Professional Experience Microsoft Office

Zhihao (Henry) Li

** ********* ****, **** ********, NY, 11733, ************@*****.***, +1-631-***-****

Education

State University of New York - Stony Brook University (Master) Aug. 2015 – May. 2017

Applied Mathematics and Statistics (GPA: 3.92/4.00)

Core Courses: Data Analysis, Statistical Methods in Finance, Stochastic Calculus, Quantitative Risk Management, Computational Finance, Capital Market and Portfolio Theory, Analysis of Algorithms.

Honors: Award of honor – Outstanding Achievement and Dedication (Top 1 student under the track),

International Financial Analysis Game - BNP Paribas Ace Manager 2016: Ranked 58/2250.

Zhongnan University of Economics and Law (Bachelor) Sep. 2011 – Jun. 2015

Financial Engineering (GPA: 3.69/4.00)

Core Courses: Stochastic Process, Fixed Income, Derivatives, Cooperation Finance, Statistics.

Honors: People’s Scholarship, Merit Student, Outstanding Diploma Theses: An Empirical Study of Soybean and Soybean Meal Cross-Species Arbitrage.

Professional Experience

GlimmAnalytics. LLC, Port Jefferson, NY Jun. 2016 – Present

Part Time Database and Risk Model Maintenance Intern

Enhanced the robustness of data accessing programs by implementing data checking program. Learnt API of MySQL and PostgreSQL within one week.

Resolved subtle bugs in C++ code under Linux that frustrated the team for a long time.

Improved the speed of risk modules by mpi Parallel Computing and Principal Component Analysis.

Simplified the operation procedure by integrating Risk Budgeting modules into Linux Shell Script.

Improve portfolios’ risk such as Sharp Ratio and CVaR Ratio by Portfolio Optimization methods.

Victory Stone Information Technology Co., Ltd, Wuhan, China Jan. – Mar. 2015

Futures Data and Trading Model Analysis Intern

Validated theoretical correctness of models by Time Series Data Analysis and found the statistical correlation between futures.

Established Statistical Models by MATLAB and Python (NumPy, SciPy) for commodity future spreads.

Revised moving window back-testing platform by integrating transaction cost and rolling cost.

Bank of East Asia, Ltd – Wuhan Branch, Wuhan, China Jul. – Sep. 2014

Mortgage Loan Management and Credit Data Analysis Intern

Assisted in Due Diligence by Financial Statements Analysis to measure companies’ credit worthiness.

Learnt to complete Credit Investigation Records required by central bank.

Projects Experience

Options pricing by MATLAB, C++ and R Jan. – Dec. 2016

Constructed Monte Carlo and Binomial Tree pricing model for European and American options.

Improved calculation volatility by Variance Reduction methods for Barrier Options Pricing.

Implemented Numerical Root Finding algorithm to calculate Implied Volatility based on market data.

Designed C++ option pricing classes with input and output files I/O.

Replicate VIX using SPY options market data based on the algorithm of CBOE by MATLAB.

Credit card data analysis by R and SAS Oct. – Dec. 2015

Cleaned the data with 1000 observations and 21 independent variables by R and Excel.

Selected numerical and categorical variables by Stepwise Regression to test Statistical Significance.

Fitted Logistic Model by SAS procedures to analyze and predict credit quality of borrowers.

Performed Chi-Square Proportion Test to analyze demographic influence such as gender and maritage.

Took ANOVA and Linear Regression to test the relationship between loan duration and credit amount.

Skills and Certifications

Computer Skills: C/C++, MATLAB, Python, Mathematica, R, SAS, Microsoft Office, Access, VBA.

Certifications: Passed Jun. 2016 CFA Level I. Jun. 2017 CFA Level II candidate.

Contact this candidate