It is the begining of the winter term at Stanford and i am buried under a mountain of coursework and assignments. I can find solace in the fact that there was no escaping the deluge and i had to go for 15 units at some time or the other. This turns out to be the time when i bite the bullet.
PARTIAL DIFFERENTIAL EQUATIONS AND DIFFUSION PROCESSES
This course talks about the basics of partial differential equations (starting with The Heat eq.) and Boundary Value Porblems and then goes on to SDE’s. Having covered the basics in the first half of the course, the second half then applies the concepts to the Black-Scholes eq, Barrier Options, Digital options, American options, Volatility estimation and Interest Rate Models. With some luck we might be able to squeeze in some Stochastic control.
ADVANCED TOPICS IN FINANCIAL ENGG
This is a great overview course that provides a unified framework for pricing derivatives. Having concentrated so much on Brownian Motion (and i really mean a lot!), this course dives into Poisson Processes as well and shows how that is as easy to work with.
MATHEMATICAL FINANCE
My favorite course for the term and its an extension of the introductory course i did in the summer. It starts off with the binomial tree model, moving onto Black Scholes, Implied Volatility, Short rate models and Convertible Bonds.
STOCHASTIC DIFFERENTIAL EQUATIONS
I guess theres no easy way to say this. It is SDE! Its as rigorous as any course on Stochastic Calculus is and uses the concepts we did last qtr.
ONE BIG CODING CLASS!
I needed to practise coding, and im getting enough of it now!
The good part about these courses is that the first 4 all seem to be drilling in the same concepts from different perspectives. In that sense this has become my own little string theory unification problem! Seriously speaking though, its a lot of fun and learning the theory and its application simultaneously just seems more useful than having them separated over a period. What is not fun though is having 5 assignment submissions simultaneously.
I think i should clarify one aspect of my earlier posts either here or on GD. When i talk about the employment scenario, ive been generally talking about the ‘Banking’ jobs and not the ones in hedge funds or prop trading firms. I must say that the slowdown in banks have been a boon for some of the smaller firms as they have been able to lay their hands on some good talent this year. And i have seen a lot more job opportunities in that sector. The fact that a lot of them bet on oil and other commodities and haven’t had the breadth to be burnt by the big ‘S’ mess has helped them.
