Resume Packet
NO.STUDENT MAJOR(S)GRAD DATE 1Chae Young Ahn MSCF-Pittsburgh Dec 2009
Dec 2009 2Baldeep Anand MSCF-Part-time (both NY &
Pgh)
3Bharathan Balasubramanian MSCF-Pittsburgh Dec 2009 4Samrat S Batth MSCF-New York Dec 2009 5Stephen Casciano MSCF-Pittsburgh Dec 2009 6Ivy Chen MSCF-Pittsburgh Dec 2009 7Aijun Du MSCF-Pittsburgh Dec 2009 8Junson Euh MSCF-New York Dec 2009 9Rohit Garg MSCF-Pittsburgh Dec 2009 10Philip M Hong MSCF-New York Dec 2009 11Hipolito Iturraspe MSCF-Pittsburgh Dec 2009 12Zheng Ping Jiang MSCF-Pittsburgh Dec 2009 13Kang Jin MSCF-New York Dec 2009 14Euimyung Jung MSCF-New York Dec 2009 15Alexander Keller MSCF-Pittsburgh Dec 2009 16Mintaek Kim MSCF-Pittsburgh Dec 2009 17TaeHong Kim MSCF-Pittsburgh Dec 2009 18Xiaopeng Li MSCF-Part-time (both NY &
May 2010
Pgh)
May 2010 19Jung Lim MSCF-Part-time (both NY &
Pgh)
20Vikrant Manwatkar MSCF-New York Dec 2009 21Shouhua Nie MSCF-New York Dec 2009 22Martin Oberhuber MSCF-Pittsburgh Dec 2009 23Arsa Oemar MSCF-Part-time (both NY &
May 2010
Pgh)
24Swati Raghupathy MSCF-Pittsburgh Dec 2009 25Chuh-Hun (Sean) Ryo MSCF-Pittsburgh Dec 2009
NO.STUDENT MAJOR(S)GRAD DATE 26Ali Saad MSCF-New York Dec 2009 27Jeffrey H.S. Tay MSCF-Pittsburgh Dec 2009 28Chaoxiong Wang MSCF-New York Dec 2009 29Ryan Whidden MSCF-Pittsburgh Dec 2009 30Wei Xie MSCF-Pittsburgh Dec 2009 31Xiaohui Yang MSCF-New York Dec 2009 32Xueyang Zhao MSCF-Pittsburgh Dec 2009 33Feng Zou MSCF-Pittsburgh Dec 2009
CHAE YOUNG AHN
5701 Centre Ave., #1109 412-432-6326 Pittsburgh, PA 15206 cyahn@https://www.doczj.com/doc/e86181133.html,
EDUCATION
CARNEGIE MELLON UNIVERSITY, TEPPER SCHOOL OF BUSINESS Pittsburgh, PA Master of Science in Computational Finance – MSCF GRE Quant: 800/800 12/09 ?Courses: Multi-period Asset Pricing, Statistical Arbitrage, Stochastic Calculus, Financial Computing, Time Series Analysis ?Memberships: Quantitative Finance Club, Graduate Finance Association
YONSEI UNIVERSITY Seoul, Korea Bachelor of Business Administration GPA: 3.7/4.38/08?Concentration: Finance, Mathematics
?Honors Student: Fall 2005; Merit Scholarship: Spring 2005 and 2006
?Leadership: VP of the JSC Finance Club, oversaw the academic development of club members and processed recruiting UNIVERSITY OF CALIFORNIA, SAN DIEGO La Jolla, CA Exchange Student, Mathematics GPA: 3.7/4.01/06-12/06?Provost’s Honors: Spring and Fall Quarter
?Selected by Yonsei University from students with highest GPA and English proficiency
?Conducted research on efficient markets under professor supervision
EXPERIENCE
CITIGROUP GLOBAL MARKETS ASIA Hong Kong Intern, Equity Derivatives Trading5/09 – 6/09
?Improved existing vanilla options pricer; embedded calculation of new price relative to change in the dividend assumption and adjustment to the implied volatility; resulted in more efficient price quote
?Simulated dynamic hedging under different scenarios and analyzed the sources of profits and risk profiles
?Developed VBA application to automate existing warrants data, which supported Citi’s first new warrants issue since Oct 08 ?Developed application to update volatility and correlation data on a daily basis; currently used by the sales force
?Generated virtual portfolio of stocks listed in HSI and Kospi Index and outperformed the market by 5.35% in a month ?Assisted in the trading strategy on vanilla call option on CNOOC
BARCLAYS CAPITAL Singapore Intern, Emerging Markets Rates Trading7/09 – 8/09
?Designed application that consolidates and updates live risk profiles and profits of swaptions, caps, floors, and straddles;
currently used by traders to continuously monitor and hedge positions; streamlined risk and position management ?Updated and documented market conventions of the rates market in the Asia-pacific region for hedge fund clients
?Assisted traders in monitoring FX fixings report for non-deliverable trades
WOORI INVESTMENT & SECURITIES Seoul, Korea Intern, Equity Derivatives Trading7/08 – 7/08?Prepared data for traders utilizing Bloomberg to create a database for the prearranged issue of equity-linked warrants
?Developed VBA application for traders to automate new issue data on equity-linked warrants for the Korean Financial
Supervisory Service
?Reduced document generating time by 10 times and increased efficiency of semi-weekly processes
WOORI INVESTMENT & SECURITIES AMERICA INC. New York, NY Intern, Equity Research, Operations 7/06 – 8/06?Collaborated with research analyst to update research news on the Korean market on a daily basis
?Managed and kept track of daily trading transactions and performed reconciliation on a weekly basis
?Collaborated with back office to prepare accounting documents for the semi-annual report to headquarters
ADDITIONAL INFORMATION
?Software: C/C++, MATLAB, Excel/VBA, R, S-PLUS, Bloomberg
?Volunteer Activities: Assisted in the organization of the World Knowledge Forum “Creativity & Collaboration: Foundation for the New Era”, which featured Jack Welch and 135 other worldwide speakers
?Interests: Swimming, Traveling, Piano (Soloist at 2006 UCSD International House Piano Concert)
BALDEEP ANAND
20 Newport Pkwy., Apt.1002 (212) 518-1333 Jersey City, NJ 07310 banand@https://www.doczj.com/doc/e86181133.html,
EDUCATION
CARNEGIE MELLON UNIVERSITY, TEPPER SCHOOL OF BUSINESS New York, NY Master of Science in Computational Finance – MSCF GMAT: 760/80012/09
?Coursework: Corporate Finance, Fixed Income, Options, Statistical Arbitrage, Financial Time Series Analysis,
Probability, Statistics, Stochastic Calculus for Finance, Numerical Methods, Simulation Methods for Options
Pricing and Variance Reduction Techniques.
?Statistical Arbitrage Project: Generating Excess Returns using Short Volatility Trading Strategies like writing calls, puts and straddles on S&P500 index.
UNIVERSITY OF FLORIDA Gainesville, FL Master of Science in Computer Science GPA: 3.8/4.05/03 SHRI G.S. INSTITUTE OF TECHNOLOGY AND SCIENCE Indore, India Bachelor of Engineering in Computer Engineering GPA: 3.9/4.05/00
EXPERIENCE
BARCLAYS CAPITAL Singapore Summer Associate, FX Trading06/09-08/09
?Rotated on the G10 FX spot, Forwards and Short-dated Options market making desks. Also, shadowed traders on other desks like Emerging Markets Rates desk and Commodities Trading desk.
?Pitched several spot trading and option trading ideas to the desk based on macro-economic research, positioning, liquidity, central bank policies and technical analysis.
?Learned several products like Treasury Futures, FX forwards, Cross Currency Basis Swaps, Forward Rate
Agreements, Interest Rate Swaps, Vanilla options and short dated Exotic Currency Options and how they are
used by the desk to generate revenue.
?Used Excel/VBA to improve several daily processes on the desk by automating them.
GOLDMAN SACHS New York, NY Lead Developer, Fixed Income Currencies and Commodities07/04-06/09
?Managed the development of systems for the Natural Gas, US Power and Oil Sales and Trading to enhance and enable the smooth functioning of the real time risk management system in SecDB/Slang (the proprietary risk
management platform at Goldman Sachs).
