Term 1!!
Posted by tapishkushwaha on August 11, 2007
First of all i owe everyone an apology for not writing in for so long. Infact i did start to write a post a couple of weeks back, but was frustrated by my inability to get a simple ‘plot’ into the post! Still havent figured out wordpress fully!
Lets talk about my experience in the courses ive gone through these past few months,
Introduction to Mathematical Finance: The biggest takeaway from this course has been an introduction to Stochastic Calculus and Ito Calculus. Somehow, i always equated financial math to martingales, numeraires and Brownian motion. It was great to finally learn some of this and actually apply it to derivative pricing. Although this was just a begining, a humble begining and greater things are afoot (Well i can get a little poetic at times). The basic idea is this, If x(t) is an Ito process, meaning
then,
This innocuous looking application combined with a change of measure turns out to be the basis for risk-neutral derivative pricing theory.
Time series Modeling: This was a topic close to my heart. My 6 months as a quant at DBS were spent trying to predict currency movements based on technical indicators. So, it was great to finally get a chance to read up time series theory formally. The language we used to do the models was R (a freely availible cousin of S). The most exciting part of the course has been that we’re working with real data and so get to see what goes on real time.
This is the forecast of Lumber production based on an ARIMA(1,0,0) model (Autoregressive Model). Having done some lengthy (and i mean really lengthy) assignments for this course means that i have a fair grasp of the modeling procedure now. Learning R has been a plus and its something thats going to be really relevant in my future workplace.
International Investments: Having worked in Fixed income research where macroeconomics was the bread and butter of fund managers, this course has been a relaxant/enjoyable experience. Ive revised the concepts that i studied in B-school and ive also been able to stay uptodate with happenings around the globe, thanks to this course.
That, in a nutshell is what ive been doing with my time in my first term at Stanford University. The next week is the final week before we’re off for a 5 week break. Im looking forward to meeting the rest of my classmates, all of whom arrive in mid-september. A lot of the fin-math guys from last year should be around too, making it quite a crowd in the fall!!
lemma said
Congrats on finishing the first term – it looks like you have been dealing with some sexy stuff. Nice!
Time series analysis and stochastic calculus down in your first term?! The hard stuff’s out of the way.
Abhinav said
Hola,
seems first semester was quite decent. Ito calculus is indeed quite amazing. I have tried stochastic on a number of occasions and each time I have screwed up!
I also did R (mostly because its free) on my own trying to predict movements. Unfortunately, recent times have been most turbulent and possibly the current data would be needed for a more robust model!
enjoy!
Abhinav