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New graduate seeking for quantitative jobs

Location:
Causeway Bay, Hong Kong Island, Hong Kong
Posted:
November 12, 2017

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Ye, Lin

Cell: +**-***-****-**** E-mail:ac290h@r.postjobfree.com

EDUCATION

The University of Hong Kong Hong Kong

Master of Science in Computer Science (Financial Computing Stream) 2016.09–2018.06

• GPA: 3.75/4.3

Southwestern University of Finance and Economics Chengdu Bachelor of Economics in Financial Engineering 2012.09–2016.06

• GPA: 3.8/5.0; Ranks: 7/138; Multiple academic scholarships COURSEWORK/SKILLS

Programming: C++, Python, Java, SQL, MATLAB, SAS, VBA Math: Differential Equation, Stochastic, Advanced Algebra, Calculus and Modeling, Game Theory Statistics: Econometrics, Mathematical Statistics, Time Series, Probability Theory Finance: Financial Derivatives, Fixed Income, Economics, Accounting, Asset Pricing, Corporate Finance EXPERIENCE

The University of Hong Kong Hong Kong

Dissertation: Implied Volatility Surface Parameterization 2017.02–now

• Model Optimization:Studied implied volatility surface parameterization and optimization methods on SABR and SVI model

• C++ Program Design:Implemented the implied volatility surface parameterization algorithms with C++ and integrated the algorithms based on C++ design pattern

• Empirical analysis:Performed empirical tests and optimized parameters via the A50 ETF, A50 ETF Futures and Options minute level data

The University of Hong Kong Hong Kong

Course Project: Option Pricing Software Development 2017.03–2017.04

• Asset Pricing Modeling:Priced European options with BS model, applied CRR trees and Snell Algorithm to solve early execution problem, and employed Monte Carlo simulation to evaluate exotic option; used Newton method to numerically solve for implied volatility

• Calculation Optimization:Employed quasi-Monte Carlo and GPU calculation to optimize Monte Carlo simulation

• GUI Development:Implemented and optimized the option pricing algorithms; designed and developed the user interface Southwestern University of Finance and Economics Chengdu Project: Fund Performance Analysis 2016.07–2016.08

• Fund Performance Analysis:Determined the top 50 well-performed funds within 1000+ funds by various methods including descriptive statistics, regression model, combined model, Spearman’s rank correlation coefficient and cross product ratio

• Time Series Modeling:Examined the effect of the past sensitivity of factors by adjusting the variables with the past betas, cross-autocorrelation model, and time series model; verified the bear and bull market by combining results of the intersection of different MA of SHCOMP Index with RSI

• Back Testing:Back tested the strategy and performed parameter optimization to improve the portfolio performance, assisted team members to complete the analysis report about the strategy parameters effect on investment yield Guotai Juan Securities Co., Ltd Shanghai

Research Assistant Intern 2015.11–2016.02

• Equity Research:Searched on Wind, Bloomberg, worldwide energy statistical yearbooks, and related documents to collect renewable energy data; assisted to build the CCER dataset in China Carbon Finance Market

• Data Analytics and Visualization:Investigated the industrial scale of wind power and hydropower, analyzed the equilibrium of supply and demand, and got the main factors for supply; analyzed and predicted the trend of supply and demand via the regression model, and visualized the data through Tableau

• Report Writing:Reviewed academic papers and professional reports about carbon finance, and made comparison and summary; participated in writing the report about the status and development of China Carbon Finance Market Southwestern University of Finance and Economics Chengdu Course Project: Quantitative Finance Product Design 2014.04–2014.09

• Model Validation: Tested an Alpha strategy for China’s A share stock market provided by supervisor in MATLAB

• Optimization: Improved the stop loss mechanism of the trading system and added dynamic position allocation features on it; dramatically improved performance from 6% APR to 12% APR with 5% MDD

• Transaction Cost Analysis: Analyzed and predicted transaction cost based on minute level ask-bid data and volume ADDITIONAL INFORMATION

Language:Bilingual and professional proficiency in English and Mandarin (native) Hobbies:Night Running, Texas Hold'em Poker, Body Building, Hiking, Photography School Activities:Member of Model United Nations Society in SWUFE, participated in MUN Competition in year 2013



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