Mechanical Engineering Management

Jie Zhu

th

** * ***., ***. **, Pelham, NY *****

315-***-****, *********@*****.***

EDUCATION

NEW YORK UNIVERSITY ( The Courant Institute of Mathematical Sciences ) New York, NY

MS in Mathematical Finance (Sep 2006 Dec 2007) GPA: 3.9/4.0

Mathematics: Ito calculus, martingale, Brownian motion, PDE and optimal control, numerical methods

Finance: pricing and hedging of derivative securities, Black-Scholes, CAPM, mean-variance analysis,

risk management, interest rate and credit models, financial econometrics and statistical arbitrage,

stochastic volatility models, local volatility models, LIBOR market model

Projects: applied Gaussian copula, importance sampling and likelihood ratio methods to compute the

prices and Greeks for Nth to Default Credit Swaps; implemented binomial trees, Monte Carlo and finite

difference methods to price interest rate swaps, variance swaps, exotic options and convertibles

(C extracted instantaneous forward volatilities from market cap quotes by several different methods

UNIVERSITY OF ROCHESTER (Sep 2003 Jun 2006) Rochester, NY

MS in Mechanical Engineering / Ph.D. Candidate GPA:4.0/4.0

Relevant coursework: PDE, finite element methods, and tensor calculus for mechanics analysis

SHANGHAI JIAO TONG UNIVERSITY (Sep 2000 Mar 2003) Shanghai, China

MS in Mechatronics Engineering with specialization in Robotics GPA:3.7/4.0

Relevant coursework: matrix theory, statistics, control theory, object-oriented programming

Patent: "Micro Hexapod Robot Driven by Shape Memory Alloy"; No.: CN02112256.3

EXPERIENCE

PLATINUM GROVE ASSET MANAGEMENT Rye Brook, NY

Quantitative Analyst/Developer Interest Rate / FX Derivatives Desk ( Jan 2008 Oct 2008 )

Interest rate / FX derivative pricing:

calibrated SABR model to price swaptions, caps/floors;

compared two convexity adjustment methods(flat vs. full smile) to price CMS spread options;

applied Gaussian copula, change of numeraire to price forward starting swaptions, muni caps/floors;

generated ratio curve to price muni swaps;

applied currency basis curve to price swaptions, FX forwards, FX options in emerging markets;

calibrated LIBOR market model to swaptions and caps/floors;

Implemented all the pricing and risk models in Java and set up daily run under Linux

BLACKROCK New York, NY

Summer Intern Term Structure Modeling Group (May 2007 Aug 2007 )

Researched and implemented a new interest rate model calibration method by shocking swaption

volatility surfaces with respect to model parameters, reduced the calibration time by 80% (C++)

INTEL PRODUCTS LTD. Shanghai, China

Technical Supervisor CPU Manufacturing (Jan 2003 Jul 2003 )

SKILLS / AWARDS

C++(Brainbench C++ Certification with a score of 4.69), Java, MATLAB, Excel, VBA, Linux, SQL

Language: English (fluent), Chinese (mother tongue)

2nd Prize of China National Olympiad for both Physics and Mathematics (Hubei Province)

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