?Initiated and led the development of tools to present accurate PnL to traders for the physical natural gas trades, physical tolls and spark spread deals in a fast paced environment in Slang. These tools resolved several
problems with the legacy system that showed huge unexplained swings in PnL on a daily basis.
?Led the execution of exotic new deals by working with several cross-functional teams to enhance applications
built on the strategic risk management platform for the commodities trading business.
?Enhanced the natural gas scheduling system and the power scheduling system. The system supports matching and parceling trades done to buy and sell natural gas on the different pipelines across the country.
?Led the development of trade processing systems for Interest Rate Derivatives, Credit Derivatives, Equity
Derivatives and Mortgage Derivatives using distributed services written in Java.
GENERAL ELECTRIC ENERGY Atlanta, GA Consultant, Business Analyst for Comptel Inc and Kelly Services8/02-06/04
?Led the deployment of seven customer-facing Java based applications as part of a $180 million dollar initiative at GE Energy (former GE Power Systems).
ADDITIONAL INFORMATION
?Certifications: Passed the CFA Level 1 examination in 2008.
?Leadership: Board of Directors, University of Florida Alumni Association, Tri-state Chapter.
?Interests: Markets and Financial Research, Trading Strategies, Tennis, Volleyball.
?Volunteer Work: Taught computer skills (Microsoft Windows and Office Suite) to elderly small business owners to help them manage their businesses more effectively. Led a team of volunteers for Hurricane Katrina Relief to
Baton Rouge, LA.
?Technology: Excel/VBA, Matlab, S-plus, R, Slang, Sybase, Java, C, C++.
U.S. Permanent Resident Adjustment of Status (with Employment Authorization)
BHARATHAN BALASUBRAMANIAN
5870, Phillips Avenue, Rear (412) 370-5732
Pittsburgh, PA 15217 bharathanb@https://www.doczj.com/doc/e86181133.html,
EDUCATION
CARNEGIE MELLON UNIVERSITY, TEPPER SCHOOL OF BUSINESS Pittsburgh, PA
Master of Science in Computational Finance - MSCF GRE (Quant): 800/80012/09
?An interdisciplinary program including Finance, Programming, Mathematics, and Statistics.
?Memberships: Graduate Finance Association, Alpha Asset Management Club (VP-MSCF).
?Quant Courses: Stochastic Calculus for Finance, Fixed Income Derivatives, Linear Models, Statistical Inference.
?Finance Courses: Options, Asset Pricing, Economics, Corporate Finance, Simulations, Econometrics.
INSTITUTE FOR FINANCIAL MANAGEMENT & RESEARCH Chennai, India
Certificate in Advanced Finance GPA: 3.52/4.0006/07
ANNA UNIVERSITY, SSN COLLEGE OF ENGINEERING First Class with Distinction Chennai, India
Bachelor of Engineering in Computer Science & Engineering 04/05
?Honors & Awards: Sports Scholarship & Full Merit Scholarship Recipient.
?Team Work: Member of the Tennis & Squash Teams; Won various tournaments for the college.
EXPERIENCE
STUYVESANT TRADING GROUP LLC. (An Equity Options Market-Making Firm at NYSE)New York, NY
Assistant Trader - Intern05/09 – 08/09
?Trading: Managed option book positions to assist volatility traders by delta hedging and gamma scalping.
?Volatility Modeling: Constructed Dynamic Implied Volatility Surface in Excel and VBA using Cubic Splines to
calculate skew and ATM volatilities based on market data for different maturities. This was used by traders to
make markets efficiently by comparing data with historical realized volatilities for similar deltas and expirations.
?Electronic Trading: Developed volatility monitoring application using proprietary algorithm in C++ to enable
traders to make markets electronically.
?Options Analysis: Participated in research on developing trading ideas in ETF options.
India ICICI BANK LTD. (The Second Largest Bank in India) Chennai, Management Trainee – Global Markets Group07/07 – 07/08
?Strategy: Generated Foreign Exchange and Interest Rate hedging ideas for corporate clients, using vanilla &
exotic options and currency & interest rate swaps. Resulted in a 95% increase in revenue from the previous year.
?Modeling: Developed settlement tools for exotic derivatives by collaborating with the risk management team;
created risk model for structured option trade with client for execution within 4 hours, generating 100,000 USD.
?Research: Performed Regression Analysis for predicting currency market trends and prepared research notes on
structured products. Analyzed relationship between spot and forwards for EURUSD and USDCHF currency pairs.
?Sales: Collaborated with sales team to handle client calls, and discussed markets and trade ideas.
?Team Work: Interacted with a team of 10 people at 4 different cities to recommend specific structures based on
client requirements. Fostered training and knowledge support for new sales team members.
AMERICAN MEGATRENDS INC., INDIA PVT. LTD. Chennai, India
System Software Engineer –Intel IPMI Group06/05 – 04/06
?Software Development: Developed, tested and debugged a user-friendly interface - Baseboard Management
Controller Configuration utility, for server mother boards using IPMI Spec, in VC++.NET using MFC and STL.
?Re-engineering: Re-designed print functionality to include detailed design within 70% of the budgeted time.
ADDITIONAL SKILLS
?Programming: C++, .NET, Matlab, MS Excel, VBA, SQL, S-PLUS.
?Trading Tools: Murex, Aqtor, Micro-Hedge, Redi, Bloomberg, Reuters
?Interests: Poker, Black-Jack, Baseball, Soccer
SAMRAT S. BATTH, Ph.D.
532 W. 152nd Street, Apt. #4 +1 (551) 587-1576 New York, NY 10031 sbatth@https://www.doczj.com/doc/e86181133.html,
EDUCATION
CARNEGIE MELLON UNIVERSITY, TEPPER SCHOOL OF BUSINESS New York, NY Master of Science in Computational Finance – MSCF GRE Quant: 800/800 12/09 ?Advanced interdisciplinary (Finance, Computer Science, Mathematics and Statistics) program in Quantitative Finance ?Relevant Coursework: Statistical Arbitrage, Financial Time Series, Simulation Methods for Option Pricing, Fixed Income, Credit Derivatives, Asset Pricing, Linear Financial Models, Stochastic Calculus, Quantitative Asset Management, Numerical Methods
THE CITY UNIVERSITY OF NEW YORK New York, NY Doctor of Philosophy in Electrical Engineering – Ph.D.GPA: 3.82/4.0010/07 ?Honors: University Merit Scholarship Recipient, Graduate Academic Citation
?Exchange Student at School of Engineering - COLUMBIA UNIVERSITY (GPA: 3.65/4.00), Fall 2005
?Leadership: Vice President of Bungee Club, Graduate Student Council Member, Ph.D. Executive Committee Member
NORTH MAHARASHTRA UNIVERSITY Jalgaon, India Bachelor of Science in Electrical and Telecommunications Engineering GPA: 3.85/4.0007/01?Ranked first in senior year undergraduate college examinations
EXPERIENCE
THE CITY UNIVERSITY OF NEW YORK New York, NY Quantitative Analyst, Algorithmic/Quantitative Trading and Research06/09 – 08/09 ?Quantitative Trading: Formulated an equity trading model using Evolution Algorithm and analyzed its performance under different trade-exit strategies (standard close, extended close, stop-loss and take profit close). Developed a tool using Genetic Algorithms to generate buy/sell signals by optimizing the technical indicators (Bollinger Bands, Moving Averages, Relative Strength Index and Stochastic Oscillator)
?Quantitative Research: Analyzed Grammatical Evolution, Genetic Algorithms, Particle Swarm Models and Neural Networks for index prediction and trading, adaptive trading, intra-day trading and automatic generation of FX trading rules
Research Associate and Adjunct Lecturer08/03 – 10/07 ?Mathematical Modeling: Developed algorithms for probabilistic timing fault analysis and formulated the ‘fault masking’ theory ?Communication: Presented articles at ten conference proceedings and published research in journals like Lecture Notes in Computer Science, IEEE Journal of Transactions on Computers and Journal of Computer & Telecommunications Networking ?Leadership: Taught Algorithms in C++ (UNIX) and Probability & Statistics to undergraduates
AVAYA INC. (IT and Software Engineering Firm) Lincroft, NJ Applications Architect - Intern06/04 – 05/05, 06/06 – 06/07 ?Programming: Developed two tools to replace a legacy testing system resulting in reduction of QA testing time in order of days ?Analytical: Generated Use-Case OOD for black-box testing of SIP and accelerated the project by using Agile Methodologies ?Teamwork:Led a cross-cultural and functional collaboration between offices at New Jersey and India
?Honors: Awarded Avaya Labs Cup for the most innovative software solution
PUNJAB COMMUNICATIONS LTD. (Telecommunication and Software Engineering Firm) Chandigarh, India Integration Solutions Engineer08/01 – 08/03?Analytical: Engineered solutions for performance issues of Satellite Communication System (VSAT) and co-designed the Radio Frequency module of Avalanche Victim Detector in a multi-functional team. Developed an API for Reed Solomon Coding ?Client Interaction: Authored and presented numerous training workshops to clients and engineers
ADDITIONAL INFORMATION
