Wednesday, December 28, 2005

Random brownian motion simulation.. Looks cool though!! Posted by Picasa

Tuesday, December 20, 2005

It begins...

Well things are heating up on the MFE front. We have a bunch of "pre-course" courses being offered to get my consulting-jargon filled rustic brain to start firing those neurons again. MFE pre-course semester starts in Jan 2nd week and will go on till March 3rd week. This is almost like a full semester of classes, but I guess they will set the tone for the more advanced classes. The courses being offered are:
  1. Intro to Stats
  2. Mathematical foundations for FE
  3. Intro to C++
  4. Corporate Finance

I have to decide what courses I need the most. Will have to decide all that in the next week or so.

Thursday, December 15, 2005

CAPITAL IDEAS- by Peter Bernstein: aka Giants of FE

From Gown to Town...

I am currently reading this really nice book on the origins of modern wall street. Turns out this book is required reading for an MFE class as well. Extremely well written and chock full of accounts on the development of modern day finance.

I liked the story about the father of modern day finance - an unknown mathematician at the turn of the century - Louis Bachelier. It turns out that this guy had worked out the mathematics behind brownian motion a couple of years before Einstein did. Quite interesting...

Next giant in the history of modern finance - a 25 year old graduate student at the University of Chicago - Harry Markowitz, who literally laid the foundations for modern day portfolio management. Markowitz made a tremendous leap in the way we quantify risk and return - he formalized two age old adages - "Dont put all your eggs in one basket" (Diversification) and "Nothing ventured Nothing gained" (Risk vs. Return)., into an elegant mathematical framework.

To be contd (Black and Scholes, and OTHERS..)...