Campus 

Some kool aid

I guess I should start putting pictures of what may be my digs for the next year!!

Haas school of Business

Economic Derivatives

I was just browsing and chanced upon what looks like a new form of derivatives - Economic Derivatives (Goldman Sachs: Economic Derivatives). It seems like the underlying for these instruments are economic indicators. The advantages are of course that one can avoid basis risk - meaning making a correct assumption on economic indicators , but then not understanding the impact those can have on a different variable such a stock price or bond portfolio.

Interesting. Now how does one model economic indicators?

Graduate Programs in Financial Engineering and Risk Management

Financial Engineering News 2005 Special Report on Graduate Education Programs in Financial Engineering and Risk Management

Here is an interesting article on FE programs across the world. It is interesting because the article talks about the mix of "theory vs practice". This is abolsutely important. While some programs are very well reputed, they offer very theoretical courses, which may not be practical on the street.

In my opinion, talking to alums and current students, Berkeley MFE gives a well-balanced mix of coursework - theory and practice. In addition, it prepares for quantitative careers above and beyond Computational Finance. The computational part is just a tool (like a HP12C, if you will). The intuition, understanding and communication of models is key!!

News Flash... its a wide world out there

Taking home an MBA / Growing economy lures newly degreed graduate students to return to China

This may be a bit old news item, but I found it interesting nevertheless. The news item talks a lot about MFE program and prospects afterwards both domestic and International.

I have often wondered about possible job locations for myself after MFE program. I am surely looking at NYC and SF bayarea (and maybe Chicago), but would be very interested in International oppurtunities as well (maybe in a few years) - London, Paris, Singapore or Tokyo.

Trader Mike

Got to know about this cool site for trading ideas. I like the Blogroll as well with host of other similar blogs. In other news, I have been following the advice of certain money managers in that "Buy and Hold" strategy has not been yielding sizable returns, and so am thinking of closing my Buyandhold account, and instead starting a scottrade account ($7 trades, you gotta love them).

Site is:Trader Mike

Class of 2007

A bunch of bay area Berkeley MFE admits for next year are meeting on Aug 26th at a local bar. Anyone else who is an admit and wants to join can email me at swoop2_2000@yahoo.com for more details.

I am looking forward to interactions with my future classmates.

Books

As an aspiring quant, I want to have the FE bibles on my desk. I am looking into good solid books that teach the fundamentals (and not some hot new theory). There are tons of books listed on Amazon and FEmath, but most of them seem to be promising everything under the sun and more. I have been burnt before on a VBA for finance book, which I thought was not useful for me at all..

So I am looking for suggestions for books. The ones I have considered so far are:

1. Derivatives - Hull - Options, Futures and other derivatives (Definitely Bible material)
2. Risk mgmt - Jorion - Finacial risk mgmt handbook (seems like a good handbook, also recommended for FRM exam)
3. Fixed income - Fabozzi, Tuckman?? (cannot decide, suggestions please)
4. Fin mathematics - Shreve, Neftci???

I am not sure what books are used at Berkeley, so maybe current students can comment??

C++ and other programming issues

Looking at job requirements, it seems like C++ is the defacto language of finance. While I have considerable experience in Matlab (and mathworks is constantly producing financial toolboxes - on derivatives, GARCH, fixed income, fin time series, data feed), it seems like only specialised hedge funds and portfolio managers are using VBA and Matlab. The major banks and such are still high on c++.

I am not quite inclined towards "pure" quant developer positions after MFE, however I do intend to brush up on C++ before the program starts. I think there is a foundation course in Jan06 for financial programming. However, it seems like a little prep would not hurt me. So I downloaded Dev-C++ IDE and got started using a basic tutorial on this site. I also have a old Lafore book on Turbo C++, which should be an excellent starting point.

cout << "later alligator";
n+= will be back in 3 days;