Project Assistant

Amy (Zhujing) Feng

*** *. ***** ******, ***. *D*, New York, NY 10025 • ******@********.*** • 917-***-****

Education

Education

Columbia University (CU) New York, NY

M.S. in Financial Engineering, GPA:3.7/4.0 07/2012 - 12/2013

Relevant Courses: Simulation, Pricing Models, Term Structure, Optimization, Risk Management, Data Mining

The University of Iowa (UI) Iowa City, IA

M.S. in Statistics, GPA: 3.98/4.00 08/2011 - 05/2012

• Recipient of Scholarship for Teaching Assistant

B.S. in Actuarial Science with Highest Distinction and Honors, GPA: 3.98/4.00 08/2008 - 05/2011

• Lloyd A. Knowler Award, and Robert Craig Award for outstanding performance in 2010 and in 2011

• Harold Scholoss Memorial Scholarship from Society of Actuaries in 2010

Zhejiang University (Ranks #3 in China) (ZJU) Hangzhou, China

Major in Computational Mathematics, GPA: 3.7/4.0 (Transferred to UI) 09/2006 - 06/2008

• Second Prize of Zhejiang Province Advanced Mathematics in 2008

Experience

Work Experience

Quantitative Management Associates LLC - Prudential Financial Newark, NJ

Asset Allocation Research Summer Intern 06/2013- 08/2013

• Created Matlab codes to find optimal return and risk for 45 assets by Resampling Mean -Variance Optimization

(MVO) method and built up an Excel user interface for through writing VBA code to call Matlab functions

• Defined regimes by S&P index, simulated regime shifting path, constructed dynamic optimal portfolio and back

tested this portfolio strategy through Matlab

• Reported and presented the results to the whole investment group and answers the questions from professionals

Dept of Statistics & Actuarial Science in University of Iowa Iowa City, IA

Teaching Assistant for Financial Mathematics course 01/2012 - 05/2012

• Created a R algorithm to solve homework problems such as time value and duration of cash flows

• Combined R codes with Perl codes on a Linux operating system to issue, collect, and check students’ homework

Zhejiang Zhongda Futures & Brokerage Co Ltd Shanghai, China

Market Development Department Summer Intern 06/2011 - 07/2011

• Targeted potential customers and assisted them in opening new accounts for financial products

• Provided customers with updated financial product information on a regularly basis

Academic Projects

Implied Correlation Dispersion Trading Project, CU 03/2013 -04/2013

• Obtained implied volatilities of ATM call option on DJX and its component stocks from IVY through SQL

• Built up ARIMA+ GARCH model to predict correlation through R algorithm and created trading strategy based

on the prediction through Matlab

Trading Execution and Dynamic Programming Project, CU 11/2012 - 12/2012

• Wrote a C program to reach optimal daily trading amounts considering market impact on stock prices

Interest Rate Hedging and Option Pricing Project, (Project for Fixed Income), UI 11/2010 - 12/2010

• Applied bootstrap and interpolation approach to raw interest rate data

• Simulated a Vasicek Model and a monthly Black-Derman-Toy tree model to price options through VBA

Publication

A Dynamic Regression Modeling of Daily Nitra-Nitrogen Concentration in Raccoon River, UI 06/2010 - 09/2011

• Developed a time series model and a mixed normal model to analyze daily Nitrate and its residuals by using R

• Paper has been published in Environmental Monitoring and Assessment in Springer in Augsut 2012

Skills & Activities

Programming Language: Matlab, R, VBA, SQL, C, C++, SPLUS, LATEX,

Certificate and Passed Society of Actuaries Exam: FRM I, FM, MLC, P, MFE/3F

Interests: Traveling, Tennis, Skiing, Skating, 9th Grade of Piano from the Music Committee

Activity: Actuarial Science Club Web Monitor in University of Iowa 12/2009 - 12/2010

• Designed and monitored daily club web pages

President of Student Society Union in Zhejiang University 10/2007 - 05/2008

• Evaluated the eligibility of new student organizations

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