Ming Gao

"Mitch"

New York City · (212) 202-0998 · ming@gao.us

Ph.D. candidate in Applied Mathematics and Statistics with Time-inhomogeneous Lévy Processes research area. My current research topic is the Lévy processes applications in the TSIR models and bond derivatives pricing.

My Ph.D. advisor is James Glimm, who is the former president of the American Mathematical Society and a recipient of Heineman Prize, Leroy P. Steele Prize and National Medal of Science.

Check out my Plum Profile here (a pre-employment assessment).


Experience

Associate, Derivatives Model Risk/Validation

SMBC Capital Markets, Inc.
Feburary 2020 - Present

Quantitative Investment Intern

United nations Joint Staff Pension Fund

• Monitored $67 billion multi-asset allocation and conducted optimal portfolio analysis using different theories, e.g. extreme value theory - Pareto distribution, mean-variance
• Simulated tracking errors of global fixed-income portfolios by modifying parallel/non-parallel duration shifts on each bucket and applied different weight sampling methods to find distributions of tracking errors
• Evaluated external managers’ performance using Stochastic Dominance, Regime Shift and Monte Carlo simulations for forecasting and VaR/ES calculation
• Performed risk mapping and simulation of $15.3 billion global private equities and real assets

June 2019 - Nov 2019

Graduate Research and Teaching Assistant

Stony Brook University

• Lectured class; prepared LaTeX class notes; constructed and graded assignments and tests (AMS 318 Financial Mathematics and AMS 320 Quantitative Finance)
• Applied data modeling and statistical learning methods to market prediction and systematic trading
• Calibrated term structure of interest rate models in use of interest rate risk management

August 2017 - May 2019

Education

Stony Brook University

Doctor of Philosophy
Applied Mathematics and Statistics

Advisor: James Glimm
Research Area: Time-inhomogeneous Lévy Processes

August 2017 - Present

New York University

Master of Science
Financial Engineering
August 2014 - May 2016

Zhejiang University of Finance and Economics

Bachelor of Science
Finance
September 2010 - June 2014

Projects

Multi-class Classfification and Neural Networks

Stanford University

• Implement one-vs-all logistic regression and neural networks to recognize hand-written digits
• Built spam classifier using support vector machines (SVMs) with Gaussian Kernels

July 2019

Copula Structure Analysis

Stony Brook University

• Replaced classical assumption of a linear model for the distribution of a random vector is replaced by the weaker assumption of a model for the copula. Estimated dependence by using Kendall’s τ and performed copula structure analysis on a financial data set and explained differences between copula-based approach and the classical approach

June 2018

Skills

Programming Languages & Tools
Languages
  • Mandarin (native)
  • English (fluent)

Interests

  • Saltwater Aquarium. I currently have a beautiful 20-gallon fish tank, where Nemo and Dorry live together, as well as plenty kinds of corals, live rocks and millions of beneficial bacteria. All system are perfectly balanced and aujusted itself, e.g. pH, Salinity, Nitrate, Phosphate, Alkalinity, Calcium, Magnesium.
  • Boating, inshore fishing and crabbing. Commonly caught species are Sea Bass, Flounder, Bluefish, Sea Robin, and Puffer. I used to caught 46 crabs within 2 hours along long island south shore. Caught Horseshoe Crab (protected, released thereafter) one time, which blood is worth $60,000 per gallon on the market.
  • Shuck oysters and eat it in raw with a squirt of lemon and cocktail sauce. I prefer Eastern oysters over Western. New Haven Style Oyster Knife is my favourite, which tip is bent for cutting muscles connecting shells, and perfect for shucking small or mid size oysters.
  • Traveling of course. Each year I visit one country or region at least. I have been to China(of course it's where I came from), Hong Kong, Mexico, Bahamas, Turks and Caicos Islands, Dominican Republic, Puerto Rico, British and US Virgin Islands. And more are on my list. Learning and experiencing different lifestyle and culture are my lifelong endeavor.

Awards & Certifications