Sunday, April 30, 2006

Week 5

Week 5 wrapped up!! Unbelievable, because half the term is already over for us. This week, I definitely kicked back a little, mainly to concentrate on studying some material for the empirical methods course project (we will be working on some aspects of credit derivatives).

Meanwhile, Investments and Stoch methods have converged to the random walk theory and BS equation for options (and its myriad variations). Empirical methods is focussing on the GMM and GARCH models, some of which is quite abstract and pretty daunting at the first pass.

FPS featured one speaker from a buyside firm, and we also had another buyside firm make presentations and conduct short pre-interviews. (Self note: I am going to refrain from making comments about which firms are coming to the school and my personal opinions about the firms/type of roles on this site, just because I feel I am not qualified to make such statements).

Weekend, kicked back and went to a Dhammal party in SF with some friends. Rejuvenated, I am ready to make some progress on these hws - oh, and study for that quiz for investments!!

Saturday, April 22, 2006

Week 4..

This week was absolutely jampacked. A total of 4 FPS (Finance practical seminars) - ranging from speakers from Buyside, Analytic providers, Hedge funds and Sellside - the entire gamut was there!!

Stochastics has gone into the crux of things - Ito's lemma, which is the basis of the BSM equation. Empirical methods project proposals are due next week (HW has been relaxed this week)... and Investments is talking about state prices and Options.

Friday evening was good fun, hanging out at the Bear's lair, one of the campus bars - and generally enjoying the excellent California weatehr (finally!!!)

Thursday, April 13, 2006

Company tidbits....

Goldman "Gets It" (Goldman Sachs)

Fascinating tidbit about Goldman Sachs (and its high end business areas). Good insights provided in the article in terms fo Goldman's approach to things.

The new world of trading is not about flipping stocks for nickels and dimes ahead of client orders, or holding corporate bonds in inventory and selling them at a markup. It is about credit-default swaps and total-return swaps and volatility arbitrage, and all sorts of other investment exotica designed to give huge players even the slightest edge. Yet, only a sliver of this activity involves Goldman traders wielding the firm's capital to initiate bets across markets. Most involves client-initiated transactions that the firm facilitates and, increasingly, accomplishes by taking the other side with its own money.

Here is what Goldman is not, despite what alarmists say: It is not a huge hedge fund, or an impenetrable "black box," though the firm offers fewer details about its trading operations than some shareholders would like. Nor is it a leveraged proxy for stock prices, or a surfer of the yield curve, or a mere play on oil prices through its commodities business. Goldman is not a place where folks with MBAs and nice golf strokes simply roll the dice hoping for a seven. No gambler, it is much more like "the house."

Wednesday, April 12, 2006

Week 3...

Week 3 has brought us all into the thick of things. Investments class is dealing with basics of Bond pricing and state prices. Stochastics class has slowly gone into a foreign language category (note GREEKs.. with emphasis on EEKS!! - martingales et al). Economterics remains enjoyable to me with OLS and a new method of quartile regression, with practical applications on real data.... Our team is also closely working on a good topic to research for the final project due as part of this course.

Seminar this week included an alum from Allianz Hedge fund partners - once again a delightful seminar, which gave me a lot of food for thought on asset mgmt industry in general, and hedge fund-of-funds industry, in particular.

Lot of buzz this week on campus as MFE team once again defeated other top schools in the Financial engineering case competition.

Watch this space closely - I will be going "live" with my identity very soon!! I have included this blog as part of my bio on the MFE page, so there is no point in my maintaining anonymity.

Wednesday, April 05, 2006

Week 2...

School week 1 down - Stochastic HW completed..PHEW (Binomial trees, Put call parity stuff). C++, SAS and MATLAB classes to begin. Investments Quizzes on Monday mornings.. Finance Practice seminars started this week (great trading game organized by Wells Fargo folks).

Interesting article (thanks to Aloke) on Hiring the Next Generation of Quants. (Makes me feel wanted..) plus a discussion on MFE program at Haas.