?Evolutionary Algorithm: Implemented a prototype version of Genetic Algorithm (C++) to find an optimal regression model ?Option Pricing: Developed pricing modules of exotic equity derivatives (Barrier, Asian and Options with Stochastic Volatility) for various payoff structures using binomial trees and Monte Carlo simulation with variance reduction methods (Antithetics, Control Variance, Stratification, Important Sampling)
?Linear Regression: Analyzed excess returns on Dell stock in S-Plus using multiple linear regression on portfolio of long/short in small/big market capitalization stocks and long/short in high/low book to market equity stocks. Investigated the influence of a set of economic variables on returns using Principal Component Analysis (PCA)
?Financial Time Series: Performed residual analysis and generated prediction metrics for ARMA/GARCH models. Formulated and tested a trading strategy on an Index modeled as an AR(1) process
? Programming: C#, C++, https://www.doczj.com/doc/e86181133.html,, VBA, .Net 3.5, MATLAB, R/S-Plus, Perl, JavaScript, XML, SQL, UNIX, UML ?Software/Other: Bloomberg, LaTeX, Eclipse, QuantLib, Boost, Multithreading, OOAD, Agile Development
?Interests: Backpack traveling, Bungee Jumping, Played hockey at college level, Member of college debate and chess team
STEPHEN CASCIANO
401 Shady Ave., Apt. A605 (303) 579-0555 Pittsburgh, PA 15206 scascian@https://www.doczj.com/doc/e86181133.html,
EDUCATION
CARNEGIE MELLON UNIVERSITY, TEPPER SCHOOL OF BUSINESS Pittsburgh, PA Master of Science in Computational Finance – GPA: 3.5 GRE Quant: 800/800 12/09
?Interdisciplinary program combining mathematics, finance, statistics and programming designed to prepare
students for positions in the financial services industry requiring expertise in quantitative financial models ?Memberships: Graduate Finance Association, Quantitative Finance Club, Tepper Soccer Club UNIVERSITY OF COLORADO - BOULDER Boulder, CO Bachelor of Science in Applied Mathematics, Quantitative Finance 05/08 ?Honors: Dean’s List Award
EXPERIENCE
STATE STREET GLOBAL ADVISORS Boston, MA Fixed Income Research Summer Associate06/09 – 08/09
?Credit Research: Analyzed the credit quality of companies in a variety of industries through rigorous assessment of profitability, capital structure and debt obligations in order to determine position recommendation for actively managed
investment grade and high yield funds.
?Quantitative Index Analysis: Determined primary performance drivers of benchmark credit index and studied index performance correlation with various economic indicators.
?Quantitative Portfolio Analytics: Programmed automated analytical tool to generate high yield credit portfolio performance report using VBA and Excel.
?Fixed Income Market Discussion: Discussed views on credit, interest rate and mortgage markets in order to generate trade ideas for actively managed fixed income funds.
ING INVESTMENT MANAGEMENT Denver, CO Quantitative Analytics Summer Analyst06/08 – 08/08
?Equity Volatility Surface Modeling: Formulated volatility surface model for the S&P 500 and Russell 2000 market indices, improving volatility estimation accuracy for far out of the money options essential to proprietary trading
strategy. Implemented model in MATLAB.
?Proprietary Trading/Structured Product Analysis: Discussed current market events and perspectives and how they will impact proprietary trading strategies, structured products and analytics tools in weekly team meetings.
?Numerical Optimization:Developed a numerical nonlinear optimizer in VBA and Excel allowing proprietary strategy traders to generate and visualize S&P 500 and Russell 2000 volatility surfaces in real time.
?Communication/Teamwork: Presented methodology and results of volatility surface model to Quantitative Analysis team and wrote model user manual for future reference.
PLATTS ANALYTICS Boulder, CO Quantitative Research Part-Time Analyst 01/08 – 05/08
?Energy Commodities Derivatives Pricing:Programmed European and American option binomial tree pricing models for energy commodities in VBA/Excel for analytics product.
Energy Commodities Forecasting Part-Time Analyst 01/07 – 01/08
?Energy Commodities Demand Modeling: Designed and calibrated a linear optimization model to forecast domestic coal market demand under upcoming carbon dioxide emissions regulation.
?Publication: Coauthored a detailed report on the methodology and results of the coal market model mentioned above which was published as a white paper.
ADDITIONAL INFORMATION
?Programming/Computer Skills: C++, MATALB, VBA/Excel, S-Plus/R, Bloomberg.
?Volunteering: Served as a veterinary assistant, helping with operations, vaccine preparation and blood sampling.?Activities and Interests: Financial markets, soccer, avid 10k race runner, snowboarding.
SIWEI (IVY) CHEN
4716 Ellsworth Ave (412) 999-9186 Pittsburgh, PA 15213 ivychen@https://www.doczj.com/doc/e86181133.html,
EDUCATION
CARNEGIE MELLON UNIVERSITY, TEPPER SCHOOL OF BUSINESS Pittsburgh, PA Master of Science in Computational Finance – MSCF GMAT: 730/80012/09 ?Rigorous top-tier financial engineering program in the US
NANJING AGRICULTURAL UNIVERSITY Nanjing, China Bachelor of Science in Finance GPA: 3.9/4.0; Rank: 1/9006/08
?Honors and Awards: First prize national scholarship in 2006, 2007 and 2008; Nanjing Agricultural University Jin Shanbao
Prize in 2006 (2/400); Excellent undergraduate student honor in 2008
?Honor Thesis: An Explicit Finite Difference Approach to Pricing Barrier Options (Algorithms coded with C++)
EXPERIENCE
MILL HILL ADVISORS New York, NY Structured Products Analyst (ABS/MBS) 06/09-08/09?Studied dynamics and rating criteria of US ABS/MBS market from Bloomberg, Fitch, S&P and Moody’s
?Formed insightful intuitions about and developed thorough understanding of the credit market from a macroeconomic
standpoint; Recognized credit market’s intrinsic relationships with the treasury market, bond market, rates market and stock
market
?Performed empirical modeling including loan level prepayment, default and loss severity analysis; Created spreadsheets to do
scenario analysis on RMBS tranche valuation
?Maintained regular contact with senior managers via telephone conferences, through face to face and ad hoc contact HUATAI SECURITIES Beijing, China Fixed Income Summer Analyst 05/08-08/08 ?Conducted extensive research on corporate bond valuation, yield analysis for Chinese Corporate bonds via Bloomberg
?Prepared pricing and marketing materials for corporate bonds presentations to the sales force and institutional clients; Co-
authored the report
?Bootstrapped term structure of interest rates via Matlab financial toolbox; Performed PCAs to characterize three factors
(Level, Slope, Curvature) on the Chinese bond yield curves from Shanghai Stock Exchange between 2001-2005 NANJING AGRICULTURAL UNIVERSITY Nanjing, China Quantitative Research Assistant 09/06-05/08?Risk Management: Led 3 group members to select 4 Chinese typical incorporated banks to study VaR in Matlab
?Time Series: Assisted PHD candidates to do correlation analysis on two main stock markets in China, researches were based
on multivariate financial time series models (Copula-GARCH and Copula-SV models)
HAITONG SECURITIES (“CITADEL” IN CHINA) Nanjing, China Derivatives Trading Assistant 10/07-04/08?Participated in equity derivative proprietary trading: directional and delta-neutral trading; Prepared daily P&L book
?Designed and implemented INDEPENDENTLY real pricing model for equity derivatives (warrants) in China, based on
Black-Scholes model; Calibrated and back-tested equity derivative models to the volatility surface using implied binomial
trees and Monte Carlo simulation
?Performed statistical analysis from data preparation, principal components analysis, multivariable regression, correlation and
sensitivity analysis to calibrate models and prioritize trading strategies in R/S+
?Coded in C++/Matlab to price exotic options and analyze volatility surface with Tree-Based Methods, Practitioner Black-
Scholes Model, Hull-White Model, Heston(1993) Stochastic Volatility Model and Heston and Nandi(2000) GARCH model ?Finished report on asset pricing and empirical analysis of 12 convertible bonds in the Chinese market
ADDITIONAL INFORMATION
Software: Proficient in C/C++, Bloomberg, Matlab, R/S+, VBA, EVIEWS and MS Office; familiar with SAS
Affiliations: International Association of Financial Engineers, Level II Candidate in the CFA Program
Language: Mandarin (Native)
Interests: Reading investment and economics news, piano (National Level 9), accordion, violin and hiking
AIJUN DU
406 N. Neville St., Apt. G5 (312) 371-1472 Pittsburgh, PA 15213 aijund@https://www.doczj.com/doc/e86181133.html,
EDUCATION
CARNEGIE MELLON UNIVERSITY, TEPPER SCHOOL OF BUSINESS Pittsburgh, PA Master of Science in Computational Finance – MSCF GRE Quant: 800/80012/09 ?An interdisciplinary program including finance, mathematics, statistics and programming
?Merit scholarship recipient
ILLINOIS INSTITUTE OF TECHNOLOGY Chicago, IL Doctor of Philosophy (Ph.D) in Applied Mathematics GPA: 3.9/4.008/08 ?Graduate with Academic Excellence Award
