Wednesday, March 07, 2007

weeks 50/51

The last 2 weeks were probably the busiest of the quarter - especially Friday, when we had to turn in the AFP project writeups (we had a social afterwards to unwind...). This week, some of my classmates presented their work - some really top notch presentations on current problems in quantitative finance..

we also did a CMBS pricing project for the ABS course - basically, we implemented an emprirical default model for CMBS using loan level data...and found some really interesting features inherent in that market..

Next week..it will all be over - finals for Q4 and graduation on 16th!!

Meanwhile, New index based derivatives come on market - basically a good way to hedge against propert prices - incidentally we used the NCREIF indexes to proxy CMBS property prices and to find correlations..

1 Comments:

Blogger vsarathi said...

Good luck to you as you move past your MFE quest. I was following your blog keenly and want to thank you for sharing your experiences. I wish you the very best in the exciting world of ABS.

11:19 AM, March 13, 2007  

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