The nice 5 week break is over and its back to the serious business of classes, assignments and examinations starting tomorrow (Sept 24th).
I really have multiple reasons to be really excited this term.
1. Its the Recruiting season!! All the major banks and financial institutions are going to be on campus strutting their stuff, trying to lure the best of the best and looking for people with the best ‘fit’ with their teams. The Sub-prime mess which has created recessionary expectations has added another dimension to the whole process and i have a feeling the going will be tough. All the major banks have shown an interest in recruitment in the Stanford career fair (Oct 9th) but im not really sure how many slots theyl be looking to fill. For all one knows this might just end up being a PR run for many of them. (Keeping relationships going with top schools in bad times is really important for recruiters).
Someone important recently said on a forum how there will always be spots for good, qualified people and that gives me hope (shameless i know!). But seriously speaking one has to be confident of oneself, especially in times like these.
2. CS106X – Computer Science courses at Stanford are known to be some of the most rigorous in the country, and rightly so, it is after all, the Silicon Valley! The second reason im excited is that i get to sample one very soon. This is an intensive C++ programming class everyone has ‘warned’ me about. I debated and agonized about doing it in a term where im going to be very busy with interviews, and then decided on taking it. Bring it on Stanford!! Well and then theres the benefit of getting a solid grip of coding and using C++ which i really want to be good at.
Ive seen a lot of MBAs and even fin-math people for that matter trying to get away from full time jobs that require any amount of coding, but i dont want to do that. Irrespective of whether i use it later or not, i feel its a skill every financial engineer ought to have and in good measure. (Reading Emanuel Derman’s “My life as a Quant” has really inspired me in this regard).
That brings me to my proposed course list for the Fall Term
STAT 240 – Statistical Methods in Finance – Regression analysis and applications to the Capital Asset Pricing Model and multifactor pricing models. Principal components and multivariate analysis. Smoothing techniques and estimation of yield curves. Statistical methods for financial time series; value at risk. Term structure models and fixed income research. Estimation and modeling of volatilities. Hands-on experience with financial data.
MS&E242H – Investment Science Honors – The course starts with developing the basic concepts under certainty. This includes arbitrage, term structure of interest rates and bond portfolio immunization. We then extend to a situation of uncertainty in one period. Topics: arbitrage; fundamental theorems of asset pricing; pricing measures; derivative securities; financial risk measures: basic theory, applications and estimation; mean-variance portfolio analysis, equilibrium and the capital asset pricing model. Group projects involving financial market data.
STAT 219 – Stochastic Processes – Main topics are introduction to measurable, Lp and Hilbert spaces, random variables and (conditional) expectation, uniform integrability and modes of convergence, stationarity and sample path continuity of stochastic processes, examples such as Markov chains, Branching, Gaussian and Poisson Processes, Martingales and basic properties of Brownian motion.
CS106X – Programming Abstractions – How programming concepts are expressed in C++. Abstraction and its relation to programming. Software engineering principles of data abstraction and modularity. Object-oriented programming, fundamental data structures (such as stacks, queues, sets) and data-directed design. Recursion and recursive data structures (linked lists, trees). Introduction to time and space complexity analysis.
3. The Beauty of the Fall colors – Yes, do I have an appreciation for beauty of a non-financial mathematical nature !!
So you see, theres much to look forward to and much to learn this qtr. I just think its going to be a lot of fun, and hopefully not at my expense 
(Can someone get me a Bernanke ‘put’ please)