?Published four first author papers in refereed stochastic dynamical system journals
OCEAN UNIVERSITY OF CHINA Qingdao, China Bachelor of Science in Applied Mathematics08/02
COURSEWORK/SKILLS/PROJECTS
Finance: Options, Fixed Income Fundamentals, Asset Pricing, Monte-Carlo Simulation, Dynamic Asset Management, Simulation and Variance Reduction Methods for Derivatives Modeling, Dynamic Asset Pricing
Mathematics/Statistics: Stochastic Calculus, Stochastic Partial Differential Equations, Numerical Analysis, Multiple Regression and Time Series Analysis
Programming skills: C++, MS Excel VBA, Matlab, R, S+ and Latex
Relevant Project: Exotic Options Pricing Models (Black-Scholes, Binomial Models and Monte-Carlo Simulation using C++/VBA/Matlab), Numerical simulation to stochastic partial differential equations
EXPERIENCE
BAIN & COMPANY Beijing, China Quantitative Research, Summer Associate06/2009 – 08/2009
?Research: Analyzed returns of investments for Bank of China in two different structured products: REMIC (Fannie Mae Mortgage product) and Range Accrual (an Interest Rate product), conducted research on several MBS
prepayment models
?Pricing: Conducted pricing and cash flow analysis of REMIC deal, built prepayment model via option-theoretic approach, and priced Range Accrual deal via Black-Sholes and Monte-Carlo Simulation (C++)
?Model Implementation & Calibration: Implemented and calibrated Hull-White and Libor market interest rate
model (Matlab and C++), ran valuation analysis under different scenarios
?Teamwork: Worked closely with senior colleagues to assess and serve client needs. Provided analytical and
operational support to the model validation group located within Bain
ILLINOIS INSTITUTE of TECHNOLOGY Chicago, IL Graduate Research Assistant (08/04 - 05/08) 08/02 - 08/08
?Analysis: Conducted extensive research on several properties of solutions to stochastic partial differential
equations. Implemented numerical solution to stochastic partial differential equations in C and Matlab
?Innovation: Presented a new method to reduce the dimension of solutions to certain stochastic systems.
Developed a new stochastic parameterization scheme to solve the Large Eddy Simulation closure problem Graduate Teaching Assistant (08/02 - 05/07)
?Communication: Independently supervised the Calculus review session for freshman and sophomore
ADDITIONAL INFORMATION
?Languages: English (fluent), Mandarin (native)
?Certificate: Level II candidate in the CFA Program
?Interests: Basketball, soccer and travel
JUNSON EUH
20 Newport Pkwy, Apt. 1509 917-543-2532 Jersey City, NJ 07310 jeuh@https://www.doczj.com/doc/e86181133.html,
EDUCATION
CARNEGIE MELLON UNIVERSITY, TEPPER SCHOOL OF BUSINESS New York, NY Master of Science in Computational Finance - MSCF GRE Quant: 800/800 12/09
?Relevant Coursework: Stochastic Calculus, Options, Multi-period Asset Pricing, Simulations for Option Pricing, Statistical Arbitrage Linear Model, Financial Time Series, Financial Computing
?Membership: Graduate Finance Association, Quantitative Finance Club
UNIVERSITY OF MICHIGAN Ann Arbor, MI Bachelor of Science in Computer Engineering GPA: 3.3/4.04/05?Honors: Dean’s List (4 out of 8 semesters)
EXPERIENCE
DEUTSCHE BANK Seoul, Korea Intern, Corporate Coverage Group, Global Markets05/09 – 07/09 ?Updated FX swap pricing program linked to Reuters which is actively used by sales group
?Presented a material to the Global Markets group on a correlation between KOSPI index and USDKRW currency and foreigners’ impact on Korean stock market
?Prepared FX daily market report and analysis report on Korean ETF market which is distributed to the clients ?Studied on FX risk management/FX hedging products such as various types of Target Profit Forward
KOREA BOND PRICING & KOREA RATINGS CO. Seoul, Korea Analyst, Equity Derivatives team (In lieu of mandatory military service)01/07 – 08/08 ?Developed pricing modules of exotic equity derivatives with various payoff structures, using binomial tree and Monte Carlo simulation methods
?Evaluated P/L scenarios and the Delta, Gamma and Vega exposures for the underlying assets of equity derivatives, used for the daily portfolio market VaR valuation
?Implemented a more efficient equity derivatives pricing engine structure resulting in a 35% performance improvement; in part by converting the engine platform from Visual Basic to C++
?Prepared equity derivatives valuation method reports on clients’ request
E*VALUE CO. (Credit Risk Management Consulting Firm) Seoul, Korea Consultant (In lieu of mandatory military service)09/05 – 12/06 ?Consulted for two of the largest banks in Korea on their credit risk management based on Basel II regulations by using “Credit Manager” (a credit risk application developed by the JP Morgan/RiskMetrics Group) ?Analyzed bank/trust accounts and mapped their credit risk into exposures in Credit Manager and defined detailed input parameters for various types of instruments such as loans and CDS, counterparties and market data ?Served clients as an in-house expert for Credit Manager
?Estimated R-square function; relationship between R-square values, which is a correlation between stock prices and corresponding market indices, and total asset values of counterparties by using SAS
BOOZ ALLEN HAMILTON Seoul, Korea Intern6/04-7/04?Researched financial aspects of companies and prepared power point slides for client presentations
ADDITIONAL INFORMATION
?Computer Skills: C++, Visual Basic/VBA, Matlab, SAS, R, S-Plus, MS-SQL, Bloomberg and Reuters
?Languages: Korean, English
?Interests: Skiing (Whistler, Yong Pyoung), Golf, Photography, Taekwondo (black belt),
ROHIT GARG
5506 Fifth Avenue, Apt 111C (608) 320-6966 Pittsburgh, PA 15232 rohitgar@https://www.doczj.com/doc/e86181133.html,
EDUCATION
CARNEGIE MELLON UNIVERSITY, TEPPER SCHOOL OF BUSINESS Pittsburgh, PA Master of Science in Computational Finance – MSCF GRE Quant: 800/800 12/09 ?Leadership : MSCF representative for Graduate Finance Association, member of MSCF Quantitative Finance Club INDIAN INSTITUTE OF TECHNOLOGY Kanpur, India Bachelor of Technology in Computer Science and Engineering GPA: 8.3/10.05/06?Ranked in top .04% at the IIT-Joint Entrance Examination (All India)
?Received “Award for Academic Excellence” during the year 2003-2004 by IIT Kanpur
?Thesis involved developing a deterministic polynomial time algorithm for univariate polynomial factorization
COURSEWORK/SKILLS
?Mathematics: PCA, Time Series Analysis, Stochastic Calculus, Option Pricing, Monte Carlo
?Computer/ Programming languages: Bloomberg, Reuters, C++, Excel/VBA, MySql
EXPERIENCE
WEBSTER CAPITAL Chicago, IL Summer Intern, Proprietary Trading Group5/09 – 7/09
?High Frequency Research: Used kx systems and Q programming language coupled with R to determine the factors affecting the FX basis and the relationship between various FX ECNs (Hotspot, Cronox and EBS) and FX futures. Researched on the various technical factors affecting the FX basis bringing out some significant results
?Treasury cash and futures trading: Recommended spread trades and as well traded spreads and fly on the basis. Built analytics to track the movements and dynamically find the hedge ratios of the cash vs futures DEUTSCHE BANK GROUP Mumbai, India Senior Analyst,Global Markets Center12/06 – 7/08 Deutsche Transition Management Group
?Analytics: Created VBA excel based models using Bloomberg data to execute pre/post-trade analysis of global equity portfolios and generated trade lists
?Analysis involved breakdown of the portfolio into categories according to – liquidity, sector, Market Cap, country, currency. Analyzed trading costs of the portfolio by calculating tracking error (opportunity costs), market impact and implementation shortfall (total trading costs while transitioning from legacy to destination portfolio)
?Achievement: Won the mandate for the largest multi-manager global equities transition done in Deutsche Bank (Asia Pacific) worth $4 bn based on the competitive pre-trade analysis and trading costs
?Teamwork: Prepared a daily summary in collaboration with traders, salespeople and data from Bloomberg and Reuters of economic numbers released in Euro zone, UK and Asian markets, swap flows and the most popular trades put on by clients. Summary was utilized by New York Rates, Capital Markets desk and their clients
?Modeling: Developed econometric models to forecast change in payroll number for US and US CPI number using linear multiple regression to be used by Structured products business for Pension funds and Insurance companies
?Programming skills: Designed and implemented an Excel/VBA based secondary trading analysis to keep track of the volumes traded, spreads to treasury and LIBOR of the bonds issued by our clients and their peers.This
analysis played an important role in timing of the issuance of senior unsecured bonds by our clients
?Interest Rate Trade Strategies: Suggested butterfly trades based on mean reversion, Sharpe ratio and half life endorsed by macroeconomic reasoning.
