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
Related Works in Equity Research and Trading
• 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
– Collaborated with members to make industry analysis and equity valuation over different companies
– Performed extensive fundamental/technical analysis over oil service companies (e.g. Halliburton) and Chi-
nese on-line game publishers (e.g. Perfect World); traded shares/options accordingly
– Performed business analysis and determined the business cycles and management efficiencies
– Investigated companies from various points of views such as product differentiation, cost competitiveness,
and customers “lock-in" to determine if economic moats existed
– Researched financial statements and historical results to determine companies’ financial situations; inves-
tigated the product lines and marketing strategies to test if sustainable growths existed
– Determined companies’ valuations by applying various valuation models such as multi-stage growth model,
discounted dividend model, and discounted cash flow model
– Spotted potential financial/management red flags by extensive research of the public sources
– Implemented various option strategies to hedge the stock position and make profit from speculation
– Participated in a Combine program hosted by Patak Trading Partners to perform future transactions
– Attained an average annual return of 18% on personal portfolio
Related Works in Quantitative Finance
• School of Industrial Engineering, Purdue University, West Lafayette, IN
Research Assistant September 2011 – Present
– Developed a comprehensive understanding of Black-Scholes model, risk neutrality and martingale pricing
– Implemented the practical pricing methods of European and American options in C++, e.g. Recombining
trees, Monte Carlo, PDE method, Numerical integration, Finite difference method, and etc
– Researched on the Static replication methods, e.g. strong static, weak static, mezzo static, and feeble static
– Priced barrier options, path-dependent exotic options, and options with early exercise features by using
Monte Carlo, trees, and static replication methods in C++
– Performed quantitative analysis such as Greeks calculation and Moment matching for priced options
– 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 mod-
els like Stochastic Volatility, Variance Gamma, and Smile Dynamics Models
– Studied the C++ design patterns and their applications in derivatives pricing and quantitative development
– Applied XLW and Excel VBA to combine the computational advantage of C++ with graphical interfaces

2. Related Works in Empirical Finance
• Department of Statistics, Purdue University, West Lafayette, IN
Ph.D. student January 2012 – Present
– Studied comprehensively the linear and nonlinear models in financial time series and their applications;
estimated and foretold asset returns by using models such as ARMA, ARIMA, TAR, and STAR
– Performed estimation and forecast to asset volatilities using conditional heteroscedastic models like ARCH,
GARCH, IGARCH, GARCH-Mean, EGARCH, and etc
– Performed multivariate time series over oil service companies (e.g. Halliburton) to identify the driving
factors of price movements and estimated the correlation between price volatilities 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
– Researched the applications of Kalman filter and state space approach in financial time series analysis
– Applied Markov Chain Monte Carlo methods to design a Gibbs sampler that can reconstruct sparse signals
from linear observations
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
– Applied numerical linear algebra to optimize the algorithms’ implementations
– Provided proof of complexities and designed programs to test the algorithms’ robustness
– Instructed two courses "Nonlinear Optimization" and "Stochastic Models in Operations Research"
• NEC Laboratory, Tsinghua University, Beijing, China
Developer/Consultant February 2009 – June 2009
– Developed a Temperature Data Management System in Browser/Server architecture for logistic companies
– Designed multi-function modules and web pages for the system and performed data-flow analysis
– Streamlined the database structure using UML and IDEFx and realized the data access by using C#.NET
• 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
– Implemented DMAIC model to identify the major defected part of the repair process.
– 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%
• System Modeling Laboratory, Tsinghua University, Beijing, China
Lab Assistant/Data Analyst February 2008 – May 2008
– Evaluated the emergency evacuation procedure of the national gymnasium for Beijing Olympic Committee
– Streamlined the evacuation model using UML and IDEFx and improved the evacuation efficiency by 8%
• China Merchant International Travel Co., Ltd (CMIT), Beijing, China
Analyst/Consultant July 2007 – September 2007
– Quantified the quality of services CMIT provided in Beijing by establishing mathematical models in Matlab
– Optimized the travel protocol for CMIT personnel resulting services of the same quality with 15% less cost
Related Skills and Certificate
Quantitative: Stochastic Process, Risk Control, Financial Time Series, Derivative Valuation, Statistical Analysis
Financial: Market Microstructure, Equity Research, Options Trading, Portfolio Management, Credit Risk
Technical: C, C++(STL/Boost), OOP Design Patterns, Matlab, L TEX, SAS, R, Excel VBA, Access
A
Certificate: Passed CFA level 1 exam on the first attempt