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