ZHITING ZENG

• Develop and maintain the C#-based valuation engine that calculates market value and risk exposure for a broad range of instruments, including fixed income securities and derivatives.
• Model behavioral cash flows for fixed income products on bank balance sheets, including mortgages, credit cards, CMOs and reverse mortgages.
• Build and maintain internal analytics tools for model regression testing.

Selected Worked Projects:

• Generalized the level-payment amortization formula to support amortization more frequent than interest payments for fixed- and variable-rate instruments;
• Extended funds transfer pricing (FTP) valuation to discount each spread component on its own curve, restructuring the valuation engine to support multiple yield curves;
• Expanded instrument coverage: Australian variable-rate mortgages, Canadian variable-rate mortgages (resets, caps, floors), leases, revolving credit (funded/unfunded), and arrears, look-back and payment-delay features.

• Maintained option pricing and trading system; developed pricing models for volatility products to enhance trading strategies.
• Developed quantitative tools to retrieve option market information, improving data accessibility for trading decisions.
• Collected daily market data and managed market database, performing post-trade analysis to inform future trading strategies.

• Coursework: Stochastic Calculus, Option Pricing, Numerical Methods (incl. Monte Carlo variance reduction), Fixed-Income Modeling, Risk Management.
• Projects: Built an option pricing engine; analyzed changes in the U.S. Treasury rate term structure.
• GPA: 3.92

• Coursework: Regression (OLS, GLS, logistic), Multivariate Analysis, Bootstrapping.
• GPA: 3.75

• Graduated with Honors.
• GPA: 3.70