Yeren Xu
Lehman Brothers Inc.
3 World Financial Center
New York, NY 10285
xyu@lehman.com
201-524-5018 (W)
609-716-1228 (H)
Objective:
To obtain a challenging position that requires both mathematical talent and UNIX
parallel system experience in developing quantitative methods on innovative
financial applications
Education:
September 1986-August 1992. Ph. D. in Mathematics. University of Washington.
October 1978-July 1982. B.S. in Mathematics. Fudan University. Shanghai, China.
Experience:
February 1996 - Present. Lehman Brothers Inc. Unix Parallel System Administrator.
Manager of Fixed Income Parallel Production group
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Managing fixed income parallel production group to provide services such as set up
production infrastructure, coordinate with clients and other system support groups in
resolving critical production issues
Using Autosys and associated utilities to control parallel processing executions in a
heterogeneous (UNIX and NT) distributed environment and providing both system and
application level support for missing critical batch processes in ABS, MBS, CMO, Govt.
Sales Analytics, Lehman Indexes, Risk Management, Futures and FX
Managing Computational resources utilizing parallel computing tools such as Netmake,
D-Manager, and other in-house parallel distributed computing utilities. Testing,
maintaining and improving these applications
Designing, managing and leading development projects to monitor and enhance
production execution performance such as parallel computing utility, SQL tuning and
optimization and research on distributed databases system
Continuing research on mathematical finance with topics of Dynamic risk measurement;
Portfolio selection with impulse control; Interest rate derivatives when short rate
follows Levy process; Malliavin calculus and its application on derivative pricing in
financial market
October 1998 - Present. FinESystem Inc.
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Analysis, design, implement and deploy small scale risk management system in
distributed environment
September 1995 - August 1997. Montana State University. Assistant Professor of
Mathematics. (Tenured)
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Performed mathematical research and teaching on mathematical finance and complex
analysis
September 1992 - July 1995. Temple University. Assistant Professor of
Mathematics. Dean's Appointment Post-doctoral fellowship
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Conducted research on geometric complex analysis and mathematical finance
Taught various (under)graduate courses in all areas. (Numerical Analysis; Mathematica
Computing Programming in MAPLE/MATLAB/MATEMATICA; Mathematical Game
Theory; Wavelets; Diffusion Processes; etc.)
Completed graduate training on computer science (Operating Systems; Programming
Techniques in C++; Data Structures; etc.), on finance (Insurance Derivatives in
Risk Management; Corporate Finance; Portfolio Selection and Capital Asset
Pricing; etc.), and on statistics (Inference; Time Series Analysis; SAS/SPSS.)
September 1982 - July 1986. Shanghai Medical College. Instructor of Mathematics
and Computer Science
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Researcher on Artificial Intelligence - Project on software of Medical Diagnosis Expert
System
Technical
Skills:
Computer Technology
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In depth experience on Unix system and Sybase database system from daily
production management and infrastructure build up
Solaris/Sun OS system (System resources management; TCP/IP network protocol,
NIS/NIS+/NFS/DNS/AFS); Sybase System 11 (Server setup, tuning and maintenance;
SQL application execution monitoring; Performance evaluation and tuning; Sybase
internal data structure; DB/CT-Library, etc.)
Proficient programming skills in C++, C, Sybase SQL and shell programming
Borne shell, Perl, C-shell, Kohn shell, Syperl, Unix network programming (System V
Interprocess communications: semaphores, shared memory, multi-threadings); OOPdesign in distributed parallel computing w/ Netmake/PVM/MPI/Linda/Paradise/CORBA
Extensive hands-on skill on Autosys, and working experience on CORBA,
Window NT, FORTRAN, MAPLE, MATLAB, SAS, SPSS, Neuron network
and fuzzy logic, and artificial intelligence on expert system
Finance Engineering
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Publications:
Experienced on design and implement small scale Risk Evaluation systems for
(loan) portfolio management (VaR calculation on historical data and on
assimilation; Correlation adjustment; Dynamical optimal components selection
and hedging strategy. Application of extreme value theory.)
In depth knowledge on major interest rate derivative/swaps models (CIR,
Vasicek, Ho-Lee, Hull-White, Blake-Derman-Toy, HJM, Jamshidian) and
derivative pricing theory in a incomplete market environment
Solid knowledge on stochastic analysis and its application on pricing of ABS,
MBS, exotic options, and other innovative products on financial engineering.
Extensive experience on Monte Carlo simulation, stochastic/dynamic
programming, genetic algorithms, neuron networks, and fuzzy logics
Strong experience on numerical analyses using maple/matlab/mathematica and
statistical analysis using sas/spss
Made valuable contribution to fundamental mathematical research; worked
independently as well as with other members of mathematical community;
taught graduate and undergraduate courses; achieve outstanding evaluations.
Extension of 1-dimensional varieties across rectifiable curves, Canadian Journal of
Mathematics,1995
Hartogs theorem for analytic curves, Math. Zeitschrift, V.217, No. 4, 635-640, 1994
Extension of analytic varieties across manifolds with restricted CR dimension,
Complex Analysis and Its Application, Pitman Research Notes in Mathematics, V.
305, 258-261, 1994
Interpolation submanifolds of unitary group, Pacific Journal of Mathematics, V.
165, No. 1, 181-205, 1994
Extension of complex varieties across C1 manifolds, Michigan Journal of
Mathematics, V. 40, No.2, 399-410, 1993
Fixed point theorems for some contraction mappings, Journal of Mathematical
Research and Exposition, 5(1986), No. 4, 49-52.
Professional
Affiliation:
Member of Bachelier Mathematical Finance Society