QA Analyst/ Developer

Xiaoliang Xie

Tel: 718-***-**** Email:********@*****.***

SUMMARY

• Extensive experience in C++ (STL, OOP), C (Glib), UNIX (Vim, Shellscript), Database, and User Interface tools from Bloomberg L.P.

• Solid educational background in Math, Finance and Statistics from top Universities.

• Extensive research experience in scientific computing, numerical methods for partial differential equations and optimization problems.

Experience

Bloomberg L.P. (Feb2011 – July2011) NewYork, NY

Software Developer Intern

Created financial software applications for the whole life cycle under UNIX system, including database, service and user interface.

Extensive experience in UNIX (Vim, shellscript), C (glib), C++ (STL, OOP), and database (SQL, comdb/comdb2), User interface tools: Rapid, GTK (programing in javascript, use datalayer to populate data), other Bloomberg technologies (BAS, offline, BDE).

Selected Projects:

1. BLAW Term Search (C/Glib Project), Inplement a system support differet kinds of search, using the data structures made available through Glib (Hashtable, Tree)

2. Debt Deal Maker (C++ project), build a DDM system that matches mortgage sellers and buyers. (STL, OOP, inheritance and polymorphism).

3. Market Maker (Rapid/BAS/COMDB2 Project), write a Bloomberg RAPID function to help market makers maintain their inventory, set BID and ASK prices for the securities they trade, and process trade orders. (User interface (java script)/Server/Database).

Daily Working Environment: UNIX

EDUCATION

THE UNIVERSITY OF CHICAGO Chicago, IL

Master of Science in Financial Mathematics (2008- 2010 GPA 3.6/4.0)

• Finance courses: Portfolio Theory and Risk Management, Interest Rate Derivatives (BGM,

Hull-White, HJM, Principal Component Analysis), Advanced Derivatives Pricing, Foreign Exchange, Financial Data Analysis Analysis of Financial Time Series (Chicago Booth)

• Mathematics courses: Mathematical Foundations for Options Pricing (Black-Scholes formula and the Greeks, Risk Neutrality, Changing Numeraire, Hedging and Replication of derivatives), Stochastic Calculus

• Computing courses: Monte Carlo Simulations, Finite Difference Method, Trinomial Tree, Bermudan, Transform methods (Using Heston Model as an example), Longstaff- Schwartz method

• Project: Programming in C++ to converting moving average differentials into an indicator, perform quantitative analysis (such as finding the parameters to maximize the Net Profit), create trading spreadsheet based on the optimal parameters by VBA (Joint work with a hedge fund).

IOWA STATE UNIVERSITY Ames, IA

Ph.D. in Applied Mathematics (2003-2008 GPA 3.8/4.0)

• Dissertation: Large Time-Stepping Numerical Methods for Higher Order Time-dependent evolution equations

• Course work: Introduction to Stochastic processes, Advanced Probability Theory(Point estimation, Interval estimation, Hypothesis testing, Nonparametric methods), Multivar Stat Method (Principal components, factor analysis, canonical correlations, multidimensional scaling, cluster analysis, classification methods, dynamic graphics), Linear Algebra, Partial Differential Equations, Ordinary Differential Equations, Numerical Optimization, Advanced Topics in Numerical Analysis (level Set Method, Discontinuous Galerkin Method)

NANKAI UNIVERSITY (1999-2003 GPA 3.8/4.0) Tianjin

B.S. Information Science and Scientific Computing

Teaching Assistant (2003-2008 Iowa State University)

Teach college math for Department of Math, Department of ElectronicEngineering and Bussiness School

TECHNICAL SKILLS

Programming Languages: C/C++, VBA, R, SAS and Matlab.

Application Software: MS Word, MS Excel, MS PowerPoint, LateX

Operating System: UNIX, Windows

:PROJECT SHOWCASE:.

• Implement a FX trading stratergy, perform quantitative analysis for historical data, and create trading spreadsheet based on the optimal parameters. (C++, VBA) (Joint work with a hedge fund)

[Abstracts] The trading stratergy involved convert moving average to an indicator. I use C++ to implement the stratergy, perform optimization procedures to find the optimal parameters, and input the parameters to create trading list spreadsheet by VBA Macros.

• Large Time-Stepping Numerical Methods for Higher Order Time-dependent evolution equations.( Ph.D. thesis Iowa State University)

[Abstracts] Usual numerical schemes for Partial Differential Equations with high order spatial Derivatives have stability issues for large time steps. We construct a smoothing orperator for linear equations, and summarize the stability conditions for general linear operators. For semi-linear equations we split the linear and nolinear part and find stable discretizaiton operator separately. For fully nonlinear equations, we use energy method to make the numerical scheme satisfy the energy functional relationship at discrete level. We have designed stable numerical schemes for different types of PDEs with high order derivatives. For each part both theoretical stability analysis and numerical examples are given. (C++/Matlab)

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