Computer Science Sql Server

Kensheen Chen

** **** ****** #*** *** York, NY **005

908-***-**** ********@***.***

Education New York University New York, NY

The Courant Institute of Mathematical Sciences

MS in Mathematics in Finance (expected January 2013)

Finance: Risk-Neutral Measure, Black-Scholes Model, Options Pricing

Mathematics: Brownian Motion, Martingales, Ito Calculus

Computing: Monte Carlo Simulations, Multi-Threading, Distributed Computing

Past Coursework: Stochastic Calculus, Derivatives & Securities, Computing in

Finance, Continuous Time Finance, Quantitative Investment Strategies

Current Coursework: Time Series Analysis and Statistical Arbitrage, Fin Eng

Models for Corp Finance, Computational Methods in Finance, Masters Project

Rutgers University (2007-2011) New Brunswick, NJ

BA in Mathematics, minors in Computer Science and Economics

Overall GPA: 3.77, Math GPA: 3.88 4-year Dean s List

Coursework in Calculus, Differential Equations, Probability and Statistics,

Mathematical Finance, Linear Algebra, Computer Science, Economics

Spot Trading, LLC Chicago, IL

Experience

Financial Engineering Intern (June 2012-August 2012)

Created an early exercise calculator for traders to use on American options

Developed efficient pricing models for American options which increased speed of

current algorithms by 130 times

Optimized root finding algorithm for implied volatility calculations

Engineered framework to correct Put-Call Parity relationship in US Equity options

Designed a trade identification tool to point out bid/ask spreads that stuck out

relative to calibrated volatility surfaces for Commodity options

Coded algorithm which calculated volatility term structure for various option

deltas and populated database for traders to access

Signal Technologies, LLC New York, NY

Quant Development Intern (January 2012-May 2012)

Developed prediction estimators for machine learning algorithms to predict

optimal entry and exit points for algorithmic trading strategies

Back-tested various trading strategies in the equities market

Used python to parse market data and pass predictors to our algorithms

Android Program Development (January 2011-May 2011)

Projects

Wrote application which calculated option values using Black-Scholes formula

Created Android game to simulate Blackjack and test card counting ability

Developed customizable personal calendar application

Programming languages: Java, C/C++, C#, Python, MATLAB

Skills

Other Software: Microsoft Word, Excel, PowerPoint, SQL Server Management Studio

Languages: English(native), Mandarin Chinese (conversational fluency)

Blackjack Card Counting Team

Other

Led a card counting team to play blackjack at casinos in Atlantic City

Recruited members by pitching card counting strategies backed by Monte Carlo

simulations which calculated expected profit, risk of ruin, and Value at Risk

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