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