Saturday, February 10, 2007

weeks 46-47!!

This quarter can be summarized into one word - ABS !!
Each ABS hw is like a mini-project. In the last hw, we had to fit a term structure model, fit two prepayment models, and then price tranches of CMOs based on 2 mortgage pool cash flows, as well as calculate duration, convexity and OAS measures!! This is basically recreating the MBS models on the street (well, maybe not at that level - but close).

This week there were also these talks of mergers between exchanges - Read an interesting story on this. I hope this excerpt proves to be correct:
Years from now, this decade might come to be viewed as the golden age of high finance. New markets are sprouting up everywhere, drawing huge amounts of capital and helping hold down rates.


1 Comments:

Blogger mithun said...

Hi Swaroop,

I wanted to speak to you about the MFE program at Berkeley. I graduated from IIT Bombay, then got my Masters and I'm currently working for a consulting firm.

Can you please leave me with your email?

-Mithun
mithun.reddy@gmail.com

9:26 PM, February 12, 2007  

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