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NYU 2011金融数学专业部分学生简历  

2011-07-18 12:26:26|  分类: 首席面试官 |  标签: |举报 |字号 订阅

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BENJAMIN ALTMAN

71 Thompson St. 2D New York, NY 10012 (302) 598-5664 ben.altman@nyu.edu

Finance: Derivatives pricing covering Black-Scholes formula, the binomial model and short rate models. Quantitative portfolio management including CAPM and PCA

Mathematics: Stochastic calculus, Brownian motion, martingales and time series

Computing: Object-oriented design in C++, Monte Carlo simulations and trading simulations

Spring Coursework: Continuous Time Finance, Scientific Computing, Advanced Risk Management and Interest Rates and FX Models

DAVIDSON COLLEGE (2006-2010)Davidson, NC BS in Mathematics with Honors, Magna Cum Laude, Overall GPA: 3.88, Major GPA: 3.98

Phi Beta Kappa inductee Honors thesis: “Higher-Order Automatic Differentiation of Multivariate Functions in

MA TLAB”

2010 William G. McGavock Award given to an outstanding Davidson senior for accomplishment and promise in mathematics

Extensive coursework in pure and applied mathematics including calculus, differential equations, probability, mathematical modeling, abstract algebra and computer science

4 year starter and 3 year captain of division I varsity wrestling team, 2007-2008 NWCA Division I Academic All-American Wrestling Team and 2010 COSIDA/ESPN the Magazine Academic All-District First Team

Bryan Scholar, Davidson’s top scholarship for academics and athletics EXPERIENCE

REVOLUTION CAPITALGlenmoore, PA Intern (Summer 2009)

Performed in-depth market research for presentations and publications on the firm’s blog

Created valuation models which led to new investment

Developed a new process that automatically gathered, analyzed and displayed financial market data using macros and web queries in Excel, used in weekly meetings

Participated in weekly investment research meetings COMPUTER SKILLS

Programming languages: C++, Java Other Software: MATLAB, Mathematica, Microsoft Word, Excel and PowerPoint



RAMNIK ARORA

The Courant Institute of Mathematical Sciences M.S. in Mathematics in Finance

New York, NY

G.P.A. 4.0/4.0

Aug 2010 - Dec 2011 (Expected)


400 W, 37th Street, New York, NY - 10018 ramnik.arora@nyu.edu, ramnikarora@gmail.com Homepage: http://cims.nyu.edu/~ra1221 Mobile: 201-724-8725

? Quantitative Finance: Ito? Calculus, Brownian Motion, Portfolio Theory, Option Pricing Theory, Black- Scholes Model, CAPM, Binomial Trees, Black Litterman Model

? Programming: Optimal Trade Execution, Impact Models, Monte Carlo simulation for Option Pricing, Mean-Variance Optimization, Portfolio Optimization, Pricing Models

– Project: Built yield curve(C++), analyzed historical implied volatility surface(MATLAB), ported random number generation for Monte-Carlo Simulation on GPU (CUDA API)

? Current Coursework: Algorithmic Trading and Quantitative Strategies, Continuous Time Finance, In- terest Rates and Credit Models, Active Portfolio Management

INDIAN INSTITUTE OF TECHNOLOGY KANPUR M.Sc. (Int.), Mathematics & Scientific Computing

EXPERIENCE

? Yahoo! Research and Development Intern, Advanced Technologies Group

Kanpur, India June 2005 - Apr 2010

May - July 2008 Bangalore, India

– Developed an algorithm for clustering based on structural shingles and URL pattern. – Reduced the number of clusters by approximately 40% from existing algorithm.

? University of California, BerkeleyMay - Sept 2008 Under Google Summer of Code

– DevelopedatradingapplicationonthePtolemy-IIframeworktomodelimpactoflatencyontrading strategies.

– Integrated with Interactive Brokers API for simulations and realtime trading.

PUBLICATIONS

? Ramnik Arora, Utkarsh Upadhyay. Can ETF Arbitrage be Extended to Sector Trading? Conference on Advanced Data Analysis, Business Analytics & Intelligence, Indian Institute of Management, India.

? Rupesh Tulshyan, Ramnik Arora, Kalyanmoy Deb, Joydeep Dutta. Investigating EA Solutions for Approximate KKT Conditions in Smooth Problems. ACM GECCO 2010, Portland, USA.

