27/28...

This week was one of the most intense. When two major projects are due in the same week, complete with presentations and reports, and add to it - company presentations and interviews, it can be an super-charged sleep-deprived combination.

First up, ACF project involved looking at pricing a double barrier option. We looked at quite a few variations including this one shown below - a Bermudan option with discrete sampling of the barrier. The 3d plots make this look really cool - but the technique is exceedingly simple yet very effective.


Bermudan with discrete sampling of the barrier

The other project was implementing a reduced form model for the Credit modeling class - we implemented a simple model with deterministic hazard rate function. The CDS term structure from that model are shown below.


Term structure of CDS premiums as a function of EDF buckets

In other news, I am getting ready to pack my bags and head out to my internship in a couple of weeks.... cant wait to get start going to an office again! (j/k)

2 big games

NCAAF - Arizona State Sun Devils/California Golden Bears

Unbelievable day at College football. Cal crushed Arizona state easily. But the bigger game was the real "real" close game between ND and Michigan State.. I couldnt believe the Irish pulled it off in the last quarter needing 2 TDs in the last 7 minutes!!

How I became a Quant...

TOP STORIES: Events in Chicago, Berkeley

"How I became a Quant" event returns to Berkeley on Oct 2nd..I found this very useful last year before starting the MFE program.

week 26.. Football

The weekend was too much fun - first off..my first football game of the season at Cal Stadium (against a pathetic Portland state team). However, it was great to watch the game with the rest of the class - cant forget those massive subway sandwiches. In all a good time..


Cal Stadium


Stadium view from outside

This week and the next promise to be the worst of the quarter - 2 projects and a midterm and a couple of homeworks thrown in for good measure.. and oh, some company presentations as well.

week 25...

Call Option using Finite Differences (explicit scheme) (as part of hw for ACF course...)

This week was a bit mellow. The big thing was a presentation due for SAF course, where we had to price a "Human Capital Contract" (a sort of a student loan, except the payment is tied to the future income of the student..). The interesting analysis involved projections of MFE grad salaries over the next 10 years (accounting for economy cycles..). Similar contracts are already in place by companies like MyRichUncle, Lumni, etc..

week 23/24...and football

Things are heating up, but after 2 terms, I have begun to fall into a sort of rhythm in terms of coursework. You learn to work in teams and leverage off others..

Last 2 weeks, we discussed a couple of interesting HBS case-studies on Citicorp (weighing pros and cons of issuing eurodollar FRNs with special features) and Walt disney (using swaps to cover currency exposure). In SAF (sucess and failure) course, we read some chapters of Shiller's book on new financial order....a cornucopia of new ideas for uses of financial engineering.

In other news, Cal football season is kicking off... with some of us planning to go to couple of games before internship period starts.... my loyalty, however, is divided between Cal Bears and the Fighting Irish ..