Kevin Kun ZHANG Education Specialties
Transcription
Kevin Kun ZHANG Education Specialties
Kevin Kun ZHANG Education Warwick Business School, UK PhD Finance One of two call-for-papers winners for presentation at Quant Congress Europe 2013 MSc Financial Math Core GPA: 85/100, ranked 2nd, Distinction Chinese Academy of Sciences, China ME Applied Computing Technology, Intelligence Engineering Lab Tsinghua University, China BE Computer Science and Technology 2009-2013 2008-2009 2005-2008 2001-2005 Specialties Stochastic Volatility Modelling, Portfolio Allocation, Credit Risk Modelling Numerical PDEs, Simulation, Calibration, Estimation C/C++, JAVA, Matlab, VBA Publications “Dynamic optimal portfolio choice in a jump-diffusion model with investment constraints”, joint work with Xing Jin, Journal of Banking and Finance, 37(5), pp. 1733-1746, May 2013 2 publications on Chinese hand writing pattern recognition in 2008-09 Working Papers & Work in Progress “Option pricing and calibration with time-changed Lévy processes”, submitted, presented at BFS 2012, AMaMeF 2013 “Rare events, asymmetric correlation and under diversification”, joint work with Xing Jin, presented at AMaMeF 2013, Quant Congress Europe 2013, will be presented at QMF 2013 “MCMC estimation of multivariate time-changed Lévy processes” “Credit risk, illiquidity and the puzzle of out-of-the-money options” (in progress) “Breaking the curse of dimensionality: a new approach to pricing high-dimensional American-style derivatives”, joint work with Xing Jin, Andrea Gamba and Cheng-Yu Yang (in progress) Work Experience Changjiang Securities, Shanghai, 2011 Intern, 3 weeks, Research Department Derivatives Division Supported the research team; helped to write daily warrants reports Did research on ETF arbitrage strategies JP Morgan, London, 2009 External project, 3 months, Credit Hybrids Trading Investigated the driving force of CDS basis Modelled the CDS basis with a reduced-form model Did research on and implemented arbitrage strategies between CDS index and CDS contracts Jianglong Tech, Beijing, 2006-2007 Part-time developer, 5 months Designed and developed online chess and poker games Implemented the communication platform; stress-testing coordination Nasdaq: KONG, Beijing, 2005-2006 Part-time analyst, 9 months, R&D Center Helped to develop the back-end platform Designed and implemented the stress-test for an online live NBA broadcasting platform Siemens, Beijing, 2004 Intern, 4 months, Mobile Phone Department Phone games design and development (poker, jigsaw puzzle); system APIs development Computing Projects @ Intelligence Engineering Lab, Chinese Academy of Sciences Did research on segmentation and recognition of Chinese hand writing text document; platform implemented, 2006-2008 @ Department of Computer Science and Technology, Tsinghua University Co-designed and implemented a digital watermark attacking platform, 2005 SRT (Student Research Training) project on medium-sized soccer robot, 2004 Implemented a compiler for OOP language DECAF, 2004 SRT project on dynamic high-fault-tolerant self-learning text retrieval, system co-implemented, 2003 SRT project, co-designed and implemented a teaching machine of Assembly language, 2002 Awards, Grants & Honours Since 2009 £12000 Research Bursary, Warwick Business School , 2012-2013 WPRS (Chancellor’s Fellowship, ≤1 per department), University of Warwick, 2010-2012 PhD in Finance Scholarship, Warwick Business School, 2009 Travel grant to the 3rd SMAI European Summer School in Financial Mathematics, Paris, 2010 Before 2008 Recommended for entrance to the Chinese Academy of Sciences; tuition fees waived, maintenance supported, 2005-2008 Shunde Wu Scholarship, Tsinghua University, 2001 University tuition fees supported by Zhong Dao Co., 2001-2005 High School Got 697/750 in the National College Entrance Exams, ranked 2nd out of 300k Candidates in Hebei Province, China, 2001 Gold medal in the "Hope Cup" National Invitational Senior High School Math Competition, China, 2000 1st grade prize in Physics, 2nd grade prize in Math in the Senior High School Olympic Competitions, Hebei Province, China, 2000 Relevant Research Activities Refereeing Activities, 2013 Quantitative Finance, Computational Economics Academic Discussions, 2011 “The valuation of exotic barrier options by contour bridge simulation”, by Pokpong Chirayukool and Nick Webber, Woxbridge Spring Doctoral Conference Reading Groups Contributed @ Statistics Department, University of Warwick, 2010-2011 Probability reading group: Lévy processes, 2010 Fall Stochastic Finance reading group, 2010 Fall, 2011 Spring Selected Teaching Duties @ University of Warwick, 2009-2012 Designed and gave lectures to master students on C++: polymorphism, design pattern (singleton/ factory) Teaching assistance for program MSc Financial Math: VBA, 2009; Numerical Methods and Programming A, 2010-2012; Numerical Methods and Programming B, 2009; C++ Modelling in Asset Pricing, 2011-2012 Conferences & Workshops attended / to attend, 2010-2013 Stochastics, Control and Finance, Department of Mathematics, Imperial College London Apr 2010 Hedging the Unhedgeable, Cass Business School Apr 2010 Derivatives, Volatility & Correlation, Warwick Business School May 2010 3rd SMAI European Summer School in Financial Mathematics, Paris Aug 2010 Woxbridge-Spring Doctoral Conference, Warwick Business School Apr 2011 Young Researchers in Mathematics, University of Warwick Apr 2011 Advances in Portfolio Theory and Investment Management, Oxford-Man Institute of Quantitative Finance May 2011 7th World Congress of the Bachelier Finance Society, Sydney Jun 2012 Workshop on large deviations and asymptotic methods in Finance, Math Dept, Imperial College London Apr 2013 6th General AMaMeF and Banach Center Conference, Poland Jun 2013 Quant Congress Europe 2013, London Jun 2013 Quantitative Methods in Finance 2013 Conference, Sydney Dec 2013 Other Activities Co-initiator, Organizer and Referee Trainer, Basketball Club, CS Department, Tsinghua University, 2003-2005 Built up a basketball club by mimicking the system of NBA; trained referees; organized weekly matches