Assistant Information Technology

KUN LIU

**** ********* ******, *** ***

Houston, TX 77005

Tel: 832-***-****

Email: ***.***@****.***

EDUCATON

Ph.D., Computational and Applied Mathematics, Rice University, Houston, Texas 05/2010-05/2012

GPA: 3.97

M.A., Computational and Applied Mathematics, Rice University, Houston, Texas 08/2008-05/2010

GPA: 3.96

B.A., Applied Mathematics, China University of Mining and Technology, Jiangsu, China 09/2004-06/2008

GPA: 3.97 Major, Rank: 1/171 with honor

COURSEWORK

Computational Science; Foundation of Computer Information Technology; Numerical Methods for PDEs; Numerical Analysis;

Probability Theory; Stochastic Processes; Options, Futures, and Other Derivatives (Focus on Pricing of Derivatives).

PROFESSIONAL EXPERIENCE

Intern, British Petroleum, Quantitative Research Group, Houston, Texas 06/2011-08/2011

Worked as the main player in load forecasting team in Quantitative Research Group in North America Gas & Power.

Created ARMAX package with 10,000+ lines of SCILAB codes to forecast the load of PJM zones for power trading team.

Generated a more accurate load forecasting than PJM load forecasting with respect to 1.5% daily error by back testing.

Reduced traders loss arising from PJM forecasting by computing the correlation of PJM model and my ARMAX model.

Intern, Merrill Lynch, Global Wealth Management Group, Houston, Texas 01/2011-04/2011

Managed the trading software by using Excel VBA, which aided in the investment of $650,000,000 in properties and assets.

Provided service for the Senior Vice President by tracking economic indicators for energy and technical sectors.

Identified mispriced equities through technical and fundamental analysis.

Maximized client s profits by analyzing home mortgage rates and policy, and by building long term relationships.

Teaching Assistant, Rice University, Houston, Texas 08/2009-12/2010

Assisted 20 students in a graduate level programming class that used C and C++.

Lectured 40 students in a MATLAB programming class with a final evaluation of A .

Research Assistant, Rice University, Houston, Texas 05/2009-05/2012

Developed a C code package, which implements Monte Carlo Discontinuous Galerkin (MCDG) methods for solving

parabolic partial differential equations with random input data.

Used C programming language every single day on implementing MCDG and stochastic collocation DG method.

Explored using MCDG on Black-Scholes differential equations for European option pricing.

Reduced the computational cost of MCDG via implementing MPI parallel computing in a large-scale elliptic model.

Research Assistant, Financial Mathematics Group, Jiangsu, China 02/2006-06/2007

Published a paper: A Note on a Minimax Rule for Portfolio Selection and Equilibrium Price System, Applied Mathematics

and Computation, 208(1) (2009) 49-57.

Derived an analytical optimal solution to the minimax model for the portfolio selection problem without riskless assets or

short sale restriction by using Lagrange multiplier method.

Honored Outstanding Thesis, on graduate project Mathematical Properties of Risk Measurements CVaR and VaR .

Ranked The Most Outstanding Student Researcher in financial engineering program which covers capital asset pricing

model, Greeks, exotic option pricing, bond options and credit risk evaluation.

SKILLS

Computer: SQL, Java, C/C++, MATLAB, SCILAB, Excel VBA, PowerPoint, LaTeX, MPI.

Financial Modeling: portfolio selection, interest rate derivatives, equity pricing model and market risk models.

AWARDS

Rice Graduate Fellowship 08/2008-05/2009

National Merit Scholarship 10/2007

Honorable mention in the International Interdisciplinary Contest in Modeling 02/2007

National 1st place in China University Mathematical Contest in Modeling 10/2006

EXTRACURRICULAR ACTIVITIES

President, Undergraduate Student Association 06/2006-06/2007

Competitive Rice club basketball player, avid lover of traveling, hiking, skydiving and classical music

Contact this candidate