YICHEN WANG

610-***-**** ■ ac8evl@r.postjobfree.com

EDUCATION

NEW YORK UNIVERSITY New York, NY

The Courant Institute of Mathematical Sciences

MS in Mathematics in Finance (expected – December 2018)

Coursework: Black-Scholes & Greeks, Monte Carlo simulation, OOP and data structure in Java, Machine Learning, CAPM and multifactor models, linear regression, FX options & Interest Rates, Volatility modeling, statistical arbitrage, numerical methods

Future Coursework: Continuous time finance, time series modeling, big data application

BRYN MAWR COLLEGE Bryn Mawr, PA

BA (Honor) in Mathematics, Minors in Economics and Statistics (2013 – 2017) GPA: 3.8/4.0

EXPERIENCE

FIDESSA

Quantitative Analyst Intern (June 2018 – August 2018) Jersey City, NJ

Built a stochastic model for a limit order book; the book was updated with Deltix L2 tick data in milliseconds (Java virtual machine)

Calibrated the model with ESZ 16’ based on a penalty function, and obtained optimal parameters for initial insertion and cancellation rates of limit orders, and market orders

Performed preliminary tests for mid-price and sizes of orders at each limit order book level; analyzed stationary and difference-stationary properties

Fitted an ARCH model for high frequency log returns of index futures ESZ 16’ (R studio)

Used SVMs to model the real high-frequency limit order book dynamics and to predict mid-price movement; performed cross validation and grid search for feature selection; SVM performances were evaluated with accuracy (0.6563) and F-1 score (0.722) (Java, Python, Excel)

WHARTON SCHOOL, UNIVERSITY OF PENNSYLVANIA Philadelphia, PA

Statistics Research Assistant (February 2016 – August 2016)

Implemented a Bayesian changepoint model to solve the Parasite Clearance Estimation problem

Optimized estimates of the treatment effects via utilizing individual-level data in R; reduced mean square error of estimators by 75% compared to those of the classical method

PROJECTS

NEW YORK UNIVERSITY New York, NY

Implied Volatility Smile for FX

Calibrated SABR model for the implied volatility for FX options with ATM, 25d RR, 25d BF quotes; constructed the implied volatility smile in Python

Portfolio risk management with VaR

Filled in missing data with Bootstrap, Brownian Bridge and Regression-based techniques in Excel

Estimated VaR with variance/covariance, historical simulation and Monte Carlo simulation

Backtested portfolios for 95% and 99% VaR and evaluated desk-level limits set on VaR

Option Pricing with Monte Carlo Simulation

Built an extendable Java-based Monte Carlo option pricing framework in Java

Reduced errors of simulation results and achieved faster convergence rate with three techniques, antithetic variate, importance sampling and stratified sampling

Implemented parallel computing via middleware using Java Message Service (ActiveMQ)

Performed the GUI computing (openCL) to improve the process

K-Means Clustering in Java

Implemented and improved the Lloyd’s algorithm to perform generic multi-dimensional point clustering and fixed-size clustering; measured the efficiency with within-cluster distance variance

COMPUTER SKILLS/OTHER

Programming Languages & Other Software: Java, R, Python, Mathematica, SPSS, STATA, LaTeX

Certificates: Passed Actuarial Exam P and Exam FM

Contact this candidate