? Ramnik Arora, Rupesh Tulshyan, Kalyanmoy Deb. Parallelization of Real and Binary Coded Genetic Algorithm on CUDA. 2010 IEEE CEC, Barcelona, Spain.

? Ramnik Arora, Utkarsh Upadhyay, Rupesh Tulshyan, Joydeep Dutta. A Parallel Algorithm for Solving Large Convex Minimax Problem. SEAL 2010, Kanpur, India.

TECHNICAL SKILLS

Programming Languages: C++/C, CUDA API, Excel, Perl Software Tools: MATLAB, LATEX

OTHERS

? Participated in the 2008 & 2009 Interactive Brokers Collegiate Automated Trading Olympiad. ? Cleared four modules of the National Stock Exchange Certification for Financial Markets. ? Member of the IIT Kanpur football (soccer) team.

 

 

CHEN CHANG(南京大学统计与应用数学第一名)

31 River Court, Apt. No.3311, Jersey City, NJ 07310 Tel: (646) 306-5975Email: chen.chang@cims.nyu.edu

EDUCATION NEW YORK UNIVERSITYNew York, NY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance (expected – January 2012)GPA: 3.9/4.0

Fall 2010 Coursework: Derivative pricing theories, Stochastic calculus, Modern & post-modern portfolio theories, Bayesian model selection (Black-Litterman), Monte Carlo simulation

Spring 2011 Coursework: Local & stochastic volatility models, Interest rates and FX models, Advanced risk management, Mortgage-backed securities, Energy derivative, Scientific computing

NANJING UNIVERSITYNanjing, China BS in Statistics and Applied Mathematics (2006 – 2010)GPA: 3.9/4.0Ranking: 1/42

Advanced Coursework: Mathematical statistics, Stochastic processes, Stochastic differential equations, Numerical methods for PDEs, Multivariate statistical analysis

Scholarship & Prize: Entrepreneur scholarship (top 1%), First prize of People’s scholarship (top 3%), Outstanding graduates prize

PROJECTS Computing in Finance (C++ and Matlab) (Fall 2010)New York, NY

Yield curve & stock object: Built LIBOR yield curve class using bootstrapping, with extension to bond objects; Incorporated it into dividend-bearing stock object, testing them with market data

Volatility surface: Constructed SPX volatility surface model using 2-dimensional spline interpolation; Utilized the model to price variance swaps

Reverse convertible: Structured and back-tested reverse convertibles on ETFs; Extended discussion on products based on different baskets of ETFs; Analyzed sensitivity to correlations and conversion levels

Market simulation: Implemented stock trading framework adopting Almgren’s market impact model Stochastic Volatility Model Estimation (Undergraduate Senior Thesis) (Spring 2010)Nanjing, China

Researched non-parametric estimation of stochastic volatility models for pricing financial products, using observable market data to calibrate volatility terms for unobservable processes

Expanded the method from particular SDEs to more general situations and analyzed method convergence Multivariate Statistics Course Project (Excel and SAS) (Fall 2009)Nanjing, China

Conducted cluster and factor analysis on seasonal market data of key economic indicators for provinces

EXPERIENCE Research Assistant for Yale Finance Professor Frank J. FabozziNew York, NY Assistant for his new textbook Financial Economics (December 2010 – February 2011)

Revised texts and created questions & solutions for chapters on contingent strategies and risk management

Discussed on figure creation for complete market AMD TechnologiesSuzhou, China Intern Engineer (Summer 2009)

Wrote UNIX scripts to grab raw data from machines and improved efficiency of technicians by reducing 10- hour working load per week, according to their daily report

Reconstructed and developed efficiency of Excel applications to filter and analyze raw data, using VBA Collaborated with colleagues to set up cross-departmental filtered data sets Designed and gave programming courses for a class of 100 technicians, helping them to maintain and develop

new tools Programming and software: C++, VBA, UNIX Shell Scripting, Matlab, SAS, MS Office

SKILLS

Language: English (fluent), Chinese (native), French (basic)

VOLUNTEER (Summer 2010)Suzhou, China Organized and co-directed a sign language musical of over 200 teenagers sponsored by a non-profit organization, raising $12,000 for environmental

 

 

 

SAKET PRIYADARSHI (曾经是印度理工的啊... 还在PSU读完了MS的,gpa 3.96)

