Zhengye Bian
Director, Algo Trading Model Validation at UBS
- Role
- Director, Algo Trading Model Validation at 瑞银集团
- Location
- New York, NY, US
- LinkedIn followers
- 500 followers
About Zhengye Bian
Quantitative finance professional and MS in Computer Science. Areas of proficiency: stochastic calculus and derivatives pricing; statistics, time series analysis, machine learning and AI; data mining; numerical methods and optimization. Experience and Skills: 1. Mortgage analytics and interest rate derivatives • LIBOR/OIS Curve Building. • Term structure models - Hull-White Model: calibration, trinomial tree, martingale test; LIBOR Market Model: correlation matrix construction, volatility modeling, Monte-Carlo simulation. • Prepayment model development and validation. Experienced in Ad-co, Yieldbook, and QRM prepayment models. • Machine learning approaches in mortgage prepayment/fallout prediction. Machine learning & Deep learning • Boosting, SVM, random forest, clustering, regularization, rank reduction. • Autoencoder, CNN, RNN, Deep Reinforcement Learning. Others • Data analytics. • Operation system. • Statistics: Regression, LASSO/Ridge, Time series analysis, Bayesian statistics, PCA. • Portfolio Optimization: Minimum Variance Portfolio Construction Under Mixed-integer Programming. Programming languages • Proficient with Python (Numpy, Pandas, Scipy, Sklearn, TensorFlow, etc.), SQL, C++, MATLAB. • Familiar with SAS, R.
Experience
Director, Algo Trading Model Validation
Nov 2020 — Present · New York, NY, US
Market making/CRB/execution algos. ML-based algo models. Equities/FX.
Education
Georgia Tech
Master of Science (MS), Quantitative and Computational Finance, 3.83
2012 — 2013
Emory University
Master of Science - MS, Computer Science, 3.82
2016 — 2018
Wuhan University
Bachelor of Economics, Financial Engineering, 3.6
2008 — 2012
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