Zheng Xu

**** ***** *****, **** ***, Phone: 515-***-**** (cell)

Ames, IA 50010 Email: abpbcz@r.postjobfree.com

Education

Ph.D. Iowa State University, Ames, IA, Available

Co-Major of Statistics & Economics.

M.Sc. Illinois State University, Normal, IL, Aug. 2005

Major of Applied Economics.

Thesis: Estimation of U.S. Money Demand Using the Vector Autoregressive Model

B.Econ. Fudan University, Shanghai, China, Aug. 2001

Major of International Economics & Minor of Computer Science

Certifications

Oracle Certified Professional JAVA SE Programmer (OCPJP) Certification (96% in JAVA 6).

Certified Financial Analyst (CFA) Exam 1.

Associate of the Society of Actuaries (ASA) All Required Exams: (i) Probability, (ii)

Financial Mathematics, (iii) Models for Life Contingencies, (iv) Construction and Evaluation

of Actuarial Models and (v) Models for Financial Economics.

Associate of the Society of Actuaries (ASA) Required VEE Courses: Economics, Corporate

Finance and Applied Statistics.

Securities Association of China (SAC) Fundamental Qualification Exam.

Research Interest

Financial Statistics and Financial Economics, Nonparametric and Parametric Estimation.

Time Series, Stochastic Process, Machine Learning, Statistical Computation.

Asset Pricing, Commodity Market, Industrial Organization, Agricultural Economics.

Publications

On implied volatility for options some reasons to smile and more to correct, a joint work

with Song Xi Chen, in revision with Journal of Econometrics.

The realized yield effect of GM crops: U.S. maize and soybean, a joint work with David

Hennessy, Giancarlo Moschini and Kavita Sardana, in revision with Crop Science.

Estimation of homogeneous stochastic volatility pricing formulae based on option data, under

review of Economics Letters.

Financial factor: rediscovery of investment value, a joint work with Xia Zheng, Modern

Enterprise Herald, 10.

Working Papers

Smoothing in the circle: a modification in nonparametric estimation of periodic functions.

Smoothing or not - on nonparametric estimation of seasonal time series with an application to

electricity prices, a joint work with Song Xi Chen.

On the estimation of Black-Scholes framework based on incomplete data, a joint work with

Xia Zheng.

An extension to the fitting of semi-parametric Markov-switching models for electricity prices.

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Conferences

Have biotech seeds increased maize yields, a joint work with David Hennessy and Giancarlo

Moschini, Agricultural and Applied Economic Association Meeting 2010. (Poster).

Some reasons to smile: implied volatilities in presence of pricing error, a joint work with

Song Xi Chen, Joint Statistical Meetings 2010. (Presentation). This work was also presented

by Song Xi Chen at Financial Mathematics Seminar at University of Chicago.

Working Experience

Risk Analyst Intern Noble Americas Company, Stamford, CT, Jun. 2011-Dec. 2011

o Build models and infrastructures to enhance analytics capability for deals pricing,

trading and structuring.

o Support the risk group by data analysis and statistical consultation.

o Support the risk group by programing (R, C#, Excel VBA, PHP and RPHP).

o Model, simulate and forecast different types of electricity prices.

Teaching and Research Assistant, Iowa State University, Ames, IA 2005-2012.

o Research assistant for Song Xi Chen for the parametric and non-parametric option

pricing of S&P 500 in 2009.

o Teaching assistant at Statistics Department in 2010-2012.

Courses: Engineering Statistics; Applied Time Series; Applied Probability Models;

Introduction to Statistics and Probability; Nonparametric Methods in Statistics;

Statistics Theory for Researchers; Theory of Probability & Statistics.

o Teaching assistant at Economics Department in 2005-2009.

Courses: Econometrics; International Trade; International Trade and Finance;

Money, Banking, and Financial Institutions; Principles of Macroeconomics;

Principles of Microeconomics; Laboratory in Principles of Microeconomics.

Graduate Assistant, Illinois State University, Normal, IL 2003-2005.

o Research assistant for Kevin H. Zhang in Foreign Direct Investment (FDI).

o Teaching assistant for International Economic Analysis and Microeconomic Theory.

Securities Analyst and Webmaster, Shanghai Securities Consulting Company,

Shanghai, China, Feb. 2003- Jun. 2003.

o Conduct securities and investment analysis.

o Construct and maintain the web service for the company products and consultation.

o Two projects are published in Shanghai Securities News.

The investment value analysis report of Tianjin Tasly Company.

A comprehensive analysis report of China s securities market in spring, 2003.

Computer Skills

Engineering programing by JAVA, C / C# / C++, PYTHON, MATLAB and Mathematica.

Statistical and econometric programing by R, SAS, GAUSS, STATA and TSP.

Bloomberg interface, Logical Information Machine (LIM), XML, SQL, ArcGIS and Excel

VBA.

Website programing by HTML, PHP and JavaScript.

Award

T.A. Bancroft Award, Department of Statistics, Iowa State University, 2010.

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