YAHOO! Bangalore, India Software Engineer, Software Development Center6/06 – 11/06 ?Designed and implemented an innovative dictionary search algorithm to reduce search time from 6 sec to 15 ms UNIVERSITY OF DORTMUND Dortmund, Germany Exchange Student5/05 – 7/05
?Research/Communication skills : Published a paper with the jMosel Research Group titled “jMosel : A Flexible tool-set for second order Monadic Logic” at the Doctoral Symposium of ISoLA 2005
PHILIP M. HONG
260 W. 54th Street, Apt. 31D (412) 983-2359 New York, NY 10019 phong@https://www.doczj.com/doc/e86181133.html,
EDUCATION
CARNEGIE MELLON UNIVERSITY, TEPPER SCHOOL OF BUSINESS New York, NY Master of Science in Computational Finance – MSCF GRE Quant: 800/800 12/09
An interdisciplinary program including finance, mathematics, statistics and programming that prepares students for opportunities in quantitative finance
Coursework taken: Linear Financial Models, Financial Time Series Analysis, Monte Carlo Simulation for Options Pricing, Stochastic Calculus
Current/future coursework: Statistical Arbitrage, Studies in Financial Engineering, Quantitative Asset Management Honors: Merit Scholarship recipient
CARNEGIE MELLON UNIVERSITY Pittsburgh, PA Bachelor of Science in Computer Science GPA: 3.8/4.05/06 Bachelor of Science in Mathematical Sciences (Operations Research)
?Minor in Computational Finance
?Senior Research Project: Projects in Applied Mathematics – a risk management initiative to find an optimal vega hedge for exotic options using a combination of vanilla positions. Designed, implemented and presented three
solutions that provided insight for the researchers of a top-tier investment bank.
?Honors: Graduated with University Honors
EXPERIENCE
LIGHTBOX CAPITAL – Equity Market-Neutral Hedge Fund using Statistical and Pattern Recognition Models New York, NY Quantitative Research Intern / Part-time Analyst5/09 – Present Factor Research
?Developed and enhanced market-neutral equity trading strategies with short-term holding periods. Improved the Sharpe Ratio of a proprietary strategy by almost 1.0.
?Conducted sensitivity analysis across various parameters and historical regimes to determine the performance and robustness of trading factors.
Statistical Analysis
?Examined large data sets using SQL, Java and Excel to find profitable trading signals and methods to reduce
strategy volatility.
?Performed regression analysis to calculate index and sector betas that are used for hedging. BARCLAYS CAPITAL New York, NY Analyst / Developer, Securitized Products Technology8/06 – 7/08 Modeling/Structuring
?Designed and implemented a Student Loans ABS structuring model in Microsoft Access. The model allowed in-depth collateral analysis under various scenarios, and generated resulting bond cash flows to price deals.
Quantitative Analysis
?Performed analysis on “servicer advances” data using SQL Server and Excel; the results helped to showcase a given servicer's financing ability and were distributed to rating agencies.
Financial Analytics
?Developed a C#/C++ application for centralized loan inventory tracking and analysis. Designed and implemented
a calculation engine for scrubbing and analyzing loan attributes. The system allowed the trading and structuring
desks to access loan analysis and reports in real-time.
ADDITIONAL INFORMATION
?Professional Qualifications: Level III Candidate in the CFA Program (June 2010)
?Programming: C++, SQL, Matlab, MS Excel/Access VBA, S-PLUS/R, Java, C#
?Languages: English, Chinese (fluent in Cantonese, conversant in Mandarin)
?Interests: MS Bike Ride, Baseball (Yahoo Fantasy League; Boston Red Sox), Soccer, Squash, Golf
HIPOLITO ITURRASPE
6204 Fifth Avenue, Apt. 205 412-304-6743 Pittsburgh, PA 15232 hiturras@https://www.doczj.com/doc/e86181133.html,
EDUCATION
CARNEGIE MELLON UNIVERSITY, TEPPER SCHOOL OF BUSINESS Pittsburgh, PA Master of Science in Computational Finance – MSCF GRE Quant: 800/800 12/09 ?An interdisciplinary program including finance, mathematics, statistics and programming
?Merit Based Scholarship Recipient
UNIVERSIDAD DE SAN ANDRES Buenos Aires, Argentina Licenciatura en Economia 10/05?Academic Scholarship Recipient
?Undergraduate Thesis: “Volatility strategies using stock options before earnings announcements”
COURSEWORK/SKILLS/PROJECTS
?Finance: Certificate in Financial Asset Management and Engineering. Swiss Finance Institute (2006).
Passed Level 1 of the CFA examination in June 2007.
?Project: Undergraduate Thesis - “Volatility strategies using stock options before earnings announcements”. Empirically tested and calibrated the strategy of implementing straddles on stocks before their earnings announcements by using actual bid-ask pricing data during a fourteen-month window period.
?Mathematics: Courses taken on Numerical Methods, Simulation Methods for Option Pricing, Stochastic Calculus for Finance.
?Statistics: Financial Econometrics and Forecasting. Executive course at Swiss Finance Institute (2006). ?Programming: C++/MATLAB
EXPERIENCE
JP MORGAN New York Summer Associate, Fixed Income Strategy5/09-8/09 ?Bond-CDS basis: Developed spreadsheets to track and measure the risks and sensitivities of Bond-CDS basis trades.
?Analyzed trade ideas involving exposure to credit risks through Credit Default Swaps of different tenure (applied to the Municipal Bond market).
?Collaborated with strategists in a variety of projects: built zero-coupon curves to discount cash flows subject to different credit risks; studied the effect of mutual fund flows on specific markets; analyzed correlations between
different securities trying to detect potential trade opportunities.
ARPENTA (Brokerage and Asset Management firm) Buenos Aires, Argentina Trader7/05-7/08 ?Proprietary trading on US stocks and stock options (Avg. monthly return: 13%). Strategies traded: volatility strategies (straddles and strangles) on US equities before and after corporate events, such as earnings announcements; stock vs. ADR arbitrage; scalping (short term trades on stocks with relatively large bid-ask spreads);
swing trading (taking positions with a 5 to 20 days time horizon)
?Executed orders and managed trade executions for clients: block orders for institutional clients on US stocks; stock options trades; Brazilian equities
?Managed orders for the desk in a wide variety of products and markets: from Argentine bonds to French stocks
?Arpenta Latinoamerica mutual fund (2008): Managed exchange rates arbitrage for the fund (ARS vs. USD/ARS vs.