Brooklyn, NY – 11216, (202) 713 – 9172, sp2412@nyu.edu

NEW YORK UNIVERSITY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance(expected – December 2011)

New York, NY

Finance/Computing Project in C++Generated Volatility Surface for SPX options, priced Variance Swaps, Options, Greeks, Convertible Bonds, Strategies, and priced options by Monte Carlo Simulation

Risk with Econometrics: Mean-Variance Optimization, VAR, Black-Litterman Model, ARIMA, Bayesian Methods, GARCH and Range Volatility Estimators, Linear Regression, Hypothesis Testing, PCA

Derivative Securities: Risk-Neutral Valuation, Credit Risk, One-Factor Interest Rate Models, Black-Scholes, Derivative Pricing and Hedging, Binomial Tree, Finite Difference and Monte Carlo methods, Yield Curves

Computing: Optimal Trade Execution, Impact Models, Almgren - Chriss Model

Stochastic Calculus: Brownian Motion, Ito’s Calculus, Markov Process, Martingales, Feynman Kac

Current Semester Courses: Algorithmic Trading and Quantitative Strategies, Fixed Income Models, FX Derivatives Market, Stochastic Volatility Models, LIBOR Market Models, Two Factor Interest Rates Models, Stress Testing, Scenario Analysis, Brownian Bridges, Credit Risk Management, Basel Capital, etc.

PENNSYLVANIA STATE UNIVERSITY (2006)University Park, PA MS (Specialization) Computational Fluid Dynamics (CFD) (Minor High Performance Computing), GPA: 3.96 / 4.0

Performed CFD simulation/numerical analysis in C++ to study implementation of hydrogen in IC engines Presented the results at API Conference in Chicago

INDIAN INSTITUTE OF TECHONOLOGY (IIT) ROORKEE (2003)Roorkee, India BS in Mechanical Engineering, Ranked 3rd / 40

Gold Medal awarded for senior year project: created a simulation in C++ for Vehicle Dynamics Recipient of Full Scholarship for entire course and Certificate of Excellence for academic achievements

EXPERIENCE Provision MoldPhiladelphia, PA

Sales and Marketing Engineer (July 2009 – August 2010) Prepared RFPs, and managed bid on jobs worth up to $300,000 in North-East US, Canada and Europe region Responsible for delivery of completed projects and interacted with clients from bid to delivery stage

Created mathematical models and implemented them in C++ and VBA for engineering applications Equipment Inc.Philadelphia, PA Engineer (January 2009 – July 2009)

Created modules in C++ for automating specific design and analysis process

Participated in design and manufacturing of structures for heavy duty industries MPR Inc.Alexandria, VA Engineer (June 2006 – December 2008)

Performed generation capability analysis using Matlab for purchase/sale of utility facilities Performed analysis using VBA of large data sets obtained from testing at Nuclear/Coal Fired Power plant Participated in the design of a Uranium Enrichment facility

COMPUTER SKILLS

Programming languages: C++, Java, VBA, Fortran 2003 Software: Matlab, R, MathCAD, Mathematica, Excel, Tecplot, Bloomberg

OTHER

Passed CFA Level 1 Exam (December 2009) Successfully traded stock options for more than 2 years (used Interactive Broker TWS)

 

 


Levy He (浙大应用数学gpa 3.9)

31 River Court, Apt 3311, Jersey City, NJ 07310 Cell Phone: (917)703-3707, Email: rh1303@nyu.edu

NEW YORK UNIVERSITY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance(expected – January 2012), GPA 3.7

New York, NY

Math & Finance: It? calculus, martingales and measures, stochastic differential equations, Feynman- Kac, Black-Scholes, Greeks, Black-Litterman, risk & portfolio management with econometrics

Spring Courses: PDE for Finance, Continuous Time Finance, Scientific Computing, Interest Rate & FX Models

Teaching Assistant for Numerical Analysis ZHEJIANG UNIVERSITY (2006-2010)Hangzhou, China BS in Mathematics & Applied Mathematics with Honors, GPA 3.9Ranking: 4/109

Applied statistical inference and deduced an approximation equation in Queueing Theory, eventually constituted a rule system to help a hospital efficiently arrange limited beds, won the First Prize (top 50 out of 12,272) in China Undergraduate Mathematical Contest in Modeling

Advanced coursework: Financial Mathematics, Functional Analysis, Real and Complex Analysis UNIVERSITY OF WASHINGTON (Winter 2009)Seattle, WA

