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PhD in applied math seeking quant developer job

Location:
Stony Brook, NY
Posted:
February 27, 2015

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Resume:

** *****

Court,

Apt

****

(***)

***-

****

H S I N -

C H I A N G

C H E N

Jersey

City

NJ

07310

acoimm@r.postjobfree.com

EDUCATION

PhD

candidate,

Applied

Mathematics

and

Statistics,

09/2010

now,

GPA:

3.64/4.0

Stony

Brook

University,

NY

MBA

in

Finance,

09/2004

06/2006,

GPA:

3.95/4.0

(financial

engineering

focus)

National

Taiwan

university,

TW

BBA

in

Finance,

09/2000

06/2004,

GPA:

3.63/4.0

National

Taiwan

university,

TW

CS

SKILLS

4

years

experience

of

software

development

with

C/C++

under

Linux/Windows

OS

and

large-

scale

numerical

simulations

on

supercomputers/Linux

clusters

2

years

experience

in

building

parallel

software

under

distributed

systems

and

multi-

threaded

environments

and

the

parallel

computing

APIs

MPI

and

OpenMP

Very

strong

in

OOD,

Algorithms,

and

Data

Structures

Proficient

in

SAS

data

mining

and

statistical

analysis

and

Familiar

with

Python

and

Bash

shell

scripts

and

SQL,

and

DBMS

such

as

MySQL

and

PostgreSQL

PROFESSIONAL

EXPERIENCE

09/2012

present,

Research

Assistant,

Stony

Brook

University,

NY

• See

Project

1

11/2007

03/2009,

Hedge

Trader,

Polaris

Securities

Co.

Ltd.,

Taipei,

TW

• Issued

and

delta-

hedged

~$15

million

(in

face

value)

equity-

linked

structured

products

(ELNs)

• Modeled

and

priced

ELNs

and

built

software

using

C/C++,

VBA,

and

MATLAB

(50%

time

on

programming)

• Explored

numerical

techniques

including

decomposition/PDE

(finite

difference)/Monte

Carlo

Simulation

with

variance

deduction

methods;

had

experience

using

SQL

and

Bloomberg

machines

PROJECTS

02/2012

present:

Large-

scale

3D

simulation

of

fluid

under

Lagrangian

framework

(Supported

by

Brookhaven

National

Laboratory)

[C/C++/STL,

OpenMP

and

MPI,

OOD,

Python

and

Bash

shell

script,

Git,

DDD

debugger,

Unix/Linux]

• Developed

a

new

numerical

method

for

solving

Euler’s

equation

of

fluid

dynamics

(JCP

paper

submitted

2015)

• Designed

and

developed

with

4

team

members

2

fluid

simulation

libraries

in

C/C++

using

OOD

(polymorphism,

templates,

and

design

patterns

such

as

“singleton”,

“abstract

factory”)

• Programmed

under

multi-

threaded

environments

using

OpenMP;

exploited

loop-

level

(local)

and

parallel

region

(global)

parallelization;

using

synchronization

techniques

like

“critical”

and

“atomic”

directives

and

“lock”

runtime

routines

to

avoid

data

races;

achieved

5

times

speedup

on

8

threads

• Coded

under

distributed

systems/Linux

clusters

using

MPI;

synchronized

memory

buffer

exchange

using

“barriers”;

rebalanced

loads

using

self-

designed

techniques;

achieved

8

times

speedups

on

12

cores

• Automated

tasks

using

Python

and

Bash

shell

scripts:

running

large-

scale

simulations

on

Linux

clusters

-

>

post-

processing

of

data

for

visualization

-

>

making

tarballs

of

selected

files

• Co-

designed

2

nearest

neighbor

search

algorithm;

one

using

octrees

(O(nlogn)-

time),

and

the

other

using

a

grid-

cell-

based

spatial

hashing

algorithm

(O(n)-

time

(brute-

force

is

O(n2)-

time)

• Designed

an

“interleaving”

algorithm

to

avoid

data

copies

and

achieved

30%

speedups

(with

10%

extra

space)

• Accumulated

serial/parallel

programming

experience

by

coding/debugging

4~6

hours/day

for

the

past

3

years

06/2005

06/2006:

Option

pricing

by

pentanomial

trees

(MBA

thesis

project,

National

Taiwan

University,

TW)

[C/C++/STL,

OOD,

SAS]

• Developed

a

pentanomial-

tree

algorithm

for

pricing

stock

options

under

GARCH-

jump

processes

2

• Achieved

O(n )-

time

complexity

after

adding

jumps

to

the

underlying

stock

(best

tree-

based

algorithm

under

no-

jump

context

is

also

O(n2)-

time)

• Implement

various

financial

algorithms

for

option

pricing

using

C/C++

(programming

time:

3

hours/day)

• Analyzed

and

visualized

statistical

features

of

the

stock

return

distribution

using

SAS

11/2005

06/2006:

Adjust

coffee

taste

to

improve

sales

(SAS

class

project,

Applied

Statistics

Center,

TW)

[SAS,

SCA,

SQL]

• Co-

worked

with

5

team

members;

built

and

used

customer

database

from

questionnaires

using

SQL

• Performed

data

mining

using

SAS

based

on

theories

such

as

linear

regression

and

hypothesis

testing,

logistic

regression,

principal

component

analysis,

factor

analysis

and

cluster

analysis

• Interpreted

statistical

results

for

suggestions

on

market

segmentation

and

other

marketing

strategies

11/2004

01/2005:

Financial

time

series

analysis

(Time

series

class

project,

National

Taiwan

university,

TW)

[SAS,

SCA]

• Applied

regression

and

time

series

models

(MA,

AR,

ARMA,

ARIMA,

GARCH)

to

analyze

financial

(stock

price)

and

economic

data

(GDP)

using

SAS

and

SCA

COURSEWORK

CS:

data

structure

and

algorithms,

computer

programming,

machine

learning,

DBMS

&

SQL

Stat:

mathematical

statistics,

probability

theory,

stochastic

processes,

data

mining,

time

series

analysis

Math:

ODEs,

numerical

methods

for

solving

PDEs,

numerical

methods,

numerical

linear

algebra

Finance:

continuous-

time

finance,

econometrics,

financial

computing,

futures

and

options

market

PUBLICATIONS

• H.

Chen,

R.

Samulyak,

and

W.

Li,

“Lagrangian

particle

method

for

compressible

fluid

dynamics”,

J.

Comput.

Phys.,

submitted,

2015

• R.

Samulyak,

H.

Chen,

H.

Kirk.,

K.

McDonald,

“Simulation

of

high-

power

mercury

jet

targets

for

neutrino

factory

and

muon

collider”,

Proc.

NA-

PAC

2013,

North

American

Particle

Accelerator

Conference,

Sep.

29

-

Oct.

3,

2013,

Pacadena,

CA,

paper

TUPBA09

• H.

Chen

and

R.

Samulyak,

“Lagrangian

Particle

Method

for

Compressible

Euler

Equations

based

on

Generalized

Finite

Differences”,

12th

U.S.

National

Congress

on

Computational

Mechanics,

Raleigh,

North

Carolina,

July

22-

25,

2013.

• H.

Chen

and

Y.

Lyuu,

“A

tree-

based

algorithm

for

option

pricing

under

GARCH-

jump

processes”,

MBA

Thesis,

Department

of

Finance,

National

Taiwan

University,

2006



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