BRL); collaborated with the portfolio management team in making decisions on positions for stocks and sectors ?Collaborated with the head of the desk, bringing ideas about potential opportunities in different products
?Cash flow projections and valuations on fixed income and derivatives (such as Argentina GDP warrants: 30-years-maturity exotic derivatives issued by local government in 2005, with cash flows linked to GDP growth)
ADDITIONAL INFORMATION
?Languages: Spanish (native), English (fluent)
?Trading Competition (Alpha Asset Management Club): First Place “Alpha Challenge”
?Other activities: Tepper Soccer Team, running.
ZHENGPING (JOHN) JIANG
4716 Ellsworth Avenue, Apt. #619 (412) 608-4130 Pittsburgh, PA 15213 jiang@https://www.doczj.com/doc/e86181133.html,
EDUCATION
CARNEGIE MELLON UNIVERSITY, TEPPER SCHOOL OF BUSINESS Pittsburgh, PA Master of Science in Computational Finance — MSCF GRE Quant: 800/800 12/09
?An interdisciplinary program including finance, mathematics, statistics and programming that prepares students for opportunities in quantitative finance
?Awards: Merit Scholarship Recipient
NATIONAL UNIVERSITY OF SINGAPORE Singapore Master of Science in Computer Science 04/06 Bachelor of Science in Computer Science, Minor in Mathematics 1st Class Honors (Rank: 2/160)06/04?Awards: Full scholarship from Government of Singapore, Dean’s list, National Computer System Medal
?Publication: Published two first author research papers
EXPERIENCE
CREDIT SUISSE – Structured Trade Review Singapore Contractor 05/09 – 08/09 ?Equity Derivatives: Verified equity derivative trade bookings, valuation models and Monte Carlo pricing scripts for various structures, including Lookback, Trigger Redeemable, Cliquet and Rainbow
?Teamwork: Collaborated with traders, marketers, and product controls to correct trade booking and valuation issues. Ensured accurate accounting of traded structures, including account areas and over hedges
CITIGROUP – Capital Markets Technology Singapore Analyst, Commodity Trading Support (03/08 – 06/08)07/06 – 06/08 ?Trading Desk Support: Setup and supported commodity trading platforms, including Openlink and several proprietary pricing tools. Facilitated issuance of commodity linked notes based on crude oil, metals and
agricultural products. Prepared term sheets, confirmations and compliance documents
?Structuring: Back tested newly traded structures to facilitate sales, using Bloomberg historical commodity prices Analyst, FX and FX Option Trading Support (07/06 – 02/08)
?Financial Analytics: Developed automatic FX option accounting model conversion program. Ensured error-free conversion of more than 100,000 outstanding option trades
?Product Knowledge: Implemented and supported Confirmation Management System (CMS) for various OTC derivative products including SWAP, SWAPTION, FRA, FX, CAP/FLOOR and CDS across over 9 countries ?System Testing: Participated in FX trading system conversion. Booked test FX deals, processed various P&L and risk reports for business verification
?Leadership: Co-managed a team of 5 to support FX option business across 14 Asia-Pacific countries.
Responsibilities included trade booking system trouble shooting, daily P&L and risk reports generation, daily
financial account posting, and system testing. Made critical decisions to ensure business continuity ?Initiative: Initiated fail safe mechanism in FX option reporting to significantly reduce delays and fails for 14 Asia-Pacific countries.
SINGAPORE MIT ALLIANCE AND NATIONAL UNIVERSITY OF SINGAPORE Singapore Research Assistant 07/04 – 04/06 ?Statistical Modeling: Designed and implemented novel ways of statistically analyzing natural language semantics. Applied Support Vector Machine and Maximum Entropy models in machine learning. Presented
research papers in international conferences, including 19th International Joint Conference on Artificial Intelligence
ADDITIONAL INFORMATION
?Professional Qualifications: Passed Level III of CFA exam in 2008, Financial Risk Manager (FRM) exam in 2007 ?Affiliations: Global Association of Risk Professionals (GARP) affiliate member
?Languages: English (Fluent), Chinese (Fluent), French (Beginner)
?Software: Java, C++/C, Excel VBA, Perl, SQL, R/Splus, MATLAB
?Activities: Photography, tennis, basketball and table-tennis (competitive)
KANG JIN
1 River Ct, Apt. 2209 (347) 415-2276 Jersey City, NJ 07310 kjin@https://www.doczj.com/doc/e86181133.html,
EDUCATION
CARNEGIE MELLON UNIVERSITY, TEPPER SCHOOL OF BUSINESS New York, NY Master of Science in Computational Finance – MSCF GRE Quant: 800/800 12/09 ?An interdisciplinary program including finance, mathematics, statistics, and programming
?Honor: Merit Scholarship
AUBURN UNIVERSITY Auburn, AL
4.0/4.0 8/08 Doctor of Philosophy in Mathematics -Ph.D. GPA: ?Dissertation topic: A New Method on Moving Boundary Problems of Computational Fluid Dynamics
?Honor: Baskerville Scholarship for Doctoral Studies
Master of Science in Mathematics -M.S.GPA: 4.0/4.05/05
EAST CHINA NORMAL UNIVERSITY Shanghai, China Bachelor of Science in Mathematics6/01
PROJECTS/SKILLS /COURSEWORK
?Projects: CDS Market Derived Signal (MDS), MBS PAC model, Pairs Trading
?Mathematics: Stochastic Calculus, Advanced Numerical Matrix Analysis, Optimization Theory, Numerical Solutions of Partial Differential Equations (PDE), Real Analysis, Math Computation & Visualization, ?Finance: Options, Corporate Finance, Fixed Income Securities, Multi-Period Asset Pricing, Statistical Arbitrage ?Programming: 6+ years of MATLAB experience, C/C++, Excel
?Statistics: Probability & Stochastic Process, Experimental Statistics, Statistics Inference, Financial Time Series ?Certificates: Passed first 3 exams of Society of Actuaries
EXPERIENCE
STANDARD AND POOR’S New York, NY Associate Intern, Quantitative Analytics Research Group6/09 – 8/09?Model Validation: Validated the methodology and code of S&P’s CDS Market Derived Signal (MDS) model, which derives market derived signal from the CDS spreads of numerous firms and sovereigns and expressed on
a similar scale to ratings; Analyzed the performance and persistence of MDS in the past 4 years
?Programming: Built out a system that gathers data and automatically generates daily and sequential reports of the CDS MDS to help researchers and analysts better understand and use MDS
MILL HILL ADVISORS (a start-up financial advisory firm) New York, NY Part-time Intern4/09 – 6/09?Analysis: Analyzed a portfolio of MBS bonds by studying their capital structures and collateral information, including delinquency, Current Default Rate, Current Prepayment Rate, Loan To Value
AUBURN UNIVERSITY Auburn, AL Graduate Research Assistant8/02 – 8/08?Modeling/Analytical: Designed and modeled a unique multi-disciplinary method for handling complicated boundaries in CFD which is much easier to implement and faster than traditional methods; Analyzed and
demonstrated the excellent performance of the method using both numerical benchmark and real world data ?Presentation: Presented research papers at 3 international conferences to global peers
ADDITIONAL INFORMATION
?Languages: English (fluent), Chinese Mandarin (native)
?Affiliations: International Association of Financial Engineers, Quantitative Finance Club, Alpha Asset Management Club, American Mathematics Society (AMS), Society of Industrial and Applied Mathematics (SIAM) ?Leadership: Vice President of the Chinese Student Organization, Auburn University
?Interests: Photography, Pool, Poker
EUIMYUNG JUNG
31-14 Crescent St., Apt. 9D 917-239-5726 Astoria, NY 11106 ejung@https://www.doczj.com/doc/e86181133.html,
EDUCATION
CARNEGIE MELLON UNIVERSITY, TEPPER SCHOOL OF BUSINESS New York, NY Master of Science in Computational Finance - MSCF GMAT: 710/80012/09
?Interdisciplinary Program: Stochastic Calculus, Financial Product Valuation (Binomial Pricing, Simulation,
Numerical Method), Financial Model Programming (C++,VBA), Linear Model and Times Series Analysis ?Memberships: Graduate Finance Association, Quantitative Finance Club
SEOUL NATIONAL UNIVERSITY Seoul, Korea Bachelor of Sciences in Physics 2/03?Vice President of Coordination in Harvard Project for Asian and International Affair
EXPERIENCE
ROTHSCHILD ASSET MANAGEMENT New York, NY Summer Intern, Quantitative Research6/09 – 8/09
?Conducted multi variable regression analysis of the factors such as relative valuation, earnings surprise potential and earnings quality which were used for the proprietary stock ranking system
?Implemented back-testing for the monthly returns spread between top and bottom deciles to validate the model
?Created Performance and Invoice report by automatically importing the data from internal fund management
system using VBA, R and SQL
CALYON CORPORATE AND INVESTMENT BANK Seoul, Korea Associate, FICC (Fixed Income, Currencies, and Commodities) Sales4/07 – 7/08
?Conducted Interest rate, Currency, and Commodity derivatives sales of products (Structured Products, Target
Redemption Forward, Callable CD Range Accrual, Power Spread, and CMS Spread Swap) for Financial
Institutions such as local banks, securities firms, and insurance companies. These sales contributed $ 5million of profit per annum to the bank
?Structured a new product (Hybrid option linking on KOSPI 200 Equity Index and the USDKRW rate); simulated the pricing of the product using Visual Basic for Application
?Organized Cross Currency Swap combined with Korean Treasury Bond for Thailand Investment Fund resulting in $ 2 million of profit per annum noted as a cross-selling initiative across the bank
KOOKMIN BANK CAPITAL MARKET Seoul, Korea Assistant Manager, Equity Option Trading (5/05 – 4/07)1/03 – 4/07
? Priced and structured the exotic options such as barrier options and cliquet options for retail investors which
generated $ 10million profit per annum for the bank
? Managed the KOSPI200 Index Fund to hedge the basis risk between futures and index in the equity option book
? Coordinated the development of an in-house derivatives pricing and risk management system with IT and the risk management department to shorten project period by 20% earlier
Assistant, International Finance (1/03 – 4/05)
? Facilitated the sales of about KRW 100 billions of hedge-fund linked deposit to the institutional investors such as Korea Postal Service, Korea Teachers Pension and Tong-Yang Insurance Co.
