asset pricing for equity options based on

the model.

Project: Time series analysis of the stocks based on AR-GARCH model.

. Analyzed the stock dataset and found the important features of the

data and then fit AR model on the returns and GARCH model on

volatility.

. Provided a simple approach to calculating value at risk of a

financial position in risk management.

[pic]

Education

< Purdue University, Ph.D. in Mathematical Finance

2010

. Research areas: Financial Modeling, Stochastic Calculus, Applied

Probability, PDE, Time Series, Monte Carlo Simulation, Finite

Difference, Data Mining, Regression, Principle Component Analysis,

Classification & Clustering

< Indiana University, M.A. in Mathematics

2005

< Peking University, B.S. and M.S. in Mathematics

2003

[pic]

Advanced Computer Skills

< Proficient with C, C++, and Excel VBA Programming.

< Proficient with Matlab, R/S-Plus, SQL, SAS, and Microsoft Offices.

[pic]

Self Evaluation

< Highly motivated and confident individual with excellent communication

and interpersonal relationship skills.

< Both cooperated and independent with responsibility.

< Broad scope of knowledge and adaptability to keep learning.

Contact this candidate