NIANHUI (ELLA) SONG 423 W 118th Street, Apt. 3D, New York, NY, 10027, 646-469-3512, [email protected] EDUCATION NEW YORK UNIVERSITY New York, NY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance (expected – December 2014) Mathematics: Linear Regression, PCA, Ito’s Calculus, PDE, SDE, Brownian motion, Martingales Derivative Securities: Black-Scholes pricing models, Greeks, Interest rate and FX models Portfolio Management: Efficient frontiers, Mean-Variance Optimization (MVO), Black-Litterman model, Factor models, Value at Risk Future Courses: Time Series Analysis and Statistical Arbitrage, Advanced Econometric Modeling EMORY UNIVERSITY, Chemistry Department Atlanta, GA Ph.D. in Physical Chemistry (September 2008 – August 2013) Thesis: “Single Quantum Dot Electron Transfer Dynamics” Published 14 peer reviewed journal papers, presented at two international conferences UNIVERSITY OF SCIENCE AND TECHNOLOGY OF CHINA (USTC) B.S. in Material Physics (September 2004 – July 2008) GPA: 3.85/4.30. Math GPA: 4.2/4.3. Rank in class: 1/27 WORK EXPERIENCE Hefei, China SMBC Capital Markets New York, NY Summer Intern in Quantitative Research Group (June 2014 – Present) Explored different approaches to quantify fair values of volatility skew in interest rate derivatives: Optimized daily P&L of arbitrary portfolios to predict future volatility skews Proposed and implemented different local-stochastical volatility models to simulate option prices and extract implied volatilities using Black’s formula Supported daily trading activities: Maintained trading books and monitored trading risks; Developed programs (VBA) to improve trading book functionality and to manipulate trading records Emory University Atlanta, GA Research Assistant (September 2008 – August 2013) Developed methodology to study jump processes in light emitting nanoparticles and quantified stochastic transitions between different physical states Implemented Maximum Likelihood Analysis to analyze exponentially distributed data ACADEMIC PROJECTS Efficient Frontier Construction and Portfolio Optimization (Fall 2013) Cleaned 15 years of daily return data of 500 stocks; Predicted expected returns using CAPM and Black-Litterman models; Estimated covariance matrix using historical correlation between stocks Conducted MVO to construct efficient frontiers and optimized portfolios Tutorial on Robust Asset Management (Spring 2014) Documented robust mean variance optimization methodology utilized in asset management Applied saddle-point algorithm to robust MVO and constructed more conservative efficient frontier compared with traditional MVO. Cluster Analysis of Hedge Fund Indices (Spring 2014) Applied hierarchical method on 10 CISDM hedge fund monthly indices to group the assets Constructed a dendrogram of the analysis and identified 4 groups based on asset correlations COMPUTER SKILLS AND OTHER Programming Languages: VBA, Java, C++, Matlab Certification: CFA Level II Candidate