? Invested in global fixed income instruments, including corporate and government new issues in the Europe with over $ 5 million of profit per annum
ADDITIONAL INFORMATION
?Certification: Passed Level II of the CFA examination in 2004
?Languages: Native Korean, Fluent English, Basic Japanese
?Software: Bloomberg, Reuter, C++, Visual Basic, Matlab, R, SPLUS, SQL, MS Office
?Interests: Golf, Skiing, Ping-pong (Won the third place in the internal college competition), Movies (Suspense)
ALEXANDER KELLER
609 Mifflin Ave #3 (917) 536-6113 Pittsburgh, PA 15221 keller@https://www.doczj.com/doc/e86181133.html,
EDUCATION
CARNEGIE MELLON UNIVERSITY Pittsburgh, PA Master of Science in Computational Finance GRE Quant: 800/800 8/08 - 12/09 ?Advanced degree integrating Mathematics, Statistics, Computer Programming, and Finance
?Relevant Courses: Stochastic Calculus, Financial Modeling, Derivative Valuation, Financial Computing
?Memberships: Quantitative Finance Club, Graduate Finance Association, Public Speaking Club
?Honors: Merit Scholarship Recipient
PENNSYLVANIA STATE UNIVERSITY State College, PA Bachelor of Science in Finance GPA: 3.94/4.08/02 - 5/05 Bachelor of Arts in Economics
?Double majored in three years with Highest Honors
?Relevant Courses: Financial Markets, Derivative Valuation, Behavioral Economics
?Research Assistant for Head of Finance Department, Dr J Randall Woolridge
?Memberships: Lion Ambassadors, Trading Room Intern, Penn State Investment Association
?Honors: Merit Scholarship Recipient, Evan Pugh Scholar Award, The President Sparks Award
Postgraduate Education 9/07 - 8/08?Two semesters of studies in preparation for MSCF
?Relevant Courses: Advanced Calculus, Linear Algebra, C++, Visual Basic, Probability
EXPERIENCE
WOLVERINE TRADING Chicago, IL Intern, Proprietary Trading Group 5/09 - 8/09 ?Trading/Analysis role working with listed single-stock and index equity options
?Built C# application to screen for potential option pair trades in highly-correlated ETFs
?Automated daily risk-report in Excel/VBA, linking the application to risk server and database
?Built C# application with GUI to alert ETF option traders of upcoming earnings and their potential impact CITIGROUP GLOBAL MARKETS New York, NY Analyst, US Interest Rate Volatility Trading7/06 - 7/07 ?Trading role working with various USD denominated option products on US Interest Rate underliers
?Products include options to enter into swaps (swaptions), US Treasury options, constant-maturity swap (CMS) range accruals, CMS-spread range accruals, and others
?Backed up senior traders with pricing large trades and priced smaller trades autonomously
?Monitored Bermudan options around exercise dates and exercised when financially advantageous
?Examined trade details and compiled risk reports to assure accuracy of positions
?Generated closing interest rate and swap curve for the entire firm
Analyst, US Equity Derivatives Structuring7/05 - 7/06 ?Structuring/sales role providing clients with various over-the-counter equity options and derivatives
?Products include collars, pre-paid forwards, protective puts, and others
?Worked directly with Smith Barney Financial Advisors and their clients informing them about our products and providing advice on customization of structures to best fit client needs
?Priced various structures with traders and composed term sheets for clients
?Created reports to pro-actively search for prospective clients with large concentrated equity positions who would likely be able to utilize our products
?Built new pricing models with automated data feeds and VBA macros to improve functionality and ease of use; switched pricer from continuous-time to discrete-time to enhance accuracy
ADDITIONAL INFORMATION
?Licenses: Series 7, Series 3, Series 55, Series 63 (last held 7/07)
?Software/Programming: C++, C#, VBA/Excel, SQL, MATLAB, S-PLUS / R, Bloomberg
?Volunteer: Best Buddies International - Participated in weekly activities with intellectually disabled
MINTAEK KIM
5551 Centre Avenue #801 412-926-8836 Pittsburgh, PA 15232 mintaekk@https://www.doczj.com/doc/e86181133.html,
EDUCATION
CARNEGIE MELLON UNIVERSITY Pittsburgh, PA Master of Science in Computational Finance – MSCF GRE: 800(Q), 710(V) 12/2009 ?Merit Scholarship Recipient
?Relevant Coursework: Fixed Income, Options, Statistical Arbitrage, Financial Time Series Analysis, Stochastic Calculus, Multi Period Asset Pricing, Financial Computing (C++), Simulations for Option Pricing, Credit Derivatives
KOREA ADVANCED INSTITUTE OF SCIENCE AND TECHNOLOGY (KAIST) Daejeon, Korea Master of Science in Industrial Engineering GPA: 3.95/4.3002/2005?Exchange Student at Technical University of Berlin, Germany (GPA: 4.0/4.0)
?National Scholarship for academic excellence for both graduate years
?Published 2 papers regarding statistical approach to network intrusion detection
YONSEI UNIVERSITY Seoul, Korea Bachelor of Science in Computer Science and Industrial Engineering GPA: 3.50/4.3002/2003 ?Scholarship for academic excellence for the last 6 consecutive semesters
EXPERIENCE
J.P. MORGAN SECURITIES Hong Kong Summer Intern, Fixed Income Trading 06/2009 – 08/2009 Rates Exotics and Hybrids Trading
?Developed and calibrated interest rate volatility models, and priced interest derivatives including Interest Rate Swap (IRS), Constant Maturity Swap (CMS), Cap/Floor, and Swaption
?Constructed an automated index model for replicating Korea Treasury Bond (KTB) Futures using Excel (VBA)
?Participated in developing new exotic products by generating investment ideas and making term sheets and pitch books ?Researched market conventions and regulations of Rates/FX products in AXJ market for internal distribution
?Assisted with assessing daily P&L and risk analysis of the group’s portfolio
LG CNS ENTRUE CONSULTING – the largest domestic consulting firm and a consulting arm of LG group Seoul, Korea Business Consultant in Financial Consulting Division03/2005 – 06/2008 Chosen from about 1000 applicants to join industry replacement program in lieu of mandatory military service
Quantitative Analysis & Financial Modeling
?Conducted credit risk management for the third largest bank in Korea by estimating values of Expected Loss, Probability
of Default, Loss Given Default, and Exposure at Default based on statistical analysis; adopted by client to set provisions
?Valued collateralized debt obligations (CDOs) and baskets of credit default swaps (CDS) using a correlation model of
credit risk, and by conducting a Monte Carlo simulation using a Gaussian copula for the fourth largest bank in Korea ?Calculated optimum value of asset-liability ratio to maximize return on equity using linear regression analysis
?Developed methodology for interest rate risk management for Korea National Housing Corporation; utilized duration gap analysis to minimize the risk of reduction in the value of equity due to interest rate movements
Strategy & Problem Solving
?Re-engineered derivative sales and trading processes by troubleshooting inefficient and unsystematic factors for Korea’s
second largest bank
?Analyzed requisite skills and abilities for each business unit and created the career development path for Korea Financial
