YUNFAN JIN 30 Newport Pkwy Apt# 2506 ■ Jersey City, NJ 07310 ■ (917) 847-0606 ■ [email protected] EDUCATION NEW YORK UNIVERSITY New York, NY Courant Institute of Mathematical Sciences MS in Mathematics in Finance (expected – January 2015)  Brownian Motion, Itȏ’s lemma, numeraires, interest rate models, local volatility models, FX markets, exotic options, finite difference methods, Gaussian quadrature, risk measures, Java PEKING UNIVERSITY Beijing, China BS in Applied Mathematics & BA in Economics (September 2009 – July 2013) EXPERIENCE Numerix LLC New York, NY Financial Validation Engineering Intern (May 2014 — August 2014)  Scripted callable path-dependent deals and priced them with different MC types  Validated new features regarding hybrid models with various components including Hull White, Black-Karasinski, CIR, Heston, Dupire, LSV, credit transformation models, etc.  Compared pricing results among built-in and scripted deals of Asian, European, American, Lookback and Barrier options, Cap/floors, swaps, swaptions, CMS swaps/options, CDS, etc. National Development and Reform Commission Beijing, China Research Assistant, Energy Research Institute (March 2013 — June 2013)  Programmed Excel files with VBA to complete various kinds of regression analysis  Compared the correlations among prices of various assets and delivered written report analysis China Everbright Bank Shanghai Branch Shanghai, China Intern, Corporate Banking Department (July 2012 — August 2012)  Accurately assembled original credit documents for future auditing and historical archiving ACADEMIC PROJECTS Interest Rate & FX Models and Continuous Time Finance  Constructed yield curve with CDs, futures and swaps by Python, and employed Libor Market Model with the given volatility to price Libor in arrears, swaptions and CMS swaps  Calibrated SABR models to FX ATM Vols, Risk Reversals and Market Strangles, plotted implied volatility curves and interpolated volatilities by time with weekend effects  Employed the historical S&P500 data to deduce the ‘implied volatilities over a period’, with which the delta hedges of options at certain strikes produce no profit or loss Computational Finance in Java  Applied k-means clustering to partition many points on a given space into several clusters  Performed Monte Carlo simulations with Antithetic approach to price path-dependent options  Utilized multithread to distribute data among several clients with JMS to increase efficiency C++ Programming Practice: Five-in-a-row Game  Developed a game system and designed strategic artificial intelligence to play with others COMPUTER SKILLS & OTHER    Programming: Java, C++, Python, Matlab, R, SAS, VBA, SQL Honor/Award: First Prize in 2010 National College Physics Contest for non-Physics students Language: Mandarin (native), English (fluent)