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Kevin Kun ZHANG
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Education
Warwick Business School, UK
PhD Finance
One of two call-for-papers winners for presentation at Quant Congress Europe 2013
MSc Financial Math
Core GPA: 85/100, ranked 2nd, Distinction
Chinese Academy of Sciences, China
ME Applied Computing Technology, Intelligence Engineering Lab
Tsinghua University, China
BE Computer Science and Technology
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2009-2013
2008-2009
2005-2008
2001-2005
Specialties
 Stochastic Volatility Modelling, Portfolio Allocation, Credit Risk Modelling
 Numerical PDEs, Simulation, Calibration, Estimation
 C/C++, JAVA, Matlab, VBA
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Publications
 “Dynamic optimal portfolio choice in a jump-diffusion model with investment constraints”, joint work with Xing Jin, Journal of
Banking and Finance, 37(5), pp. 1733-1746, May 2013
 2 publications on Chinese hand writing pattern recognition in 2008-09
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Working Papers & Work in Progress
 “Option pricing and calibration with time-changed Lévy processes”, submitted, presented at BFS 2012, AMaMeF 2013
 “Rare events, asymmetric correlation and under diversification”, joint work with Xing Jin, presented at AMaMeF 2013, Quant
Congress Europe 2013, will be presented at QMF 2013
 “MCMC estimation of multivariate time-changed Lévy processes”
 “Credit risk, illiquidity and the puzzle of out-of-the-money options” (in progress)
 “Breaking the curse of dimensionality: a new approach to pricing high-dimensional American-style derivatives”, joint work with
Xing Jin, Andrea Gamba and Cheng-Yu Yang (in progress)
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Work Experience
Changjiang Securities, Shanghai, 2011
Intern, 3 weeks, Research Department Derivatives Division
 Supported the research team; helped to write daily warrants reports
 Did research on ETF arbitrage strategies
JP Morgan, London, 2009
External project, 3 months, Credit Hybrids Trading
 Investigated the driving force of CDS basis
 Modelled the CDS basis with a reduced-form model
 Did research on and implemented arbitrage strategies between CDS index and CDS contracts
Jianglong Tech, Beijing, 2006-2007
Part-time developer, 5 months
 Designed and developed online chess and poker games
 Implemented the communication platform; stress-testing coordination
Nasdaq: KONG, Beijing, 2005-2006
Part-time analyst, 9 months, R&D Center
 Helped to develop the back-end platform
 Designed and implemented the stress-test for an online live NBA broadcasting platform
Siemens, Beijing, 2004
Intern, 4 months, Mobile Phone Department
 Phone games design and development (poker, jigsaw puzzle); system APIs development
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Computing Projects
@ Intelligence Engineering Lab, Chinese Academy of Sciences
 Did research on segmentation and recognition of Chinese hand writing text document; platform implemented, 2006-2008
@ Department of Computer Science and Technology, Tsinghua University
 Co-designed and implemented a digital watermark attacking platform, 2005
 SRT (Student Research Training) project on medium-sized soccer robot, 2004
 Implemented a compiler for OOP language DECAF, 2004
 SRT project on dynamic high-fault-tolerant self-learning text retrieval, system co-implemented, 2003
 SRT project, co-designed and implemented a teaching machine of Assembly language, 2002
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Awards, Grants & Honours
Since 2009
 £12000 Research Bursary, Warwick Business School , 2012-2013
 WPRS (Chancellor’s Fellowship, ≤1 per department), University of Warwick, 2010-2012
 PhD in Finance Scholarship, Warwick Business School, 2009
 Travel grant to the 3rd SMAI European Summer School in Financial Mathematics, Paris, 2010
Before 2008
 Recommended for entrance to the Chinese Academy of Sciences; tuition fees waived, maintenance supported, 2005-2008
 Shunde Wu Scholarship, Tsinghua University, 2001
 University tuition fees supported by Zhong Dao Co., 2001-2005
High School
 Got 697/750 in the National College Entrance Exams, ranked 2nd out of 300k Candidates in Hebei Province, China, 2001
 Gold medal in the "Hope Cup" National Invitational Senior High School Math Competition, China, 2000
 1st grade prize in Physics, 2nd grade prize in Math in the Senior High School Olympic Competitions, Hebei Province, China,
2000
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Relevant Research Activities
Refereeing Activities, 2013
 Quantitative Finance, Computational Economics
Academic Discussions, 2011
 “The valuation of exotic barrier options by contour bridge simulation”, by Pokpong Chirayukool and Nick Webber, Woxbridge
Spring Doctoral Conference
Reading Groups Contributed @ Statistics Department, University of Warwick, 2010-2011
 Probability reading group: Lévy processes, 2010 Fall
 Stochastic Finance reading group, 2010 Fall, 2011 Spring
Selected Teaching Duties @ University of Warwick, 2009-2012
 Designed and gave lectures to master students on C++: polymorphism, design pattern (singleton/ factory)
 Teaching assistance for program MSc Financial Math: VBA, 2009; Numerical Methods and Programming A, 2010-2012;
Numerical Methods and Programming B, 2009; C++ Modelling in Asset Pricing, 2011-2012
Conferences & Workshops attended / to attend, 2010-2013
 Stochastics, Control and Finance, Department of Mathematics, Imperial College London
Apr 2010
 Hedging the Unhedgeable, Cass Business School
Apr 2010
 Derivatives, Volatility & Correlation, Warwick Business School
May 2010
 3rd SMAI European Summer School in Financial Mathematics, Paris
Aug 2010
 Woxbridge-Spring Doctoral Conference, Warwick Business School
Apr 2011
 Young Researchers in Mathematics, University of Warwick
Apr 2011
 Advances in Portfolio Theory and Investment Management, Oxford-Man Institute of Quantitative Finance May 2011
 7th World Congress of the Bachelier Finance Society, Sydney
Jun 2012
 Workshop on large deviations and asymptotic methods in Finance, Math Dept, Imperial College London Apr 2013
 6th General AMaMeF and Banach Center Conference, Poland
Jun 2013
 Quant Congress Europe 2013, London
Jun 2013
 Quantitative Methods in Finance 2013 Conference, Sydney
Dec 2013
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Other Activities
Co-initiator, Organizer and Referee Trainer, Basketball Club, CS Department, Tsinghua University, 2003-2005
 Built up a basketball club by mimicking the system of NBA; trained referees; organized weekly matches