<center> # **Zheng-Liang Lu<font color = "red">, Ph.D.</font>** Phone: +886 972802793 Email: arthurzllu@gmail.com Homepage: https://www.csie.ntu.edu.tw/~d00922011/ GitHub: https://github.com/arthurzllu </center> ## **Education** - **<font color = "red">Doctor of Philosophy (2024)</font>**, Department of Computer Science and Information Engineering, National Taiwan University - Advisor: [Prof. Yuh-Dauh Lyuu](https://www.csie.ntu.edu.tw/~lyuu/) - Ph.D. Thesis: <font color = "red">Efficient Algorithms for Volatility Models</font> - **Master of Science** (2007 ~ 2009), Institute of Communications Engineering, National Chiao Tung University - **Bachelor of Science** (2003 ~ 2007), Department of Electrical Engineering, National Central University ## **Research Specialties & Interests** - **Financial computing & computational finance** - Derivatives pricing - Statistical inference and financial time series analysis - Development of trading strategy and automation - Financial machine learning - **Analysis and design of algorithms & computing theory** - <font color = "red">**System architecture & administration**</font> ## **Academic Publications** <font color = "red"> - **Zheng-Liang Lu**, and U Hou Lok (2024): *Dimension-Reduced Modeling for Local Volatility Surface via Unsupervised Learning,* proceeding in Romanian Journal of Information Science and Technology - **Zheng-Liang Lu** and Yuh-Dauh Lyuu (proceeding): *On Performance of Delta Hedging by Local Volatility Models and GARCH Models.* - **Zheng-Liang Lu** and Yuh-Dauh Lyuu (proceeding): *A Novel Efficient Lattice for Stochastic Volatility Models.* </font> - **Zheng-Liang Lu** and Yuh-Dauh Lyuu (2016): *The Holiday Effects on Option Prices: A Detailed Study,* 11th Asia-Pacific Business Research Conference in Singapore - Hsin-Yun Tsai, Kulvara Lapanan, Yi-Hsuan Lin, Cheng-Wei Huang, Wen-Wei Lin, Min-Min Lin, **Zheng-Liang Lu**, Feng-Sheng Lin, Ming-Tsung Tseng (2024): *Integration of Prior Expectations and Suppression of Prediction Errors During Expectancy-Induced Pain Modulation: The Influence of Anxiety and Pleasantness,* Journal of Neuroscience 24 April 2024, 44 (17) - Yao-Wei Shih, Hsin-Yun Tsai, Feng-Sheng Lin, Yi-Hsuan Lin, Chun-Yen Chiang, **Zheng-Liang Lu**, and Ming-Tsung Tseng (2019): *Effects of Positive and Negative Expectations on Human Pain Perception Engage Separate But Interrelated and Dependently Regulated Cerebral Mechanisms.* J Neurosci. 2019 Feb 13; 39(7): 1261–1274. ## **Working Experiences** - **IT Consultant** (2023.11 ~ 2024.5), ooo - Integration of desktop user software development using C# Winform and encrypted socket programming. - **Intern Researcher** (2014 ~ 2023), Chinatrust Commercial Bank - Derivative pricing: forward-start options and structured notes. - Modeling of implied volatility: Orc wing model, stochastic volatility (Heston), and SVI model. - Development of trading strategies: continuum analysis of large traded volume in equity markets, multi-factor models for portfolio optimization, FX trading under presence of cointegration. - **Research Assistant** (2014 ~ present), Pain Lab, Graduate Institute of Brain and Mind Sciences, National Taiwan University - Co-developer and programmer for clinical experiments with fMRI scanner in Presentation, MATLAB, LabVIEW, and Java. - **Senior Lecturer** (2014 ~ present), Information System Training Program, Department of Computer Science and Information Engineering, National Taiwan University - Programming courses: [Java](https://www.csie.ntu.edu.tw/~d00922011/java.html), C, [C++](https://www.csie.ntu.edu.tw/~d00922011/cpp.html), [C#](https://www.csie.ntu.edu.tw/~d00922011/csharp.html), [Python](https://hackmd.io/@arthurzllu/HJNXq84SO), [MATLAB](https://www.csie.ntu.edu.tw/~d00922011/matlab.html), <font color = "red">Rust</font>, <font color = "red">Julia</font>, <font color = "red">SQL</font>. - Application courses: [Python Programming in Finance](https://hackmd.io/@arthurzllu/By0DaDPmu), [Introduction to Data Science](https://hackmd.io/@arthurzllu/ByC0nhVkr), [Algorithm Labs](https://hackmd.io/@arthurzllu/SkZBc7GoI), [Linux System: Practice & Kernel](https://hackmd.io/@arthurzllu/S1P6tR0aO), <font color = "red">Java Multithreading</font>, <font color = "red">Java Web Development: Spring Boot</font>, <font color = "red">Java Programming 2: Generics, Lambda, Reflection, Annotation, Design Patterns</font>, <font color = "red">Web Front-End Tutorial: React.js</font>. - More than <font color = "red">10000</font> hours of teaching experiences. - <font color = "red">Development and maintenance of my online judge system for educational purpose in Spring Framework.</font> - **Teaching Assistant** (2012 ~ present), Department of Computer Science and Information Engineering, National Taiwan University - Courses: ++Computing Theory++, ++Discrete Mathematics++, ++Principles of Financial Computing++. - **Research Assistant** (2012 ~ present), Department of Computer Science and Information Engineering, National Taiwan University - find all names of 國科會計畫 - **Treasurer** (2012 ~ 2013), NTU Toastmasters Branch, Toastmasters International - **2nd Lt. Chief Counsellor of Company** (2009.10.27 ~ 2010.9.27), Special Forces Command, Republic of China Army