Telecommunications & Clearing Institute
?Created proposal strategies that contributed to winning 8 different open-bid consulting projects, the largest of which was a $200 million system implementation project
ADDITIONAL INFORMATION
?Conducting self-directed currency trading using dbFX, an online foreign exchange trading platform since July 2008
?Software: C++, Excel (VBA), Visual Basic, MATLAB, R/S-PLUS, SQL
TaeHong Kim
Essex House
5701 Centre Ave., APT. #1612 412-848-3966 Pittsburgh, PA 15206 taehongk@https://www.doczj.com/doc/e86181133.html,
EDUCATION
CARNEGIE MELLON UNIVERSITY, TEPPER SCHOOL OF BUSINESS Pittsburgh, PA Master of Science in Computational Finance – MSCF GRE Quant: 800/800 12/09 ?An interdisciplinary program including finance, mathematics, statistics and programming
?Memberships: Graduate Finance Association, Quantitative Finance Club
KOREA ADVANCED INSTITUTE OF SCIENCE AND TECHNOLOGY Daejeon, Korea Master of Science in Industrial Engineering 02/05?Participated in Samsung Electronics’ multi-chip semi-conductor packaging facility scheduling
Bachelor of Science in Industrial Engineering 02/03?Industrial Engineering department undergraduate student representative
SKILLS/AWARDS
?Passed Level III of the CFA examination in 2008
?Programming and Computer Skills: C++, VBA, S-Plus, MATLAB
?Languages: English, Korean
?Awards
Minister of National Defense Official Citation of Commendation (2007)
MSCF Academic Excellence Award – Finance (2009)
MSCF Academic Excellence Award – Statistics (2009)
PROFESSIONAL EXPERIENCE
KOREA INVESTMENT CORPORATION Seoul, Korea Intern at Fixed Income Investment Team06/09 – 08/09 ?Interest Rate Swap Valuation: Developed a valuation & risk analysis tool for portfolios of interest rate swaps in various currencies using real-time market short term rates, FRAs, deposit futures and swap
rates from Bloomberg
?MBS Prepayment Model: Implemented Kernel regression to actual MBS prepayment data to forecast future prepayment behavior of different types of mortgagors
?Analysis Assistance: Assisted the sovereign wealth fund’s team in analyzing various external fixed income and commodities investment products
KOREA INSTITUTE FOR DEFENSE ANALYSES Seoul, Korea Researcher at Center for Modeling and Simulation01/05 – 07/08 Quantitative Analytical Skills
?Monte Carlo Simulation: Analyzed military tactics and weapon systems using simulation models
?Stochastic Modeling: Assessed the effectiveness of C4ISR systems with queueing models
?Probability Analysis: Conducted probability analysis of aggregated weapon systems attrition under discrete event simulation and suggested an effective aggregation method
?Optimization: Developed a route search algorithm for a platoon-level simulation entity tactical maneuver Communication Skills
?Instruction: Instructed military personnel in defense simulation models operation and analysis
?International Cooperation: Cooperated in defense simulation technology with various international defense institutions including : US AMSAA, US Army PEO – STRI, and Boeing
Project Management Skills
?Organized international seminar with more than 250 attendees: ROK-US JMEM Seminar
?Arranged annual defense simulation user conferences and training courses
D ERRICK L I
57 Van Reipen Ave. Jersey City, NJ 07306
(917) 558-2472
derrickli@https://www.doczj.com/doc/e86181133.html, EDUCATION
C ARNEGIE M ELLON U NIVERSITY,T EPPER S CHOOL OF B USINESS New York, NY Master of Science in Computational Finance – MSCF GRE Quantitative: 800/8005/10 MSCF Merit Scholarship Award.
T ULANE U NIVERSITY New Orleans, LA Master of Science in Statistics GPA: 3.97/4.06/06 Graduate Merit Fellowship & Full Tuition Scholarship.
T ECHNISCHE U NIVERSIT?T D ARMSTADT Darmstadt, Germany Vordiplom - Mathematics with Computer Science“Sehr gut” / Top 2%8/04 Fraunhofer Institute research assistant in Virtual Reality: contributed to several industry sponsored projects.
The first non-EU student in school history to represent TU-Darmstadt in an US-Darmstadt exchange program.
SKILLS/COURSEWORK
Quantitative Finance: Option Pricing, Fixed Income Securities, Multi-Period Asset Pricing, Corporate Finance, Stochastic Calculus, Monte Carlo Simulation, Financial Time Series and Statistical Arbitrage.
Strategy Analysis: Built automated trading strategies including Pairs, Momentum, Value & Contrarian, and Volatility Arbitrage. Backtested using the S&P 500 universe and analyzed strategy performance.
Computing & Analytics: Strong design and implementation skills in Java and C++, extensive experience in distributed real-time trading and risk systems. Proficiency in Excel VBA, R, S-Plus, MATLAB and Bloomberg. Communication: Teaching assistant and recitation instructor for 10 Math, Statistics and Computer Science courses at Tulane University (Math Dept. and Business School) and TU-Darmstadt (Dept. Computer Science).
One-on-one tutoring for half a dozen students.
Adaptability: Lived and enjoyed successful personal, academic and professional life in 4 culturally distinct countries in different continents. (Asia, Africa, Europe and North America) Extremely capable in making timely adjustments to bridge cultural, language and knowledge gaps. A quick learner that embraces all challenges.
EXPERIENCE
L EHMAN B ROTHERS (B ARCLAYS C APITAL since 9/08) New York, NY Senior Analyst, Equity Derivatives – Flow Volatility Technology3/07 – Present Modeling & Calibration:
Built algorithms and tools for calibrating implied volatility surfaces using a quadratic skew/kurtosis model as well as a double cubic model, on a real-time basis (3-minute cycles) throughout the trading day.
Applying the sticky strike and sticky moneyness methodologies to model the evolution of implied volatilities. Using a fitted implied borrow rate curve to reflect the “hard-to-borrow” feature of stocks in pricing options.
Maintained and updated pricing models, risk measures and P&L tracking analytics for products such as Vanilla options, Asian options, variance swaps, CBOE Volatility Index (VIX) options and futures. Communication & Creativity:
Closely collaborated with senior/head traders on the creation of Volatility Analyzer, a wildly popular new suite of graphical interactive applications to analyze parameterized volatility surfaces.
Single-handedly implemented Volatility Analyzer, the collective brain-child of the flow volatility trading desk.
Reinvented the core legacy derivatives pricing library. Designed, implemented and delivered a high performance, parallelized real-time C++ & Java quantitative analytics framework for up to 8 times performance boost. Reduced latency in pricing and risk updates from over 30 seconds to 6 seconds. Teamwork & Leadership:
Developed and maintained strong working relationships with traders, technologists and quants.
Led time critical disaster recovery and trouble-shooting efforts for the proprietary real-time trading and risk systems, recommended and coordinated architectural and process enhancements.
Presented key projects and deliverables to senior management, and trained new team members in system architecture relevant business processes.
ADDITIONAL INFORMATION
Languages: English (fluent), Mandarin Chinese (native) and German (intermediate).