La Trobe University, Australia

Thesis topic: Parallel algorithm to high-dimensional integration based on semi-Monte Carlo lattice rule method.

Soochow University, China

Thesis topic: Use Finite Element method to compute a

Partial Differential Equation derived from Dam Overflow Problem.

Soochow University, China 

Product and Market Support

NAB, Australia

·         Use machine learning and statistical techniques to model home lending pricing, propensity and sensitivity of customers, and product cross-sell.

·         Based on probability theory, invented an optimization model for maximizing Return on Equity, and better managing mortgage portfolio.

·         Did Time Series Analysis on payment transaction data.

·         Association analysis on customer products for better cross-sell strategy.

·         Graph analysis, clustering and visualisation on interval report dissemination.

·         Text mining and topic modelling on bankers’ comments and internal interviewing data.

Programming Language: SAS, R, JavaSript,  SQL, D3

Operational risk modelling

NAB, Australia 

·         Inverse Fourier Transformation approach

·         Implemented Monte Carlo simulation

·         Euler Capital Allocation

·         Panjer recursion approach

·         Close form capital solution — SLA and improved SLA.

·         Copula dependence approach — Gaussian, Student t and Levy.

·         Loss data distribution fitting

·         Bayesian Inference and Markov Chain Monte Carlo.

·         Used Expectation-Maximization algorithm to fit truncated loss data.

Programming Language: C++, Matlab, SAS, SQL, VBA and R.

 Credit risk and capital modelling

NAB, Australia 

·         Stressed-testing and risk appetite project, introduced Vasicek model for benchmarking stress level.

·         Created and implemented an iterative algorithm for LRPD based on Vasicek model.

·         Built PD and LGD correlated Model

·         Granularity adjustment, Euler Capital Allocation for non-diversified portfolio.

·         Designed and implemented cross product alert system.

Programming Language: C++, SAS and SQL.

Oracle, Australia 

●     Designed and implemented  new functionality of MapEditor, GeoCode server

●     Participate in the design and implementation of ORS (Oracle Real-time Scheduler)

●     Test ORS products

●     Designed and implemented scheduler manager

Programming language: Java, C++ (on Linux) , Perl, Python, Bash Script

AirSCAPE,  Australia (Mobile Portal)

●     Laid out the foundation framework of Airscape Mobile Portal System such as user management, billing system, mobile client, encryption, email and IM, dynamic signing.

●     Participated in the design and development of Raptour System such as web service interface and UI.

Programming language: Java, J2ME on Windows, Linux, Mobile Phone.

RapidMap Global, Australia

(GIS solutions provider)

●     Redesigned and modified ‘TOPO’ (GIS software) Desktop version and Pocket PC version from recreational purpose to professional purpose.

●     Implemented conversion tools between ‘TOPO’ data format, GML and Shape format.

●     Data synchronization tool.

●     Form builder

Programming language: Visual C++ on Windows and Windows CE.

Jan 2001 – Oct. 2002

Ecquaria Technologies Pty. Ltd., China

(e-Commerce and e-Government solutions provider)

Senior Software Engineer and product manager (since Oct. 2001)

●     Analysed and designed Webflow Studio.

●     Participated in the development of Webflow Studio.

●     Managed the development process of Webflow Studio.

●     Product management of Webflow studio product.

Software Engineer

●     Analysed and designed Electronic Data Exchange Gateway Management Console.

●     Implemented user interface for Electronic Data Exchange Gateway Management Console.

●     Wrote the design engineering documentation and user manual of Electronic Data Exchange Gateway Management Console.

Programming Language: Java on Windows, Linux

Jan. 1996 – Aug. 1997

Programmer Intern

FEGEN Software Co. Ltd. Beijing, China

(Large-scale computing solutions provider)

●     Designed and implemented user interface and graphic presentation for a Vessel Analysis System.

●     Coordinated the development process between computing team, UI and graphic team.

Programming Language: Visual C++ and FORTRAN on Windows and Unix.

Honorary Associate

Research area:

·         Parallel computing

·         Apply artificial neural network architecture in numerical analysis

·         Development of cubature routine.

·         Mathematical software

Sep. 2002 –  Jan. 2004

La Trobe University

Research Assistant

·         Designed and developed a series of algorithms for numerical integration based on the theory of lattice rules.

·         Designed and developed sequential, multi-core and parallel algorithms for automatic integration routines using C++, FORTRAN, Pthreads and MPI.

·         Simulated the resulted algorithm in higher precision environment.

Casual Lecturer and Lab Demonstrator

Lectured and tutored subjects:

·         Advanced C++ Programming

·         Introduction to Object-Oriented Programming Using Java

·         Intermediate Object-Oriented Programming Using Java

·         Object-Oriented Data Engineering 

Soochow University, China 

·         Lectured subjects of mathematical modelling, Java and VC++.

·         Supervised the project of fourth year students majored in applied and mathematical software.

Hong Kong Polytechnic University, Hong Kong

·         Designed and implemented the software of The System of Coordinated Single-Vendor and Multi-Buyers (financial mathematics)

·         Participated in the computational project of

“Dam Overflow Problem”.