1. Zhengbo (Daniel) Zhu
(765) 237-8932 • tsinghuazzb@gmail.com
http://www.linkedin.com/in/zhengbozhu
Objective
To obtain a Summer Intern position where I can leverage my quantitative and trading skills
Education
• Purdue University, School of Industrial Engineering, West Lafayette, IN GPA: 3.95/4.0
Ph.D. in Industrial Engineering, Specialization in Operations Research May, 2014 (Expected)
• Tsinghua University, Department of Automation, Beijing, China GPA: 88.6/100
B.S. in Automation, Specialization in System Modeling and Optimization July, 2009
Works in Financial Engineering and Equity Trading
• Department of Statistics, Purdue University, West Lafayette, IN
– Developed a comprehensive understanding of Black-Scholes model, risk neutrality and martingale pricing
– Implemented the practical pricing methods of European, American, and Path-dependent exotic options in
C++, e.g. Trees, Monte Carlo, PDE method, Finite difference method, and Static replication method
– Studied systematically multiple models such as short rate (HJM) model and LIBOR market model to price the
interest rate derivatives; constructed trees for the short rates and implemented the BGM model in C++
– Researched on the incomplete markets and the jump-diffusion processes and implemented alternative models
like Stochastic Volatility, Variance Gamma and Smile Dynamics Models
– Estimated and forecasted asset returns/volatilities using models such as ARIMA, STAR, ARCH and GARCH
– Performed multivariate time series over oil service companies (e.g. Halliburton) to identify the driving factors
of price movement and estimated the correlation between price volatility and external shocks
– Implemented the Extreme value theory and Value at Risk to manage the risk of asset portfolios
– Performed high-frequency analysis to intraday transactions and analyzed different models and strategies
• Student Investment Club “Money from Intelligence", West Lafayette, IN
Founder/Organizer May 2011 – Present
– Developed and enhanced models for stock selection and tested the risk-factor models on stocks
– Performed fundamental/technical analysis and equity valuation over companies in different industries
– Determined economic moat by researching product differentiation, cost efficiency, and customers “lock-in"
– Implemented various option strategies to hedge the position of stock shares and make profit from speculation
– Participated in a Combine program hosted by Patak Trading Partners to perform transactions in future markets
– Attained an average annual return of 18% on personal portfolio
Research and Analytical Experiences
• School of Industrial Engineering, Purdue University, West Lafayette, IN
Research Assistant/Teaching Assistant September 2009 – Present
– Conducted in-depth research on probability theory, stochastic process and numerical linear algebra
– Applied Markov Chain process and Gibbs Sampler to solve inverse problems in under-determined systems
– Designed algorithms and models to solve compressed sensing problems and implemented them in Matlab
– Developed programs to optimize the performances of designed algorithms and provide proof of complexities
– Instructed two courses "Nonlinear Optimization" and "Stochastic Models in Operations Research"
• Lenovo Group Limited Company, Beijing, China
Data Analyst June 2008 – August 2008
– Participated in a Six Sigma project to reduce ThinkPad’s repair cost and collected/decomposed data
– Maintained the project’s data query, data management and statistical report programs in SAS
– Performed Bayesian analysis, Regression analysis and Hypothesis testing on the repair data for ThinkPad
– Designed experiments and developed simulations to test different repair methods and proposed a solution
that could reduce the number of replaced parts per repair by approximately 20%
Quantitative and Technical Skills
Quantitative: Stochastic Process, Risk Control, Financial Time Series, Derivative Valuation, Statistical Analysis
Technical: C, C++(STL/Boost), OOP Design Patterns, Matlab, L TEX, SAS, R, Excel VBA, Access
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