Dr. Peter Lin

INDUSTRY ASSOCIATE PROFESSOR
School: School of Business
Building: Altorfer 304
Phone: 201-216-3706
Email: peter.lin@stevens.edu
Education

2012 - Ph.D., Applied Mathematics & Statistics, Johns Hopkins University

  • Dissertation: A Paradigm Shift in Interest-Rate Modeling
  • Readers: Dr. Frank Fabozzi and Dr. David Audley

2007 - M.S., Computer Science, Columbia University

2004 - B.S. Major, Computer Science & Information Engineering (CSIE), National Taiwan University

2004 - B.S. Minor, Technology Entrepreneurship and Management, National Taiwan University

Research

Research Interests

  • Quantitative Portfolio Strategies
  • Term-Structure Models
  • Fixed-Income Derivatives
  • Algorithmic Trading
Institutional Service

2015 - Present: Industry Professor, Department of Financial Engineering, School of Systems & Enterprises - Stevens Institute of Technology, Hoboken NJ

2013 - 2015: Adjunct Assistant Professor, Department of Mathematical Sciences, Stevens Institute of Technology, Hoboken, NJ

  • “Mathematical Statistics”
  • “Stochastic Processes”
  • “Probability”

2009 - 2012 Teaching Assistant, Johns Hopkins University

  • “Modeling and Analysis of Securities and Financial Markets I and II”
  • “Credit and Interest-Rate Derivatives”
  • “Risk Management”
  • “Advanced Portfolio and Investment Theory”
  • “Financial Engineering”

2005 - 2007 Teaching Assistant, Columbia University

  • “Analysis of Algorithms I”
  • “Advanced Software Engineering”
  • “Introduction to Computer Security”
Professional Service

2013 - Managing Director, Gamma Paradigm Capital, New York

  • Algorithmic Trading (Quantamental Strategy)
  • Python and System Programming with Cloud and Cluster Computing (Linux)

2008 - 2012 Quantitative Analyst, Ryan Labs Asset Management, New York

  • Modeling the Term Structure of High-Quality Corporate Bonds (Pension Protection Act 2006)
  • Generating Customized Liability-Driven Benchmarks and Derivatives
  • Quantitative Portfolio Hedging Strategies
  • Product Developments (MATLAB, C++, SQL)

2010 Intern, Deutsche Bank Group

  • Global Market - Debt Capital Market

2008 Intern, Industrial Bank of Taiwan Securities, Taiwan

  • Arbitrage Trading Group
Honors & Awards

2012 Acheson J. Duncan Fund for the Advancement of Research in Statistics

2010 Second Runner-Up, Morgan Stanley Annual Prize for Excellence in Financial Markets

2009 Baltimore CFA Scholarship

2007 Industrial Bank of Taiwan Education Foundation Fellowship

2004 Third Award, 13th NTU Engineering Technology Contest

2004 Excellence Award, 5th Win by Entrepreneurship Work with Innovation and Network, Taiwan

2003 Golf Champion Award, Group Division Taiwan Collegiate Athletes Games

2001 Golf Third Award, Group Division Taiwan Collegiate Athletes Games

Selected Publications
Research Papers
  1. Peter Lin. (2013). "Modeling High-Quality-Market Corporate Bond Yield Curve".
  2. Peter Lin. (2013). "Quantitative Pension-Fund Strategies with Liability-Driven Derivatives".
Conference Proceedings
  1. Peter Lin. (2013). Conference on Mathematical Finance and Partial Differential Equations.
  2. Peter Lin. (2012). SIAM Conference on Financial Math and Engineering.
  3. Peter Lin. (2004). "Approximation Algorithms for Broadcast and Reduction Scheduling in Synchronous Heterogeneous Clusters", NTU 13th Engineering Technology Contest.
  4. Peter Lin. (2006). "A Collaborative Privacy-Enhanced Alibi Phone", Proceedings of International Conference on Grid and Pervasive Computing. 405-414.
  5. Peter Lin. (2007). "Truthful Mechanisms for Deadline Scheduling", Proceedings of IAENG International Conference on Operations Research.
Journals
  1. Peter Lin. (2013). "A Unified Paradigm of Interest-Rate Modeling", Journal of Business and Economics.
  2. Peter Lin. (2013). "A New Recombination Tree Algorithm for Mean-Reverting Interest-Rate Dynamics", American Journal of Computational Mathematics.