5% exchange students chosen out of 500 applicants, participated in Specialized Business Program SHENZHEN FOREIGN LANGUAGES SCHOOL (2000-2006)Shenzhen, China

EXPERIENCE

Summer Intern at HSBC (Summer 2010)Shenzhen, China

Interacted with premier clients on a daily basis

Analyzed over 5,000 premier account opening documents in EXCEL and VBA and improved database entry efficiency

Validated online operation and management system preventing lost customer data and improved retrieval efficiency in DB SOLO

Computing in Finance Project, New York University (Fall 2010)New York, NY Built Monte Carlo framework to price barrier options and basket options Constructed yield curves using bootstrapping method and volatility surfaces Analyzed historical performance of over 100 ETFs

Implemented stock trading framework adopting Almgren’s market impact model Constructed optimal portfolio by CAPM and Black-Litterman model Applied Principal Component Analysis and ARMA to model financial data

University Sponsored Research (2009-2010)Hangzhou, China

Compared organization forms and law system of Private Equity Funds in USA and China, observed problems in legality of private funds and improperness of operation in China and proposed six suggestions for the government, presented to the Department of Economics

Senior Thesis: applied advanced functional analysis to Superconductors with Vortex Pinning Effect Modeling Tumour Growth in Reaction Diffusion Equation, presented in a doctoral PDEs seminar

SKILLS, LANGUAGES & OTHER

Programming languages: C/C++, VBA, Matlab Other Software: TEX, Microsoft Word, Excel, Powerpoint, Access, Frontpage Languages: English, Mandarin, Cantonese, Japanese (Intermediate) Sports: Completed 42km Hangzhou International Marathon, College Soccer Champion Activities: Co-Founder of Zhejiang University Student Association for Overseas Exchange Hobbies: Member of Zhejiang University English Literature Readers Club

 

 


CHUOYAO ZHANG (已经在Northwestern读完了MS的)

35 River Dr S, Apt 1409, Jersey City, NJ 07310 Tel: 1-201-744-1697Email: cz487@nyu.edu

NEW YORK UNIVERSITY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance(expected – Jan 2012), GPA: 3.85/4.0

New York, NY

Mathematics and Finance: Brownian Motion, Ito’s Calculus, Stochastic Differential Equation, Risk-Neutral Pricing, Continuous Time Finance, Derivatives Pricing & Hedging

Computing: Exotic Options Pricing with Monte Carlo Simulation, Market Impact Modeling in C++ and Matlab

Spring Term Courses : Continuous Time Finance, Rates and FX Derivatives, MBS and Energy Derivatives, Advanced Numerical Methods

NORTHWESTERN UNIVERSITYEvanston, IL MS in Computer Science (Sep 2008 – June 2010), GPA: 3.9/4.0

Relevant coursework : Time Series Analysis, Multivariate Statistics, Numerical Methods, Probabilistic Graphical Models

Awarded Walter P. Murphy Fellowship NATIONAL UNIVERSITY OF SINGAPORESingapore

BS in Electrical Engineering, First Class Honor (Jan 2005 – June 2008), GPA: 4.6/5.0 Undergraduate Research: Developed an Independent Component Analysis based algorithm in

MATLAB to uncover underlying brain signal from noisy EEG recordings

Senior Thesis: Modeling and simulation of space-time block codes in time-selective channel using MATLAB

First Prize in Shanghai, Chinese Physics Olympiad, 2003 EXPERIENCE

BRACEBRIDGE CAPITALBoston, MA Summer Intern, Fixed Income Strategy (June 2010 – July 2010)

Researched on a model for predicting swap spreads direction and back tested it with treasury, swaps and LIBOR data

Modified CDS pricing model to adapt to new market standard and implemented the change Developed Excel/VBA tools to aggregate pricing functions for traders Received training in fixed income instruments pricing and relative value trading strategies

NICO TRADINGChicago, IL Summer Intern, Market Data (June 2009 – August 2009 )

Developed a market data service using Bloomberg C++ API, giving access to Bloomberg live price data for internal clients

Achieved low latency performance requirement, leading to its use in production SKILLS

Languages: English (fluent), Chinese (native) Programming Languages: C++, VBA, Matlab Other Software: Bloomberg, Microsoft Word, Excel, PowerPoint

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