YUHE (HEATHER) ZHU

(217) 418-8837 yuhe.zhu@nyu.edu

EDUCATION
NEW YORK UNIVERSITY New York, NY
The Courant Institute of Mathematical Sciences
MS in Mathematics in Finance (January 2018)
Finance and Econometrics: Risk management, Greeks, fixed income, option pricing and hedging,
securitized products, energy derivatives, portfolio optimization in Matlab
Mathematics and Computing: Regression analysis, PCA, Monte Carlo simulation, algorithms and
data structures in Java, OOP, numerical methods in Python, stochastic calculus
UNIVERSITY OF ILLINOIS AT URBANA-CHAMPAIGN Urbana, IL
BS in Statistics & Actuarial Science Minor in Business (May 2016)
Coursework: Linear regression in R, statistical data management in SAS, machine learning in R
Awards: 4 years Edmund J James Scholar, Statistics Department Highest Distinction, Deans List
EXPERIENCE
GUOTAI JUNAN FUTURES CO. LTD. Shanghai, China
Asset Management Intern (June 2017 August 2017)
Collected and cleaned data from Wind terminal, analyzed correlation between copper future
contract and 23 PMI indices, and proposed trading timing
Surveyed trading strategies for coal, gold, silver, ribbed bars, and corn future contracts
Assisted traders record trading activities, test system, and research the trading rules of the
upcoming crude oil future contract listed on Shanghai International Energy Exchange
WESTERN SECURITIES CO. LTD. Xian, China
Risk Analyst Intern (June 2015 August 2015)
Gathered credit default data from the companys internal terminal, used SAS to implement cluster
analysis, and constructed linear regression to identify default rate and loss
Performed fundamental analysis on major securities companies, consulted the securities industry
ranking, analyzed industry trends, and wrote annual report analysis
UNIVERSITY OF ILLINOIS AT URBANA-CHAMPAIGN Urbana, IL
Undergraduate Assistant for Introduction to Computing (September 2013 December 2013)
Led 2 weekly discussion sessions and clarified exercise problems for 60 students
Improved students problem solving techniques using Excel, VBA and SQL
PROJECTS
Risk Management Course Group Assignment in Excel and VBA (April 2017)
Performed stress test on given historical data and portfolio position; calculated largest 1, 2, and 5
day moves, implied PnL for the moves, and PnL over the crisis period (7/1/2008-12/31/2008)
Calculated and compared VaR through 3 methodologies: variance/covariance, historical
simulation, and Monte Carlo simulation
Mean-Variance Portfolio Optimization in Matlab (October 2016)
Cleaned the Fama-French 30 industry portfolios data by Hampel filter and analyzed the filtering
impact on descriptive statistics such as annualized average return, volatility, Sharpe ratio, and
covariance matrix
Built global minimum variance portfolio and mean-variance portfolio optimization on the cleaned
dataset, and compared back-test results
COMPUTER SKILLS/OTHER
Programming Languages: Java, Python, R, Matlab
Other Software: SAS, SQL, VBA, Capital IQ, OpenBUGS, Tableau
Languages: English (fluent), Mandarin (native)